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As I emailed you back today, the constant maturity deltas are a reference and does not imply that we use the ITM IVs to create these important calculations. We weight the ITM IVs less than the OTM IVs to come up with those levels. We work very hard to create a smooth theoretical IV curve through...

We do not offer that. We have volatility of volatility, and volatility of implied volatility that you can scan on.

I'd happily do a comparison. I'll start by using your guidelines. Here's my method to find a good trading strategy starting with put credit spreads. I select testing for the current environment. The table will identify any tests performed under the following current conditions: High VIX > 20...

ORATS has the ability to delta hedge, enter and exit based on technical and volatility information, exit based on profit and other factors, and also the ability to combine strategies together. For example, if you wanted to test and iron condor and adjust the tested side, you could run the short...

The stock price is snapped at the same time as the options are snapped 14 minutes before the close. Markets are much more representative at that time. At the close data if very suspect. We have now over 65 million backtests pre-canned and ready for people to review, and have been running...

MSFT reports in 13 days. In addition to offering traditional close-to-close realized volatility computations, we offer a second way to view historical volatility. Our proprietary historical volatilities are calculated from intraday open-high-low-close stock price market information and...

We use delta to normalize the measurement of skew or what we call slope. At-the-money volatility is the implied volatility at the 50 delta call and put. Strike Slope is a measure of the amount that implied volatility changes for every increase of 10 call delta points within the intra-month...

We have fixed this. If you see anything off, let me know.

You are welcome. Know that there is much more to do. For example, if you look at similar backtests there are some losers: https://gyazo.com/e8301846b88fd2f4572ddb4f698b9fca The good thing about those is that the exit triggers are tight and the spreadPrice/stockPrice is small negative (small...

There is not much to go on here as far as reward to risk tolerance. It is a long process starting with backtesting. We have 10 million backtests just for SPY to get a sense of how this strategy may work out. We test with varying DTE, deltas, spread price/stock price, and options environments...

Higher profit for straddle owners this season Summary ORATS publishes an earnings season report that follows the performance of owning straddles before earnings and comparing the implied move in the stock to the actual move. This earnings season has been profitable to straddle owners. Saqib...

You might also try backtesting. You are able to see many strategies and how they fared in different market conditions. We have just released a beta backtester with millions of tests you can filter through and see how they performed. Backtests can be transformed to options scanning so you can...

ORATS has a stock scanner with a bunch of options indicators, and works with an options scanner too. https://gyazo.com/b98ba5b2119c69bc54feb98143abe2ec

If you don't mind sharing a test here, I can run it and post it. Otherwise, I'll look for you at ORATS

Hi Tall Mike Yes, many ET members use our backtesting service. We have been online for > 10 years, but we are introducing a new service where we do many backtests. For example, the first symbol, SPY already has > 30 million tests. Check out our new blog...

Agreed. We have a scanner where you can rank the Reward:Risk and POP% together to find the top trades for this tradeoff: https://gyazo.com/d88ccd5967bec5a26529011682679acc

Summary ORATS' Trade Builder tool offers three ways to analyze volatility: implied volatility ranges, Value Vol shading, and the IV vs. HV graph. The Value Vol shading considers four categories of volatility indicators: short-term volatility, long-term volatility, short-term slope, and...

You can also test the deltas around .16 like .25 and .1: https://gyazo.com/64ec4dc56185a6ec26f474b14fdeb8bb https://gyazo.com/c847757f4a2ac0c25185d422548f02f5 And the .1 short puts: https://gyazo.com/026ef4d1f3a76f62c882c9074cc27de2 https://gyazo.com/30f1eabf4215064d7c62149e3dba0b70 So...

Yes, I am doing less trading but it doesn't affect the returns. They trade every day. I trade every 5 days. That is just a setting in our backtester. Here are the rules: https://gyazo.com/1cf764c5f5c7440b8baa6714d08f2a5a

Instead of trading only every 45 days the 16 delta and waiting to expiration, which could miss some moves and lead to path dependency, I instructed the backtest to trade every 5 days the 45 DTE 16 delta short put.