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For thinly traded options you should use a theoretical value. The last trade of an option could have been days away when the stock price was much different. Bid-ask quotes are often very wide and meaningless. A theoretical value based on a smart smoothing process of the implied volatility is...

Hi and thanks for the mention. We can go over the NVDA slope signals if you like. You can email matt@orats.com and we can compare signals. Like I said that graph is new so it would be great to check our calculations. - Matt

Hi TheBigShort Thanks for being a subscriber. I'll expand on the how we calculate the earnings effect defined as the amount of extra implied volatility in each expiration due to the expected move after an earnings announcement. To remove the implied earnings effect in the IV, ORATS follows...

Hi Baozi I can explain an approach we take and maybe it will help. Before starting, you should set your purpose of this effort: is it risk management? is it for finding trading opportunities? For us it is both. The first step is cleaning the quotes and applying good inputs to our modified...

Hi Syd I like your strategy. Let me know if you want to discuss adjusting the backtest to be more in line with your unique features or if it is even possible. We have the ability to add a re-entry rule like you use to make the results closer to yours. Even though we may not be able to match your...

Hi Syd The spreadsheet represents the results of the strategy backtest for the rules I estimated from the results on your site. I backtested the symbols above with the rules above. I used a 20% margin as you did. Matt

You can access historical options data back to 2007 on our API or FTP. We have an Excel sheet to get the data too. Here are the fields: Field Definition ticker underlying symbol tradeDate trade date expirDate expiration date dte days to expiration strike option strike stockPrice stock price...

I did a quick backtest of the smartoptionseller.com strategy based on the trades record. I used the stocks listed in 2019, selling a put 100 days out with a delta of .05, minimum price of $0.20 and exiting when the price fell below $0.03 or when the loss was over 400%. Here are the results...

Hi Jeff, my firm ORATS offers an online backtesting platform that meets your specifications. Pros: Flexibility: From Long Stock to Iron Condors, from combining strategies to using triggers to trade, the backtester can test the vast majority of ideas we have heard in 10 years of backtesting...

You can contact: optionshelpdesk@nasdaq.com to request additional strikes

Here are some notes on the product: - NDX is Cash-Settled, European Style - NQX is 1/5 the notional size and still tracks the Nasdaq 100. Monthlys and Weeklys – all PM Settled - Monthly Third Fridays are AM Settled - Weekly Expiries have the root symbol NDXP and are PM Settled, they are...

Okay, let's look a dividend paying stock. Here's a report we put out on high upcoming dividends. Let's look at MMM. That $1.44 dividend is going to play havoc with pc parity. In column F, I put the formula, = strike + call mid - put mid bid-ask. So options are being priced off of the...

Here's how we handle this situation. We create a residual yield rate to line up the calls and puts. For BYND the residual rate is the market's implied borrow rate. For Robert's example, the Sep implied borrow is 63%. This lines up the call and put IVs to about a 55%. When you have a...

Here's what I got from TradeHawk: TradeHawk is a front end stock and options trading platform. It is fully integrated at Tradier Brokerage, a U.S. FINRA regulated, SIPC insured broker dealer. TradeHawk supports many types of order entry and management including conditional orders, trailing...

With only 12% of firms left to report, we can start making statements about the overall earnings season that started mid-July and continues to the end of this month. It has been an incredible earnings season especially the big moves in stocks after announcing versus the expected moves as...

Exelixis, Inc. (EXEL) large options volume at 15 times normal looks like a long call was rolled into a later month. The long call that looks like it was sold was the: $18 strike call delta 0.99 Aug-16 DTE 5 OI 20221 bid-ask $2.1 - 2.3 IV 47.4% (prior $2.7 - 2.95 IV 95.2% (the IV dropped...

8/12/19 Symbols with High Options Volume vs Normal Nasdaq-100 Stocks Explanation ORATS computes todays total options volume in all tickers with US equity options. The total options volume for each symbol is compared to its average volume for the past 20 days. The tickers with the highest ratio...

https://mytradehawk.com/ may work for you. They are a client of ours and I have asked them to post here about their capabilities.

Here's a comparison between a long call and long call spread strategy backtest in SPY. They are both 30 days to expiry. The long call is a 50 delta. The long call spread is a 60/40 delta. First the long call with an average annual return of 0.32% based on returns over the stock price. Second...