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I will put today's results here. If anyone wants to see more, you can ping me. There were three winners and one loser from yesterday, GRMN. Today there are some long straddles, short straddles, and long calendars.

It could be over fit. If a test is over fit it will likely not perform out of sample. What is important is being predictive. Fitting historical data with a small set of relevant data and testing out of sample can work. It is important to watch for the out of sample tracking the in sample...

This is why out of sample testing and actual trading are useful. This is why curated non-obvious data sets are important. This is how edge is developed and determined. What makes the data curated non-obvious? Earnings move estimates use residual straddle valuations based on distributions...

The results are above. Looking at ~6500 announcements Jan 2020 - July 2021 we optimized signals so they were showing a signal about 2% of the time. That produced an in sample average return for the buy straddle for example of 0.52% in sample and -0.20% July 2021 to yesterday (returns = mid...

We are testing an Earnings Trading Signals system. It had FB for a calendar: 12-Nov'21 325 vs 14-Apr'22 330. Below are the backtested results in sample and out of sample. The long calendars have tested the best especially out of sample. Still a young test.

No. An implied borrow that is high is when the puts are bid to the point where put call parity needs to be adjusted by the interest rate to make parity.

It still does not look like a short squeeze from the implied borrow rate.

Backtesting is very difficult to do well. We have been providing the service to some of the biggest institutions for 8 years and are now offering it to retail through our online tool.

It doesn't look like a short squeeze as you would normally see the implied hard to borrow (our Borrow 30 day) spike. For example, here is a list of high borrow rates with confidence > 68% (our measure of options market quality): Borrow 30 day interpolates the solved borrow rates from each...

We have historical quotes information back to 2007 14-minutes before the close snapshot of all optionable stocks. We have 1-minute quotes information back a year and 2-minute raw quotes back to 2015. https://www.orats.com/historical-quotes/

I like (25D put IV vs 25d call IV)/ATM vol more than (25D put IV / 25d call IV) as it has some concept of the derivative, ie the distance the ATM vol might be off the 25d line. We designed the Slope measurement to incorporate the curvature by taking it out of the skew before computing the...

If you guys have ideas on how we can improve or design an interface, we listen. We are working with ET traders on trade analysis. Above is a payoff picture for a 1 3 2 put fly. The Distribution% is the nodes percent times the terminal value payoff compared to the trade price. We also offer...

I'll talk about skew and IV a way to tell they are over or undervalued. The best way I have found to represent skew is by the slope of the IV line at the 50 delta adjusted for derivative or kurtosis, or the smile. The problem with using the 25 delta call/put is that it does not account for...

Here's our order analytics (beta). We do not have the ability yet to show fractional underlying with the options strategy. I used the FEZ in place of ESTX and converted the strikes and days to expiration based on current markets. Our theoretical values for each of the options make for a...

Here's how you set up Spitsnagel's: Universa also will close part of their hedges say down 20% or when the OTM% reaches 90% from 70%: Not much protection exiting there. Here's with no exit. Note: no winning trades. https://wheel.orats.com/backtest/1LZBvmw7dFqePHsSymh5BbunQojeuCjrg4 Here's...

Our backtester at wheel.orats.com can be set up as below. For splits, we exit the position the day before and re-enter the day after automatically. It takes a few seconds to set up. Also, we can stagger our trades and simulate entering the position every x number of days, here Entry Days =...

We’re excited to announce the launch of the new ORATS.com! With original animations, transparent pricing, and improved navigation, it’s easier than ever to browse our products and find exactly what you’re looking for. We even made a promo video to celebrate the launch! Top Improvements We...

We have 1-minute intraday snapshots back to August 2020. It has full smooth market values SMV greeks, theoretical values, and IVs for every minute during the trading day of all US equity options. We have 2 Minute snapshots back to 2015. This is raw options market information snapped with...

You can recreate this spread in FEZ in our Wheel online product. If the strikes were about -1 call at 95.7% of euro stoxx and + 2 calls x 101.8% of the stock price that translates to about the 45/48 FEZ call backspread diagonal. The $45 strike IV is 21.3% and has a 84 delta $48 IV is 14.8%...

There are a lot of important variables in trading. One approach we take is this: Find a good options strategy for a particular stock. For example, in AAPL a long call spread with the following parameters tests well. Test various indicators to see if they improve the in sample and out of...