Create Future IV Indicator

[MysticDakra]

Describe the Solution For the Dynamic Delta Strat using IV we need a future IV Indicator to utilize in our IV adjustment algorithm to find most profitable delta. What we want here is an indicator that will help us in deciding if the delta we are choosing is priced correctly for the IV. We are leaving this open so we can see what we can come up with here but initial thoughts would be:

Utilize delta, IV, and price of options from past option data to determine what delta for the risk is priced the best.

Expected behavior We should have a IV indicator that can allows us to select IVs within our simulation to utilize for delta selection.

Tasks

• use historical/present data to find patterns/possibilities for predicting IV movement/changes within good range.
• Historical data can be found: https://github.com/IV-League-DAO/data-analysis/blob/main/README.md

When is it considered Done? We will consider this done when we have an IV indicator helps to predict better IV select profitable deltas.

Based on that IV indicator, we can improve our strategies such as: https://docs.google.com/document/d/1quVypJM5qxAZKKew79aGA625x1C0lZBpfmJtVLZvTp0/edit

Assignees Needs: Financial trader / expert - write paper algorithm for this Python coder - implement into our code base

Advisor Roles: @0xaeto

[egweber2]

This is a relatively simple mod of my current notebook but I haven't started it.