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Watch we run through an earnings report for Oracle. Oracle reported after the bell on June 13th, 2022. Let me know what you think of this video. The ORATS dashboard is an all-in-one package for backtesting, scanning, trading, and risk. Harness the power of our deep data set in an online...

Open interest updates at night from the OCC. We have the data a few hours in the morning that we publish. Here's a graph of OI by option:

The video of the event can be found here: https://www.wallstreethorizon.com/news/dataminds0522

Matt Amberson, Principal at ORATS, joins Data Minds tomorrow,Tuesday, May 3 at 11 am ET for a virtual panel for approximately 45 minutes. Panelists: - Eric Lebovich, CFA of Point72 (Moderator) - Rachel Carpenter of Intrinio - Chris Petrescu of CP Capital Enterprises - Matt Amberson of Option...

Email me matt@orats.com and I'll get you set up for a free trial.

Earnings crush is the fall in implied volatility after earnings is announced. Typically, earnings announcements cause the price of the stock to move more than normal. The move will have more effect on short dated expirations since the day of earnings large move has more weight than the rest of...

ORATS has been backtesting options for clients for over 10 years. You can backtest any option strategy dating back to 2007. Backtest bullish, bearish, and neutral strategies - ranging from covered calls to diagonal calendar spreads. Customize days to expiration, strike selection, and many...

Another way to think about changes in options prices when your prediction is not precise is adjusting the future distribution. If you construct a distribution of future returns based on the time to options expiration that has a zero expected value for the stock, ie summing the percents * stock...

Our new Analysis tab has room for multiple legs, theoretical values, payoff pictures for expiration and T=0. Let me know if you want to try it and I'll set you up with a free trial. Here is the options chain graph with the options in the trade circled.

We have added fundamentals and options information to our scanner: You can also create ratios and compare to ETF levels. dashboard.orats.com

Here's that trade overlaid with the stock price, insider trades (note the large buy in green up arrow), valuVol shading (the green is buy and red is sell), and trendlines. The IV/HV graph at the bottom with the earnings line in the future shows that earnings is 5/5 so the 5/6 has the earnings...

If you look at call spreads, here are the results with a 10% bullish assumption. Note the D% column is with the shifted distribution to make the expected value of the stock price up 10%. Here's how I rank the columns in the table above to calculate the Rank column: I have the distribution and...

If you were to buy just one option and your outlook was bullish by 37.5% you can plug that into the scanner and get the following: The way our process works is we adjust the distribution from an expected value of the current stock price to the expected value of 1+bullish 37.5. This shifts the...

We have near EOD back to 2007, 1-minute back to August 2020. https://www.orats.com/historical-quotes/

Below, is our new Analysis tab in the ORATS Dashboard. The circled cyan horizontal bar shows the open interest in the May $44 strike options that mostly traded on March 25th. Implied volatility graphed below that started to rise that day (purple arrow up) into the big announcement today that...

This or this?

Yes, just sign up for the trial API $29 for 14 days and you can get the data. https://orats.chargifypay.com/subscribe/shnh5nktjp4s

You can use our API to gather information every one minute (not intra one minute) and get that data.

I have used all of those and know they have simulated slides but I do not recall them having P&L attribution. If I understand the intent, each open position would have a P&L since inception and that would be attributed to the greeks. The P&L attribution calculation would have to be done daily...

Options would not be worth less than true intrinsic. People may sell options when there is not enough liquidity in the underlying. I traded stock and options in GME those fateful days and it was totally nuts. You could see the stock move $100 in a couple of seconds. It could also be a timing...