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We use delta to produce slope. This will normalize the strikes and make the comparison better inter-month, and inter-stocks. Our Slope is up today and so is this method (25 delta put vol -25 delta call vol)/ATM vol https://gyazo.com/5cdadad90422b88228119b8f4cccf438

Yes, our skew data is available in real-time. It takes a few seconds to calculate, but yes, it is available and requires a Tradier account. We also produce 15-minute delayed. Here is a sampling of the Live Data API: iv10d=implied volatility at the 10 day, ATM Slope see the previous post...

I just put up a separate thread based on your post: Is skew cheap or expensive? I look at historical slope (our measure of skew), ratio of slope to the best related ETF, ratio of slope to the components of the best ETF, and ratio to the forecast slope.

Skew in options is the slope of the implied volatility of the strikes in an expiration month. Skew is constantly changing and can affect the value of options and spreads. Risk reversals and wide vertical spreads are among the most affected by changes in skew. So, how do you know if skew is...

There are nearly 1 million options and there are going to be cases where there are quotes that are non-standard or stale from the exchanges. When we backtest, we use a put-call parity flags, clear mis-pricing flags, and other methods to avoid simulating a trade. However, when we publish this...

Aquarians, running sanity checks like you did is important with historical options data. You will often identify odd options that have prices that seem to violate put-call parity. What is happening is that there are special options that have non-standard specifications due to dividends, special...

Hi Aqua We take a snapshot of all options prices and stock prices 14-minutes before the close. The stock price and options prices are taken at the same time. Moreover, we utilize a residual yield solving mechanism if for some reason the stock price is off from the options prices. The residual...

Backtest put strategies that do what you expect in tough times like 2008, 2020 or other times.

I am suggesting that representative options markets are better reflected well before the close. Many firms trade large size on the close. One of our clients trades like this. It makes it very difficult to hedge an options trade when the volume is so great in the underlying. There are methods for...

As a past market maker and backer of market makers, I echo ajacobson and newwurldmn adding that there are many firms that have algos trading stocks and some options near the close that will create additional volatility near the close. We take a snapshot of markets 14-minutes before the close...

This is a good test but has a couple of problems. AAPL post split closing trades are valued at zero. You should be exiting at expiration at parity. You are penalizing yourself for using the bid/ask. For example, SAM 3/19/21 closed ~1100 and you marked your 1500 calls that should have expired...

We have an EliteTrader special at https://info.orats.com/elitetrader Tools-Backtester Wheel Special Startup $299 First Year or Wheel Special $49 Month

I think it is basic. They want to participate in the bull market on these names. They buy calls at low prices. Gamification.

And today thanks to the Robinhood type traders, we see a skew in the right tail. Below is a graph of 5 delta IV divided by 75 delta 30 day IV for the components of the S&P, we denote SPY_C in our wheel.orats.com online platform: https://gyazo.com/608d1eaa78dc96fbd9cf7ed7fcd6ed6f

Hi We have special EliteTrader pricing. https://info.orats.com/elitetrader Historical near end-of-day quotes back to 2007 via FTP are available for a special price of $399 per yearfor updating files daily plus only $399 one time fee for initial bulk download. We offer a one-time and recurring...

You could simulate a backtest on your short puts and combine the returns with a long put like this one in SPY:

You might backtest your strategies and compare your performance. Here's a ITM buywrite in AAPL

Benefits of smoothing Smooth market volatilities (SMV) derived from the options market helps traders make sense of a plethora of exchange quotes. There are three main benefits of smoothing the implied volatility skew: Call and put theoretical values can be compared to market bid-ask quotes to...

Option Research & Technology Services = ORATS No takers on the hats yet--are you guys shy? Get'em before cancel culture says we are mean to rats.

There are ways to structure crash protection with off setting shorts. I prefer a short put spread against owing two long term puts. Here's a backtest of that structure: