Search results

The options market implied volatility (IV) is good at reflecting the sentiment of the market. The old Wall Street refrain is that the market climbs a wall of worry and slides down a slope of hope. Looking at the implied volatility graph since news of the corona virus, the market turned bullish...

Great. Thanks for checking this out. I want to make this available to EliteTrader members so any feedback is appreciated. I'll clarify the definitions of the earnings moves you mention.

If I understand you to want to cover your downside, you may want to consider way out of the money long term puts and over hedge (buy more puts than are represented by your long). Here's what the backtest looks like:

No, we cover US equity options back to 2007 including VIX, SPX cash indexes, ETFs, ADRs and stocks. Here's what an output report looks like:

If you need to check the results of your strategies against ours, I'd also be happy to help. We backtest on market data snapped 14-minutes before the close back to 2007. We have entry and exit rules based on options data levels and technical indicators so hopefully we can replicate what you are...

Since early March 2020 we have seen mass cancellations of already-declared dividends. ORATS provides global dividend forecast data for over 25,000 equities, ADRs and ETFs, including US, UK, Europe and Asia, and it is bad everywhere. In the UK, in just one 4-day span we recorded over 50...

Hi Aquarians My company, ORATS, has market data and backtesting for US equity options. Let me know if I can help.

Go to wheel.orats.com and under Indicators is the charting tool. Let me know if this works for you.

The markets are so wide in the RUT that, our component average is not meaningful. Here are the components of the DIA showing a large uptick in implied earnings recently: https://gyazo.com/4b95320892891117036e5ef918a2887d

The options have repriced but the bid-ask is so wide it is tough to get an accurate number. This is a chart of the implied dividends annualized for the components of the DIA, the Dow 30. See how the implied div has been falling recently.

With the start of earnings announcements two weeks away, the magnitude of expected moves in stocks is climbing according to options prices around earnings expirations. Pictured below are the S&P 500 weighted average of components implied earnings move. Investors are grappling with earnings...

The upheaval wrought by the corona virus has forced many companies to suspend or cancel dividends. ORATS dividend feed tracks these changes continually. To name a few: Ford ($F), Boeing ($BA), Mariott ($MAR), Delta Airlines ($DAL), Macy's ($M), Norstrom ($JWN) have suspended their dividends, and...

If the script from 2008 plays out, yesterday's implied volatility fall to 45% could mark a turning point for the SPY rally. In the blog linked below, we discuss a put spread collar strategy to protect your portfolio...

The article is linked here: https://blog.orats.com/reuters-article-on-fear-measures-volatility-skew-and-bid-ask-spreads-with-matt-amberson As we showed in our blog back in mid-March https://blog.orats.com/extreme-fear.-is-this-the-bottom-charting-the-virus-with-options-data, measures of panic...

Yes. When the market becomes too complacent, that signals a peak.

By the way, it is the same story for the Nasdaq 100 names, WIDE WIDE markets: https://gyazo.com/13e807fe6145e9e4ecded56541101a7a

Another way to look at these widths are in IV points. Here you can see that the SPY width compared favorably with the 2008 market. https://gyazo.com/d2e2924632e5d6d3d3594aef6647e23f What is suprising and worrying is the complete disarray in the single names. Here is a chart of the S&P500...

Comparing this rally off the bottom to 2008, similar rallies ran out of steam as the SPY IV 30-day fell to about 45%. Now the IV is at 52% and falling. https://gyazo.com/39bdbf211624f2fbbbb3a088e330643e https://wheel.orats.com/ to access graph for free

We are looking for SPY IV 30-day to fall to about 45% that could signal the end to this bear market rally. https://gyazo.com/fa6b943c8df6f98b293bb52b71158bbf

The last time vol was this high in 2008, the SPY implied volatility at 30 days bounced between 45% and 75%. These extremes coincided with market tops and bottoms respectively. SPY IV is currently 51% coming down from 75% on 3/18/20. Access this graph for free here: https://wheel.orats.com/