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Correction: Yesterday was the highest total options volume on record.

It was the second highest volume day today in options behind February 28th, 2020. The Russell outperformed the Nasdaq more than any other day on record. A massive move in the far out of the money calls in the Russell ETF and component stocks fueled a morning spike in volatility as market...

This looks significant in at least two ways: 1) sheer numbers and 2) significant movement in the skew to historically low levels. I was a market maker in single name options and backed traders. Market makers, even the much larger ones today, hedge their book as much as they can. Hedging delta...

The last two months of market and volatility action is unparalleled. Usually, when the market rises, volatility falls -- since 2006, this has happened 90% of the time. The last two months, however, has seen a volatility rise connected to a market rise 25% of the time, more than double the...

We get it two hours before the open.

If you are going to trade options in wide markets it is important to have a measure of relative theoretical value. To find relative value an implied volatility smoothing mechanism is used. In CLCT, I have highlighted in red some very wide puts where you would get very burned trading the mid...

We have a live data feed through a partnership with Tradier Brokerage and calculate IVs for all stocks, ETFs and indexes, and provide summary calculations. We also have ways to trade fast with opportunities present. Here a few 'other variables' we calculate in real-time. "annIdiv"...

Yes, showing large moves like 40% or +- 3 standard deviation moves at the option, ticker, best ETF, and the entire portfolio together is interesting to me. You can look at that simply adding all the returns at the nodes in standard deviation moves of all the tickers modelling correlation going...

My firm, ORATS, has a trading application. We currently have backtesting, scanning, and charting. We are adding risk and the ability to send trades to brokerages via APIs, starting with Tradier. I was a Cboe independent market maker and backed many traders so I have experience in risk. ORATS...

Do you have ideas on how to show assignment risk? We are adding a Risk section to our Wheel.orats.com trading site.

You would sign up with Tradier Brokerage and get live data, greeks, theoretical values, and IVs. We offer intraday data but to get live data sign up at Tradier.

ORATS has: near end of day snapshots going back to 2007 intraday snapshots of raw options bid ask every 2-minutes going back to 2015 intraday snapshots of bid ask greeks IVs theos every 1-minute, and live if you are a Tradier Brokerage client. https://docs.orats.io/ is the API and we also...

Hi Gowthamn You can get the IV at that delta and calculate the price straightforwardly using our Monies API: Here's a call right at the 20 delta: the SMV (smooth market value) is 36.6.

Hi Obviate We have a relationship with Tradier where we produce live greeks, IVs and theos for all US equity options that is reasonably priced. Here's a pic of our futures solve at each expiry and IVs at delta buckets from 100 to 0. We have historical data back to 2007, 2 minute data back to...

Here's IV30 day and HV20 days with earnings taken out and dividing one by the other: https://gyazo.com/34e36b97481157530504dfa1a5f46146

I was asked by an EliteTrader subscriber to show how I got the ratios. Here's a video of the chart making the ratios: https://gyazo.com/6f9ac1a34378b3da9c88a0bb95320c10

According to my skew numbers it doesn't look like the 'sold call options at far higher prices' affected the skew measurably. Those calls could have been in the 1 or 2 delta variety that wouldn't have much effect even on the 5 delta skew we measure. As seen below the 5 delta / 75 delta skew is...

Here's from the article. "SoftBank bought a roughly equal amount of call options tied to the underlying shares it bought, as well as on other names, according to people familiar with the matter. It also sold call options at far higher prices. This allows SoftBank to profit from a near-term...

Below are the slope measurements of the weighted average component stocks of the Nasdaq100. ORATS slope is a measurement of the put/call tangent line, the higher the higher put IV relative to call higher strikes. It has been falling since early July and especially since 8/21/20. For some...

Gowthamn, yes. This is in our Monies section of our API where you can see information by expiration. Here's an example of SPX: This shows the IVs by delta bucket 100 down to 0, the width of the bid ask in IV, the put-call slope and derivative (skewness & kurtosis). More explanations here...