Part 3: IV & Greeks Monitoring — Know When Volatility Is Cheap or Expensive

Use cases at a glance

IV rank vs IV percentile — which to use

IV Rank (IVR): Compares current IV to the high and low over the past 52 weeks.

IVR = (current IV - 52-week low) / (52-week high - 52-week low) × 100

An IVR of 70 means current IV is in the top 30% of its annual range—expensive. IVR of 20 means cheap. IVR = 50 is the midpoint (fair value).

IV Percentile (IVP): Counts what percentage of days in the past year had lower IV than today.

IVP = (number of days with IV < current) / 252 × 100

IVP of 70 means IV was lower 70% of the time. Both metrics tell similar stories but are calculated differently. Most premium sellers prefer IVR as their primary signal.

Setting up historical IV data (Polygon.io)

Tradier's free tier doesn't provide historical IV data. You need Polygon.io ($29/month) for this. Their options aggregate endpoint gives you IV for each contract along with historical snapshots.

Here's the IV rank scanner agent config:

agents:
  iv-rank-scanner:
    description: "IV rank scanner and monitoring for watchlist"
    tools:
      - polygon-api
      - tradier-api
    config:
      polygon_token: "${POLYGON_API_KEY}"
      tradier_token: "${TRADIER_API_TOKEN}"
      watchlist:
        - SPY
        - QQQ
        - AAPL
        - MSFT
        - TSLA
        - NVDA
      iv_rank_premium_sell_threshold: 50
      iv_rank_low_threshold: 20
      iv_percentile_source: polygon
      lookback_days: 252
      check_frequency: "daily"
    output:
      format: markdown
      channel: slack
      time: "09:00"
      timezone: "America/New_York"

IV rank scanner for your watchlist

The agent pulls the ATM IV for each ticker in your watchlist, compares it to the 52-week range, and outputs IV rank ranked highest to lowest. This tells you which tickers have the most expensive volatility (best for selling premium) and which are cheap (best for buying volatility strategies).

Sample output format:

Premium selling alert — IV rank crosses 50

When any ticker's IV rank crosses above 50 from below, that's an entry signal for premium selling: covered calls, cash-secured puts, iron condors, strangles. The agent flags it:

ENTRY OPPORTUNITY — NVDA IV Rank just crossed 50 (now 53). IV Rank: 53 (FAIR-TO-EXPENSIVE). Consider premium selling strategies: covered call, CSP, iron condor.

Monitoring Greeks on held positions

Greeks are the rate-of-change metrics for options:

• Delta: How much the option price changes per $1 stock move. Long call delta = +0.50 to +0.95 (ITM calls). Short put delta = -0.20 to -0.50 (OTM puts).
• Theta: How much the option loses per day due to time decay. Premium sellers love theta; premium buyers hate it.
• Vega: How much the option price changes per 1% move in IV. High vega = high sensitivity to volatility changes.
• Gamma: How fast delta changes. High gamma = delta changes quickly (dangerous near expiration).

Create a positions.yaml file listing your open positions:

positions:
  - id: 1
    ticker: SPY
    expiration: "2026-04-17"
    strike: 440
    type: call
    quantity: 1
    entry_price: 2.50
  - id: 2
    ticker: TSLA
    expiration: "2026-04-10"
    strike: 240
    type: put
    quantity: 2
    entry_price: 3.75

The IV agent reads this and pulls current Greeks from Tradier for each position, computing portfolio-level Greeks:

Theta decay tracker

For each position, compute daily theta burn (theta per day). As expiration approaches, theta accelerates. The agent alerts when:

• Daily theta burn exceeds a threshold (e.g., >$5 per day on a single position = significant bleed).
• Days to expiration < 7 (gamma risk increases rapidly).
• Delta concentration (portfolio delta > ±0.30 = overexposed to directional move).

Sample alert: WARNING — SPY $440 Call: DTE = 4 (last week before expiry). Gamma risk accelerating. Delta sensitivity: +0.68. Monitor closely for price action near $440.

IV crush detection

After a major event (earnings, Fed decision), IV often collapses. The agent checks: if IV today is >30% lower than yesterday (or the day before the event), flag it as "IV CRUSH DETECTED". This is critical for positions held into earnings.

Example: IV CRUSH — AAPL | Earnings reported yesterday (after-hours). IV: 28% (vs. 42% previous day). Crush: -33%. Watch for continued volatility contraction.

HEARTBEAT schedule

Multiple runs per day:

• Pre-market IV rank scan: 0 9 * * 1-5 (9:00 AM daily)
• Greeks check (intraday): */30 9-16 * * 1-5 (every 30 min during market hours)
• End-of-day IV summary: 0 16 * * 1-5 (4:00 PM daily)

Sample IV dashboard output

FAQ

What is IV rank and how is it different from IV percentile?

IV rank (IVR) compares current implied volatility to the high and low over the past 52 weeks: IVR = (current IV - 52wk low) / (52wk high - 52wk low) × 100. An IVR of 70 means current IV is in the top 30% of its annual range. IV percentile (IVP) counts what percentage of days in the past year had lower IV than today. IVP of 70 means IV was lower 70% of the time. Both are useful but IVR is more intuitive for most traders.

How do I monitor Greeks on positions I hold?

The Greeks monitoring agent reads your open positions from a YAML config file you maintain. You list the ticker, strike, expiration, contract type, and quantity. The agent pulls current Greeks from Tradier and computes portfolio-level delta, theta, and vega. It does not connect to your brokerage account — you manually update the YAML when you open or close a position. This keeps your brokerage credentials completely separate from OpenClaw.

What is IV crush and when does it happen?

IV crush is the rapid collapse in implied volatility that typically occurs immediately after a scheduled catalyst—most commonly an earnings report. Before earnings, options prices inflate because of uncertainty. Once the earnings are released, the uncertainty resolves and IV drops sharply, often 30–60% overnight. If you bought options before earnings hoping for a move, IV crush can cause your options to lose value even if the stock moved in your direction. Part 4 (Earnings Plays) covers this in depth.

When is the best time to sell premium based on IV rank?

The optimal window is when IV rank is above 50 (fair to rich territory) and you're selling 21–45 days-to-expiration contracts. At 21-45 DTE, theta decay accelerates and you have time for volatility reversion to work in your favor. Don't wait for IV rank > 70 (extreme)—by then the move has often already happened.