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No, we use off the shelf simple Black Scholes code for that. Here's a python example http://vollib.org/documentation/python/0.1.5/apidoc/vollib.black_scholes.html We also have an internal modified binomial model we use for more stringent needs.

Below is our Chart in Wheel where you can see the 25 delta IV 30 day / 5 delta and to your point the 5 is more expensive than usual. However, the 75/25 delta is still high as happens when vol falls.

Thanks and thanks to Alex for posting.

You may want to use the average delta over the move in the stock. After a stock moves the ending delta will be different from the starting delta. The ending delta is the gamma times the stock price change plus the call delta. endingDelta=gamma*stockChange+delta...

The live data API has the usual greeks with the addition of smoothing implied volatility theoretical values, forecasted historical volatility values, summarized skew parameters, component weighted averages. Here's a partial list: cValue Call theoretical value based on smooth volatility. cAskPx...

Here's a podcast that Michael and I were on https://blog.orats.com/ai-machine-learning-and-fitness-functions-in-options-explained enjoy...

Michael is the real deal. Congratulations!

Tradier also has and API to trading and to market data. We at ORATS provide some premium data. ORATS offers Tradier Brokerage users 1) live options market data with implied volatilities, theoretical values and greeks delivered through an API, and 2) web-based tools to backtest, scan, view...

Gordon You may consider a smoothing mechanism to estimate theoretical values for all options in the chain. Next, follow the best bids and offers and what their relationship to the theoretical values were. These could act as a layoff trade to make a spread from another option in a related set...

We did a large backtest on selling calls that stocks that had a recent history of gaps to the upside were less profitable than those that did not.

Hi Marc I would take a look at a backtest of URI and even similar tickers and see what type of strategy you want to do. You are doing the 'Wheel' strategy that is usually not collared when the stock is assigned. I've run two backtests, one on the short term puts you are considering and another...

A few more observations from the options market: XBI trades about double the options per day by average but has a wider market bid ask width in IV terms. XBI is much more volatile trading at 40% IV vs 28% for IBB. HV for the year is 39% and 31% for IBB. XBI has a steeper short term slope, puts...

Hi Gowthamn We apply a smoothing system called the SMV for smoothed market values. The first step in the SMV System is cleaning the quotes and applying good inputs to our modified binomial pricing engine. Using our dividend feed and option pricing methodologies, a residual yield is solved for...

The bottom chart shows the long term IV in vol points. Last year was 0.0017 now 0.017, 10x wider. Wow. This agrees with what you say. It looks like after that June 11th down day the markets got wider.

The call put ratio can often reflect the bullish or bearish views of options traders, with more calls trading indicating bullish sentiment. The ratio should be used as a relative measurement to its normal level for symbols. For example, the SPX call volume lagged put volume over much of the...

Implied volatility and historical volatility readings show XBI as more volatile especially yesterday (60.2% modified Parkinson vol) ticker iv20d iv30d iv60d iv90d orHv1d orHv5d orHv10d orHv252d XBI 38.5 38.2 37.8 37.8 60.2 38.2 32.3 38.9 IBB 29.3 28.8 28.5 28.8 44.4...

Look at a combination of IV percentile, IV of the stock vs the most related ETF, IV vs forecast. Below are a few that can be accessed in our API. You can set up an Excel sheet to bring in the numbers and sort them. Our forecasts are a proxy for comparing the IV to HV or IV to IV.

Wells Fargo's implied move is 1.3% more than its normal move. Goldman is 1.1% more, First Republic 0.9%. ORATS calculates the expected earnings move in stocks based on options prices. We calculate the move by adding the at-the-money call and put (the straddle) and subtract the expected value...

We have 2-minute data back to 2015.

Hi Ati No, we have not done those types of studies. I can discuss getting you some 2 minute snapshots of the entire market bid-asks if you want to do the work. We sell zip files of daily snaps. The files are large.