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It makes more sense to solve for earnings effect and result in a rational term structure than to result in a term structure that matches an index.

Here is how ORATS does it. We determine the IV of each month through our strike smoothing process. (atmiv) We perform a term structure fitting function with three variables, short term, long term, and earnings effect, and continue until we minimize the squared error. (calVol) By removing the...

This is a special price for ET. One-time $399 for near EOD back to 2007. https://info.orats.com/elitetrader Historical near end-of-day quotes back to 2007 via FTP are available for a special price of $399 per year for updating files daily plus only $399 one time fee for initial bulk download.

The long straddle in SPX is the inverse of the short straddle except slippage is considered. 15.77% vs -18.11%. The slippage is traveling 75% of the bid ask spread to trade. Trading mid would be 50%.

Hi. No. In both graphs the straddles were held to expiration. The first was entered the day before expiration with 14 minutes to go in the trading day, so was held for 24 hours and 14 minutes. The second was entered 14 minutes before the close and expired. Our backtester uses only options data...

Here's a backtest of 2022 YTD trading the day before near end of day (14-minutes before the close). Ugly -18.1% However, here's trading the last 14 minutes and letting the options expire and exercise to cash, a respectable 3.6% (return divided by index price) and Sharpe 1.01

We are an RIA so we need to avoid performance claims. There are firms managing > $100 billion that use the strategies tested, and the backtester has been in use for over 10 years.

No, we do not prove backtest. We do make it easier for clients to do this.

No. No. The backtest runs on our machines. You may be interested in our new one-minute intraday API. Get down-to-the-minute summaries and option chain data since August 2020. Drill down to request current and historical information on an option's OPRA as well. You can try calling the data via...

Forward testing can be used in addition to backtesting. Using our system, we often update backtests for clients acting like a forward test. Our scanners can implement backtest strategies by easily importing the parameters. We try to make the backtesting simulation as close to reality as...

You can do this with our backtester. https://blog.orats.com/backtest-your-own-signals

DTR had this as one of their best set ups for a SPX iron condor: Profit Factor (4.5%): 80 DTE ST structure 25 pt. wings 8 delta shorts 300% stop loss / 50% profit taking 2007 - 2016 win rate: 96% 2016 - 2017 win rate: 83% I am sure there are differences in how these were implemented...

What days to expiration and deltas are you thinking?

Yes, in my signature SPECIAL ELITETRADER PRICING https://info.orats.com/elitetrader

ORATS scanners are not free but we offer a nice discount for ET. Here is unusual call volume and other measurements as filters. The stock scanner results can be sent to the options scanner.

We measure how wide the bidIV - askIV is for every option and weight higher closer to ATM. It is helpful to judge liquidity. The last row above notice how the Oct 7 expiry is the widest 0.4% while the Oct 21 monthly expiry is tightest. We also have two constant maturity mwVols at 30 days and...

Here's what we have: And here's a look at the term structure (bottom right orange dots) along with trendlines, insider trades, valuation of surface, history of IV & HV:

TOS is not dependable. After hours I think they price on the bid ask of the underlying which doesn't match where the options were priced. Here's ORATS - For reference Fidelity is about 30%.

Here's how Omnieq compares to ours: They can rank based on its return-to-risk ratio, probability of expiring out of the money, and expected return. We rank on return-to-risk ratio, expected return edge, forecast edge, smoothed IV edge. We sort on many like ask-bid, open interest, and delta...

I wrote to Ernest about this. He and I will be at the Chicago Trading Expo September 27-28.