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ORATS has a P&L graph. https://gyazo.com/c184e41be353d3064eb1f3db22d75838

Is this about paper trading? You are so huge we had to up our default amount of equity to $1 million. We are working on that today and will let you know.

The snapshot was taken at 12 noon ET as you requested. The stock price is the solved futures price for each expiration. This is the price we use to calculate greeks and theos. https://gyazo.com/d09676ffcec5c1c316315acebaeb4806

I am referring more to the 2000 other stocks with variable dates and amounts. WSH does a good job updating the changing estimates for upcoming dividends, and we technology for seasonal patters and have a dividend person dedicated to updating and overriding where appropriate.

An academic wrote a nice article on the ORATS API here:

Hi Quanto Yes, it now requires a token. We had some users pounding the endpoints so we had to disable. I've attached the file for VIX for that date and time. We have a special month to month price for EliteTrader members. You can get 20k hits for a month and then stop the subscription...

ORATS offers that. It is not cheap and we partner with a top firm to get intraday updates. https://orats.com/dividends#pricing

From their site "We take the closing model of each underlying symbol, along with all of its options at the close of each day, and create a curve-fitted surface and implied volatility mesh of all its options. We then calculate the 1-minute Open, High, Low, Close of each option price using the...

ORATS has 1-minute intraday data with delivery either by API or entire snapshot delivery. We go back three years with full greeks, theoretical values, IVs, and constant maturity summarizations. We update every minute throughout the day. We have an extremely fast database so you don't have to...

If you look at HV 20 day Parkinson divided by IV 30 day for today: Date SPYhv/iv IWMhv/iv 11/17/2023 1.18% 1.25% I would say that is -7% of negative edge. I have backtests back to 2018 of the SPY long straddle and the IWM iron condor above. Using our tool you can find those and...

Good points, MW. It is critical for traders to develop their own models, and it is important to understand how calculations are derived, especially if you are putting dollars behind them. However, I do not agree that opaque calculations make them worthless. We do communicate in general how we...

No MW, measurements <> forecasts. We do use a flavor of cubic splines to summarize the skew. From that fit we get accurate ATM IVs, slope, and curvature numbers. We forecast those measurements and others using various independent variables that we do not disseminate.

ORATS makes forecasts of historical volatility, implied volatility, earnings, skew and kurtosis (what we call slope and derivative). In testing, we have found that these are important in identifying profitable trades. https://orats.com/blog/forecasting-the-options-volatility-surface

We have a real-time options scanner that connects to a stock scanner and can be fed from our backtester. Our scanner has three theoretical values for each trade, probability of profit, reward to risk, market width, OI, greeks that you can filter. The stock scanner finds tickers that match your...

Yes we do. matt@orats.com if you like.

We have a few feeds to check our main corporate actions feed from Wall St Horizon. We sell our dividend feed to exchanges, funds, banks, and individuals. The fix we did was how we database earnings dates that have passed. We had an issue when companies had changed their announcement date near...

If you guys have a test you'd like to see, let us know. We can do stock only although we are mainly an options backtesting platform. Our near end of day data goes back to 2007. We have entry indicators that include technical indicators and options information. We have the same exit...

THE DATA ABOVE IS NOT ORATS DATA. It was unclear to me and I have confirmed with Aquarians. To answer your questions: 1) Yes, of course, we get a snapshot of underlying price and options at the same time. 2) No, you can't assess the underlying as stopped moving. We take a snapshot with very...

Yes, as said in the article "ORATS has a method for isolating the straddle price that relates only to the earnings announcement. To do this we project an earnings move distribution and the implied volatility change from before earnings to after earnings. Isolating the straddle allows for better...

Yes. We have been in business since 2001 so new is relative. We developed the residual straddle value approach in 2017-2018 and that metric was better than the old ones, implied earnings effect and impernmv. Thanks for pointing that out.