Finding unusually expensive or cheap options in the Saxo screener
中文标题
在盛宝筛选器中寻找异常昂贵或便宜的期权
Core conclusion · Tlines extraction
Saxo Bank shows how to judge whether options are expensive for a specific stock by comparing implied volatility with the stock's own history, using IV rank and IV percentile side by side in the SaxoTrader screener. Three 16 September 2026 examples diverge: Bayer options look cheap on rank (11.95) yet price roughly twice recent realized movement; Thyssenkrupp's mid rank (61.94) overstates expense because implied and historical volatility sit close; Lenovo is expensive on both checks, with percentile 78.57 versus rank 52.01. The screener only flags names; term structure, skew and spreads require the option chain.
- Institution
- Saxo Bank
- Published
- 09/18/2026
- Research topic
- Not explicitly stated
- Time horizon
- November 2026
Key arguments
- Options should be judged expensive or cheap against the stock's own history, not against other companies.
- IV rank and IV percentile can disagree; both must be read together with implied and historical volatility.
- Sorting by IV rank and rechecking after 15:30 CET brings the US session into the scan.
- A flagged row is a prompt for analysis, not a trading signal; the screener omits term structure, skew and spreads.
Key numbers
- Bayer implied volatility
- 36.47%
- Bayer historical volatility
- 17.52%
- Bayer IV rank / percentile
- 11.95 / 18.25
- Thyssenkrupp implied / historical volatility
- 55.05% / 51.47%
- Lenovo IV rank / percentile
- 52.01 / 78.57
Main risks
- Options carry a high risk of rapid loss and are not suitable for every investor.
- Historical volatility and past performance are not reliable indicators of future results.
- A screener reading may be unusable once term structure, skew and bid/ask spreads are checked on the option chain.
Corresponding source evidence
We will cover that route in the webinar Using AI and OpenAPI to elevate your Saxo platform experience on 4 November 2026 at 13:00 CET.
· November 2026A 36% implied volatility was near the floor of Bayer’s year on 16 September and would count as high for many large, steady companies.
Context: the conclusion is Tlines' automated extraction, not the institution's wording. Quoted evidence is publisher wording. Scope and date must travel with the conclusion.
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AI analysis
How this page was produced
Tlines extracted the conclusion, arguments, numbers and risks above from the report published by Saxo Bank on 09/18/2026, then structured them for comparison. The publisher's own wording is reachable through the source link on this page and is displayed in full above. Last updated 10/17/2026. Methodology · Source policy · AI usage · Request a correction