Nice. But I'm interested in a volatility metric that I can track over time. For example, I can look at it and compare with history to see if the IV is too rich or too cheap. If it is for a specific expiration, then probably we also need to look at historical data with similar DTE to evaluate it -- a few more steps.
Calculating VIX-like number for single names
- Thread starter LM3886
- Start date
Good luck with that! -- A single metric which does that does not exist (IMHO). BTW: you are not alone in seeking that!
Even contrasting a "current" snapshot of complete IV Surface with reference IV Surfaces in the past leaves me wanting something with more practical value.
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When I first read your post, I "thought" your request was specific to each term/Expiry. Re-reading seems to imply you only are focusing on 30-DTE, so apologize for the Expiration specific responses. -- so using that VIX white paper method should provide those values, which will approximate the "impliedvolatility" value available in TOS Thinkscript(which is 30-day IV)!
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Matt_ORATS
Sponsor
We calculate many of these metrics, showing the 30, 60, 90 days, 6 months and 1 year interpolated implied volatility, IV ex earnings, at different deltas - 5, 25, 50, 75 and 95.
We also show slope and derivative (skewness and kurtosis) at 30 days and 2 years along with forecasts of these. These are available daily back to 2007 online and via our API. Our chart allows you to drag one over the other and see the ratio over time.
Below is 10 day constant maturity IV at the 5 delta divided by the 25 delta ex earnings effect.
Our backtester can trade when levels of the ratios are at a certain range. Below only trade when the 10 day IV > 90 day.
More info here:
https://docs.orats.io/datav2-api-guide/core-research.html#interpolated-implied-volatility
https://blog.orats.com/hs-search-results?term=constant+maturity
We also show slope and derivative (skewness and kurtosis) at 30 days and 2 years along with forecasts of these. These are available daily back to 2007 online and via our API. Our chart allows you to drag one over the other and see the ratio over time.
Below is 10 day constant maturity IV at the 5 delta divided by the 25 delta ex earnings effect.
Our backtester can trade when levels of the ratios are at a certain range. Below only trade when the 10 day IV > 90 day.
More info here:
https://docs.orats.io/datav2-api-guide/core-research.html#interpolated-implied-volatility
https://blog.orats.com/hs-search-results?term=constant+maturity
Attachments
Are you certain that the IV plot TOS shows is 30-day? I haven't been able to find the documentation.
Yes! To verify, plot it with SPX, and compare against VIX! While they will not be exact, the difference is miniscule. I think TOS fails to document on purpose!
I've compared both methods. They give different results, so they are different methods for calculating the ATM IV. My result is Call_ATM_IV, and behind it the result of your above method I named as TEST_ATM_IV, etc. The difference is not that small, I would say. Or did I maybe made an error when applying your formula? :
Code:
Calls:
DBG: Spot=4.400000 IV1=136.719066 IV2=132.031590 IVmid=134.375328 K1=4.500000 K2=4.000000 Kmid=4.250000 mulfac=Spot/Kmid=1.035294 Call_ATM_IV=IVmid*mulfac=139.117987 TEST_ATM_IV=136.719066(slope=9.374953 DeltaX=0.500000)
Puts:
DBG: Spot=4.400000 IV1=144.922150 IV2=229.687926 IVmid=187.305038 K1=4.000000 K2=4.500000 Kmid=4.250000 mulfac=Spot/Kmid=1.035294 Put_ATM_IV=IVmid*mulfac=193.915804 TEST_ATM_IV=229.687926(slope=169.531551 DeltaX=0.500000)Constructive comments welcome. If someone detects an error, let's know, pls.
Both formula can be found in this posting:
https://www.elitetrader.com/et/thre...-number-for-single-names.362757/#post-5487203
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Atm 30 day is your best bet. It will tell you where the smoke is.
Hi @Matt_ORATS, I've got some questions regarding your snapshot options data.
On this webpage of yours https://orats.com/historical-quotes/ your company writes:
Can you give some more info about this offer, like how much MB data is it per interval,
and how much effective delay is in the data.
Ie. let's say at 10:00 ET I download such a 2-min snapshot data, then are these data max 2 or 3 minutes old, or rather much longer?
And does such a snapshot contain all options, as well their complete series (ie. all ExpDates)?
And: can you offer such data also as say 30-minute snapshot data? How much would that cost?
Thx
On this webpage of yours https://orats.com/historical-quotes/ your company writes:
Are these old historic data or are they of the current day?
Can you give some more info about this offer, like how much MB data is it per interval,
and how much effective delay is in the data.
Ie. let's say at 10:00 ET I download such a 2-min snapshot data, then are these data max 2 or 3 minutes old, or rather much longer?
And does such a snapshot contain all options, as well their complete series (ie. all ExpDates)?
And: can you offer such data also as say 30-minute snapshot data? How much would that cost?
Thx
Matt_ORATS
Sponsor
Thanks for your interest in the quotes.
We offer end of day quotes & greeks back to 2007, 2-minute raw quotes back to 2015, and 1-minute quotes & greeks back a year.
We work with Tradier, producing their live greeks and theoretical values, and can get live snapshots and data if you have an account with them. You can call Strikes by Options, Expiration Dates, summaries by Moneyness, IV Summaries, and more described here: https://docs.orats.io/datav2-live-api-guide/data.html
In your example, at 10am you can get real time API calls with Tradier data, 1 minute delayed snapshots again with Tradier, or 15 minute delayed data if you do not have an account with them.
Here is a sample of a 1-minute intraday snapshot that we have historically back to June 2020: http://s3.amazonaws.com/assets.orats.com/strikes_202009021228.csv
Here is a sample 2-minute file (raw no greeks) that we have historically back to 2015: http://s3.amazonaws.com/assets.orats.com/20190819.110000.Options.ORATS.txt
Here is a sample of our near end-of-day file that we have back to 2007: http://s3.amazonaws.com/assets.orats.com/ORATS_SMV_Strikes_20200420.zip
You can estimate the MB size from those. Note that the size is smaller historically and larger as more and more symbols and strikes are added.
We ask you to set up a S3 bucket where we put the files.
We can offer any minute interval given the above constraints.
