Search results

They are free for influencers like yourself. You just need to model it when you get it... Let me know if you want one.

Thanks Alex. DM your address for an ORATS hat!

Hi We offer historical quotes, implied vols, theos and greeks. Ours have theoretical values which is helpful especially for wide markets. Here is a sample of our near end-of-day file that we have back to 2007: http://assets.orats.com/ORATS_SMV_Strikes_20200420.zip Here is a sample of a 1-minute...

Is the elevated VIX now a part of the new market structure? Like after 1987 when the put skew appeared, are we going to see calls bid across underlyings now?

Marko Kolanovic, J.P. Morgan’s global head of macro quantitative and derivatives strategy, and I were quoted in a Reuters article about the VIX bubble relative to S&P volatility although each have different views of the cause. Kolanovic is quoted in the article, “The gap between investor...

I argue differently here: https://blog.orats.com/is-the-vix-in-a-bubble-matt-amberson-weighs-in-on-reuters

It looks like the TOS monthly summarized implied volatilities are off from the 50 delta readings in their individual options. For example, here is the Mar-19-21 with monthly IV=22.78% and the 50 delta 387 strike calls at 18.11% and puts at 18.48% and the 388s at 17.73% and 18.22% ORATS...

Thanks Atikon, I didn't have anything to do today... What do you mean by - make a case study for their blog along the term structure? Is that comparing the brokers or just showing our levels?

We are building a paper trading system so I can try these trades out. Our prices are 14-minutes before the close so they are off from your closing prices.

Hi Iron Hopefully, I can help with a test of your untested opinion of call vs call spread. I have above tested a call spread where we saw a slightly positive 0.21% annualized return. The long call with default values of 30 days to ex and 30 deltas is below. The backtest shows an annualized loss...

Ok, good Tom, thanks for the like...

Hi Tom Here are a few backtests that might help with your question. First a long call spread on SPY with our default values of days to expiration of 30 days and deltas short leg = .30 long leg = .15. The annual return is based on the stock price at the open of the trade as the denominator so...

What do you think about the Parkinson model of calculating historical volatility that can produce a one day historical volatility? The one day volatility Thursday was 1500%. We may say the IV and HV are irrelevant at these levels but at least they are comparable.

GameStop (GME) was nuts yesterday. The major brokerages had severely limited retail’s ability to trade and the short hedge funds had the upper hand driving the stock down from near $500 to $150. Implied volatility in the options soared to levels I have never seen in my 30 year history of...

Here's are report. NFLX straddles pricing in a $32.40 move vs historical $28.06.

Here is a graph of AAPL 10-day IV and 10 IV where we take out the earnings effects. https://blog.orats.com/how-orats-removes-earnings-effect-from-implied-volatility https://gyazo.com/97d5a541327735d9c6863cc22194acc8 Eyeballing the graph, it looks like the IV/exEarnIV gets to about 1.67 or 67%...

Join Matt Amberson of Option Research & Technology Services (ORATS) and Lex as they discuss trading workflows and subjects of backtesting, scanning, sending a trade to TradeHawk from ORATS tools, and executing. ORATS online Wheel product integrates backtesting, scanning and sending orders...

Short interest is the amount of shares in a stock that is sold short, and not covered, expressed in a percentage of a stock's market capitalization. When a stock is sold short, the stock is borrowed from a holder of the stock and sold. The borrow rate will rise if there are more short sellers...

Hi Rick We have a delayed screener and a real-time scanner if you have Tradier Brokerage. I can help you get set up. We have online tools with many of the features you need but also you can do this with our data API and automate everything.

The way out of the money calls in the component stocks of the Russell 2000 have jumped in value to dizzying heights. ORATS measures the ratio of the implied volatility of the 5-delta and 75-delta, 30-day options for all of the component stocks and takes a weighted average. With the 5-delta...