Anyone using Real-Time Options Scanners / Screeners?
- Thread starter joezapp
- Start date
Matt_ORATS
Sponsor
ORATS makes forecasts of historical volatility, implied volatility, earnings, skew and kurtosis (what we call slope and derivative). In testing, we have found that these are important in identifying profitable trades.
https://orats.com/blog/forecasting-the-options-volatility-surface
https://orats.com/blog/forecasting-the-options-volatility-surface
So, points on your cubic spline interpolation are basically what you call forecasts? If not, then it's still not clear how you derive your forecasts. If it's a black box then please just say so, otherwise it would be appreciated if you can please point to a detailed description of how forecasts are derived. The link only points to cubic splines.
Matt_ORATS
Sponsor
No MW, measurements <> forecasts.
We do use a flavor of cubic splines to summarize the skew. From that fit we get accurate ATM IVs, slope, and curvature numbers. We forecast those measurements and others using various independent variables that we do not disseminate.
We do use a flavor of cubic splines to summarize the skew. From that fit we get accurate ATM IVs, slope, and curvature numbers. We forecast those measurements and others using various independent variables that we do not disseminate.
And I think you also need to open a brokerage account with them, am I right?
What I like to do is perform a scan for covered calls at a desired distance out of the money with bids, and then pick one to buy the stock and sell the call. Can also be done with cash-secured puts. So it's a rather simple search. The percent OTM that I'll go for will vary depending on how many days 'til expiration. Preference, of course, is to not get assigned. The scanner, when working correctly, finds the ones that already have bids and are likely worth a nibble. They also tend to offer columns for percent "Probability of Profit" or "Risk / Reward".
Sampled Barchart, and it is not real-time. Too bad, because the price was right!
You are a gem, ZBZB, because Ivolatility was the other platform I was referring to when I said that some claim to be real-time and it's quite not so. I really don't know how they can claim "real-time". I've used their R/T Scanner, which on the surface fits the bill. But just about every result is stale. You can look at an option result at 2PM, and look at the time and sales data and see that it executed at that price 4 hours prior and no longer carries that bid. The scanner leaves it in the results all day. And you get maximum 200 results, so it's not long before the search goes from "barely useful" to "useless". So they charge $100 a month for data that isn't actionable.
When you contact support and give screenshots, they say they will address it. Then a few days later, they say "Please try it now". And nothing's changed. That cycle repeated itself until I gave up.
Now the Strategy Scanner in your link, which I came across last night in a web search, would work (if real-time), but I believe Ivolatility did away with the Strategy Scanner about 8 years ago. They also called it ST Scanner. I think that web page you and I came across is outdated. In fact, it appears to be located in the "Data" column on the web page, but if you scroll the "Data" column, it's not there.
This is all surprising with Ivolatility, as Ivolatility's pair of scanners, which became just the RT Scanner around 2015, DID fit the bill in the past. It went to stale data in Spring of 2022, and it stayed that way. But they still somehow claim "real-time", and even display those words in green with each search!
So I'm still looking for a TRUE real-time version of Ivolatility or Power Options, and that also performs this type search. Many do not. LiveVol is very popular, for example, but it doesn't have this type search from what I can see. Checked the site many times.
Really appreciate your input, ZBZB! Many thanks!!
Specifically, they were providing Ivolatility's RT Scanner and ST Scanner until 2015, when Ivolatility did away with the ST Scanner and went solely with the RT Scanner. So in the end, it was Ivolatility's RT Scanner.
The RT Scanner turned to vastly stale data in Spring 2022, as described above, and remained that way. Being a free broker benefit since 2005, I made what little use of it as I could until the broker completely took the free benefit away September 1. The Ivolatility RT Scanner, even now and direct through them, is still vastly stale data, even though they still claim "real-time". I provide more detail in my response to ZBZB, comment #18 .
barchart has a lot of latency > 30 mins