Liat of stocks ETF with high IV

Screening Filters

1. Relative Volume (relative_vol: min 2.0):

   • Purpose: To identify ETFs with significantly higher trading activity compared to their average volume.
   • Rationale: High relative volume often indicates increased interest or volatility in the ETF, which aligns with the user's request for ETFs with high implied volatility (IV). While relative volume is not a direct measure of IV, it can be a proxy for heightened market activity, which often correlates with higher IV.

2. Weekly Average Turnover (weekly_average_turnover: min 10,000,000):

   • Purpose: To ensure the ETFs selected have substantial liquidity and trading activity.
   • Rationale: High turnover indicates that the ETF is actively traded, which is important for finding ETFs with high IV. Illiquid ETFs tend to have lower IV and may not meet the user's expectations for high volatility.

3. Expense Ratio (expense_ratio: max 0.5):

   • Purpose: To filter for ETFs with lower management fees.
   • Rationale: While not directly related to IV, a lower expense ratio ensures that the ETFs are cost-efficient for investors. This filter helps exclude ETFs with high fees, which may not be ideal for users seeking high-IV ETFs.

4. Monthly Price Change Percentage (month_price_change_pct: min 5):

   • Purpose: To identify ETFs that have experienced significant price movement over the past month.
   • Rationale: Large price changes often indicate increased volatility, which is a key component of implied volatility. This filter helps narrow down ETFs that are likely to have higher IV due to recent price fluctuations.

Why Results Match:

• The filters collectively aim to identify ETFs with high trading activity, significant price movement, and cost efficiency, which are characteristics often associated with high implied volatility.
• While none of the filters directly measure IV, they serve as proxies to identify ETFs that are likely to exhibit high IV due to increased market interest, liquidity, and recent price action.
• The combination of relative volume, turnover, and price change ensures that the ETFs selected are both actively traded and volatile, aligning with the user's request for ETFs with high IV.