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Yes, this is options data. It has greeks, IVs, and theoretical values: https://gyazo.com/8d2a0a6474454fa71523330f0bf62c29 We also have summarized data like IVs, implied earnings moves and borrow rates, forward IVs, delta IVs: https://gyazo.com/8eff741c051cfc3e397b1ce00a501aa3 We have these...

We have that data.

There are many ways to approach this question. The way we do it at ORATS is to look at: ex-earnings IV vs ex-earnings HV (with a good HV like Parkinsons. We have matched this to empirical studies simulating scalping gamma and converting to an HV.) Percentiles with ex-earnings IV Distributions...

Here's a sample zipped for the near EOD we offer (with a good ET discount in my signature) http://s3.amazonaws.com/assets.orats.com/ORATS_SMV_Strikes_20201217.zip We also have a 1-minute snapshot available back to Aug 2020 or a 2-minute raw back to 2015. The best is our 1-minute API that allows...

You can test most of the set ups mentioned. Here's the simple backtest of a 1 month, $5 strike diff, 30/10 delta IC. https://gyazo.com/a333b516f1eb544d32934cc3ec5e151f https://gyazo.com/b94cbafa5e98d69c936d4a117be81030 Here's adding exiting after a 7 day hold...

I saw that Fidelity was hiring programmers with API experience. I assume that they will be working on their positions and trading API, and possibly the mobile app. We are working with Tradier, TradeStation, IBKR, TDA (TOS) but not Fidelity because they have no API connectivity.

Yes, currently we have one IV adjustment for the entire trade.

IV changes are observed at the option level. In the example above, the short Dec 9th calls lost more in vega than the Dec 23rd calls made. The IV was up more for the short call than the long call. Each option has its own profit attribution and are added together.

This is a new feature to our online Dashboard options analysis platform. Have you ever wondered why you made or lost money from a particular trade or position? The new profit attribution can help you figure that out. The profit attribution works for existing positions and for trades you are...

Yes, area is like POP (probability of profit) or risk reward. We use three standard deviations. https://gyazo.com/f9b0c9e319e9ab9ac84c63980271eb35

We have an Options Scanner that can help. In the video, Kirk mentions POP, liquidity (slippage), adjusting IV to check profitablility, and using IV rank or percentile. We have all that. You can filter results for POP, bid/ask spread, and other metrics. Kirk is also a proponent of backtesting...

We provide both close to close and a modified Parkinson. When I was a floor trader, we devised a method using stock tick data to simulate hedging gamma and turn that profit into a volatility. We concluded that this method was the closest to mirroring what went on with actual trading. For...

You could backtest your set up and experiment with various exit strategies.

Here's the ORATS payoff picture for that showing you make money with a large down move. https://gyazo.com/b6e88f6ffda3632607cd8edd7ab05a43

How long is your mean? We use a modified Parkinson HV model that we call ORhv20d, HV 20 observations, and also a close to close HV. The ORhv1d to ORhv1000d is the range. The good thing with this observation is to get a one day historical volatility. SPY ORhv1000d is 21.7% and close to close...

The backtests we run show the rule of thumb that the market doesn't get the IV high enough or get the IV low enough. What that means, is during very volatile markets the IV does not go enough above HV and during non-volatile markets the IV does not go enough down towards a very low HV. The...

Normal but not always. Here are some times when the skew didn't flatten back to 2007. https://gyazo.com/aa76244d9c79c8b39bb1cff7b4f73492

Yes, we calculate breakevens and have a ranking system in our options scanner: https://gyazo.com/1850b7c164f422496f9316ed6490b347

You can make it do many things. What are you trying to accomplish? https://gyazo.com/71655d358b9d59844fda51c93d48b4ab

I was thinking the same thing. If you are referring to the Bloomberg article posted on ET, they mentioned single stock puts. ORATS terms the skew as Slope and our measurement is the percentage higher for each 10 deltas in call delta. A steeper skew is higher low strikes vs high strikes. So...