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Typically, traders will use the middle price between an options bid and ask to think about a fair value. Problems occur using this mid price method: when markets are wide, when a bid and ask are temporarily off from their normal levels based on recent demand, or when the entire expiration...

Here are the top 10 GM long puts and ranking methodology: I set the rank roughly equal between the D% distribution edge and F% forecast edge. I did not weight the POP, S% smooth edge or risk reward. Here's a look at the top ranked long put: F% - Our volatility forecast is higher than the IV...

ORATS has three models for estimating the value of options. Below is an options scanner that presents the current market value's edge to these theoretical values: D% is the value of an option or spread based on the historical distribution of underlying prices adjusted for implied volatility...

Thanks for posting, Alex. I hope all is well.

Here'e the link to my podcast with Dean Curnutt of the Alpha Exchange. https://alphaexchange.simplecast.com/episodes/matt-amberson-founder-option-research-and-technology-services EPISODE SUMMARY Matt Amberson is among those who have watched the steady and consequential evolution of the listed...

Scalping gamma means delta neutral hedging the change in delta caused by gamma and a move in the stock. For example, we would give ourselves an imaginary 1000 gamma and follow delta neutral rules like flatten out deltas every .5 stdev move in the stock or every $1 move in the stock, and flatten...

When I managed a group of floor traders, we had a method for calculating HV using tick data and simulating scalping gamma and converting the profit into a vol. This was time consuming and expensive but gave us an edge because our findings matched what we were experiencing in the market. We found...

My firm offers historical options data https://www.orats.com/historical-quotes/

Break a leg. I'm looking forward to the podcast.

Yes, but those represent ranges, ie 10 delta is min-max 5-14, DTE is 20-45, and premium is -2.6% - -1.4%. There are not many but they show up in our scanner daily. Here are some current ones. I neglected to filter on earnings but the orange 'E' would be ignored in the backtested scan mentioned...

We did a large backtest on covered calls. https://blog.orats.com/covered-call-backtest-finding-the-best-maturity-strike-iv-and-earnings-methods Results The best maturity was 30 days to expiration and best delta was 0.10. Avoiding earnings was better than trading through earnings. Holding to...

What does this mean - I want to simulate which adjustment to make to the strategy under the new simulated market conditions? That you would, for example, buy a put and see how it looks under the new simulated environment or have the software find the option that flattens the strategy?

I'm sorry about your experience at AWS and that the snapshots did not work for you. Due to the size of the files and the transfer costs we recommend having a S3 AWS account. This has worked for all of our many clients on the service. We offered you API access and yes with the delayed files we...

The number has grown. Now we have about 5400 symbols. I have a more updated link if you want to email me. All but a few delisted symbols are in there. Cboe list has untradable symbols in there. We are complete and we check ours against three data providers.

Yes, if you don't want a subscription you can email me and we can work something out.

Thanks for your interest in the quotes. We offer end of day quotes & greeks back to 2007, 2-minute raw quotes back to 2015, and 1-minute quotes & greeks back a year. We work with Tradier, producing their live greeks and theoretical values, and can get live snapshots and data if you have an...

Here's a graph of the 10 day IV / 60 day IV, and the 60 day IV / 90 day IV. Email me if you want to do a collaboration or something.

We have this.

We calculate many of these metrics, showing the 30, 60, 90 days, 6 months and 1 year interpolated implied volatility, IV ex earnings, at different deltas - 5, 25, 50, 75 and 95. We also show slope and derivative (skewness and kurtosis) at 30 days and 2 years along with forecasts of these. These...

I thought this was an interesting trade. On another thread, I introduced a backtest of an earnings trading strategy entering long/short calendars and long/short straddles the day before announcement and exiting the day after. One of the signals was CAR LongCalendar as below. I am testing this...