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We have a Time and Sales tab that follows the largest trades in a name each day and you can check historically. This can be downloaded too. We track the price paid, our smoothed theoretical value, and the current profit of the trade. https://gyazo.com/e6a5295eb83081e0b3f821c949ba2d51

Nice. Here's ours: https://gyazo.com/5cd7f00c398ea308d53331e2faf6156f Here's our TradeHistory. Note the large trade in the morning that was immediately profitable. https://gyazo.com/c418089cefd2ef8beddbaa1f17bcfc89

Isn't the 'prevailing funding rate' the Fed Funds rate? What if the dealers are short underlying? Wouldn't that drive the rate down below the US government if they collect FF for shorts at -25 and pay for longs at +35bps? Is 'balance sheet costs for the market makers' the net long or short...

Mark, ORATS has an AI named Otto at orats.com. It is crazy that they can look at a chart and tease out implications. I use Otto to find out information on our own research! This is what he said: https://gyazo.com/6cb6284462c8bb1dfb7c72be5001da8a The spread between implied rates from the...

Thanks, Mark Robert Morse told me "Larger Market Makers and Firm accounts that trade Reverse conversion are likely about FF+/- 25 to 35bps around FFs or better. If my firm book is mostly net long, I’ll use a rate to the higher end. If mostly short, the lower end." Based on this, you'd expect...

Do you have thoughts on why the spread between the implied rates from the options market (calculated by ORATS) and the same maturity treasuries? The purple line at the bottom is the spread or difference. The blue line is SPY. The green line is the implied rate in the options market at 1 year...

Can you show an example of ORATS data lacking quality like the one your use? As I have said, we snapshot our stock prices at the same time as the options prices. This method does not compare to your source that you said uses closing prices. We have hundreds of users with no complaints like you...

No. The non-earnings part gets whacked after earnings and that swamps any market change. One of the processes that sets our calculation apart is that we backtested the distribution of earnings moves to create our best estimate of the remaining straddle value after earnings.

The best takeaway is to avoid times of elevated market-wide volatility if you like going long earnings straddles.

It shows that there are weeks and types of markets where the earnings trade does better on average than other times.

https://www.msn.com/en-ca/money/topstories/volatility-hobbles-options-market-bets-on-earnings-fueled-us-stocks-swings/ar-AA1otrHp https://gyazo.com/211ac1afbede901ca8b0903c8e1f6c47

Hi. We should have a broker neutral live data connection in the near future to join our existing Tradier live data.

Hi. Check out the full blog on Risk.net's article here. Matt Amberson was quoted multiple times in the recent Risk.net article “Taming of the skew sparks new debate over 0DTEs” in their July 19th edition. Matt has consistently argued that since their inception in May 2022, 0DTE options will...

We do not have imminent plans. How are the market liquidity, tightness and amount of options per expiration there?

ORATS has a scanner that allows you to put in a bullish or bearish percent. The scanner then adjusts the distribution so the expected return of the stock is equal to your percent. For example, if I think SPY will be up 3% in 30 days, I'd make a scan with DTE around 30 with bullish strategies...

Close: 25D Put.IV/25D Call.IV

We are looking for beta testers for Interactive Brokers now.

We have a Confidence indicator that ranges from 0 to 1 for the amount and width of options in a particular month and an average for each symbol. We have Contango to measure the calendar skew.

ORATS can chart various skew indicators and ratios of those indicators. These can also be used in a scanner to identify those stocks, ETFs or indexes that match the criteria. For example, the bottom chart is the 25 delta ATM 20 days to expiration over the 75 delta. There are thousands of...

We call our measurement "slope". We calculate deltas based on a smoothed IV curve. Here's how we approach it: 1. Definition: We define skew as the difference in implied volatility (IV) between out-of-the-money (OTM) and at-the-money (ATM) options. A positive skew means OTM puts have higher IVs...