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ORATS.com has histories for all options and individual options that you can pull up manually in Excel or via an API using Python or similar. Dropbox was in the unusual options volume report we have on another thread on ET. We reported that the Aug-9 $21 strike put traded 4820 contracts and...

Symbols with High Options Volume vs Normal 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 of options volume today to...

You are missing delta. If the stock moves more than you paid for your ATM straddle you are profitable. That's the delta component. Vega will decrease as the stock moves away from strike, so the vega drop on the upside will be mitigated. The longer duration of the straddle, the more vega and...

One way to check your price is to generate a smoothed market volatility (at ORATS we call this the SMV) skew and compare the theoretical values or implied volatilities of the market. In the picture below are the IVs and the SMV. You might compare the red square mid market IV to the SMV vol...

Agreed, too close to the close and the markets get wonky (wonky=punky and junky) We take a complete snapshot of the US equity options market 14-minutes before the close of trading each day. Why 14 minutes before? Our ex-market makers and traders think that is the best time, the closest to the...

We get open interest at 7 am EST.

We can get you that. We have 2-minute quote snapshots. We have two minutes before the close and right at the close if that would work. Since it is not delayed you will have to pay exchange fees. I realize it is after the close but they still apply. If you can wait 20 minutes you wouldn't have to...

My experience (12 years as a market maker and 30 years in the options business) is that the cost of execution is best estimated by a percentage of the width of the bid-ask spread, especially for an infrequent trading strategy. I stated a trade frequency of 12 times per year for the backtest. I...

Thanks for the feedback. The point of the post is how costly slippage and commissions can be. With none of these assumptions, you might expect the returns from a long call spread and short call spread to be equal in absolute value, like the long call spread returning -6.37% annualized and the...

You might think a strategies like short call spreads and long call spreads should have equal and opposite returns given the same trading rules. That would be true except that ORATS considers commission and slippage in our Backtester. Take these VXX examples: Long call spread and short call...

Last week was the wildest earnings week of any in the ORATS 3-year study, as measured by the average actual moves divided by the estimated moves. Earnings season starts a couple of weeks after quarter-end, at either mid-January, April, July or October, and runs for about 6 weeks. Each week...

Thanks for the feedback. We will check our volumes against another source and figure out the discrepancies. Note that we take a snapshot of the entire market of options 14-minutes before the close, so the closing volumes will be different.

Symbols with High Options Volume vs Normal 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...

Why Orange? Ha, thanks for the question. First, with a name like ORATS we need to have a bold statement and the first three letters are the same. Second, apparently candy companies like orange too. You may not believe this but on the back of a Reese’s peanut butter cup it reads: “Orange...

What you will find is that in times when the market is moving quickly, the market makers will widen out the markets. You will also see that near the close bid-ask spreads will widen. I say this as a past market maker on the Cboe. With our backtesting database we take snapshots of the entire...

There are times when you want to backtest a 'non-traditional' options spread as a package rather than as a combination of two or more strategies. The Combine feature allows users to simulate a vast array of strategies but managing exiting the package on a delta becomes tedious. We had a...

Have you taken a look at this site? https://www.alphavantage.co/

Good question VolSkewTrader What to do now with the VIX this low. The VIX below 12.5 has only triggered our backtester 18 times. I have backtested the strategies you mentioned as follows. 1. Buy VIX futures if VIX under 12.5 and sell if gets above 15, 17.5, 20 or 25. For starters if you...

Our strategy was to be long units, not necessarily long vol. By units I mean for example if you were long stock you would be short 1 downside unit. If you had a ratio call 1 x 2 (+1 -2) you would be short one upside unit. I was the backer of other market makers and by being long units you could...

Good idea met1989 . My firm ORATS has a backtest scanner where you can set many options critieria and backtest the strategy and scan on the results. You can use exit rules as well. For example, we have "Exit Strike Diff %" where you exit once the price of the fly divided by the max profit or...