What is IV?

Orats is the best program out there for analysis and backtesting. .Why do you need a visualiser?? Who do you trade thru..Dont they have a decent analyzer??

OptionStrat is a pretty decent basic visualizer if you don't have one

Keep in mind most of these programs can not custom adjust individual strikes vol.All strikes are adjusted by the same percentage or amount..As you will find out vols of ITM vs OTM and near dated vs far dated do not move by the same percentage..










morganpbrown said:
This ORATS looks like the way to go for data and analysis. Too involved for someone trying to get their feet under them? I'm desperate to visualize how the greeks interact for various spreads. I can model the options but the lack of an API to real time data is frustrating
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morganpbrown said:
This ORATS looks like the way to go for data and analysis. Too involved for someone trying to get their feet under them? I'm desperate to visualize how the greeks interact for various spreads. I can model the options but the lack of an API to real time data is frustrating
More...
 
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Yeah, listen to Tao. I have PM and mIRA accounts (vol-spreads/combos + futures) and only pay reg-fees. I did an 800 lot condor for Monday and paid like $350 bucks all in (have to look). Interface is nice albeit a bit slow for vol, but you can easily stress numerically with the toggles. I'd prefer a hybrid of TOS' bloat with IBKR's ssheet interface, but you can't have it all.

TOS charting uses operators which is really cool as well.
 
destriero said:
Yeah, listen to Tao. I have PM and mIRA accounts (vol-spreads/combos + futures) and only pay reg-fees. I did an 800 lot condor for Monday and paid like $350 bucks all in (have to look). Interface is nice albeit a bit slow for vol, but you can easily stress numerically with the toggles. I'd prefer a hybrid of TOS' bloat with IBKR's ssheet interface, but you can't have it all.

TOS charting uses operators which is really cool as well.
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Thanks to both of you for the feedback.

Nuts that you can enter such a huge position. Do you end up moving the market at that size?
 
If you guys have ideas on how we can improve or design an interface, we listen.
We are working with ET traders on trade analysis.

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Above is a payoff picture for a 1 3 2 put fly. The Distribution% is the nodes percent times the terminal value payoff compared to the trade price. We also offer theoreticals based on forecasts of historical volatility and smoothing the vol surface, F% and S%.

taowave said:
Orats is the best program out there for analysis and backtesting. .Why do you need a visualiser?? Who do you trade thru..Dont they have a decent analyzer??

OptionStrat is a pretty decent basic visualizer if you don't have one

Keep in mind most of these programs can not custom adjust individual strikes vol.All strikes are adjusted by the same percentage or amount..As you will find out vols of ITM vs OTM and near dated vs far dated do not move by the same percentage..
More...
 
taowave said:
If I am reading you correctly your Slope measure offers more information than the widely used 25 D put- 25 D call due to the "curvature" (gamma) at different percent of spot..
When I chart Skew in Orats,I typically look at the 25 D ratio of 75D/25D as well as 90D/10D
The difference between those ratios is due to curvature,which it appears your slope measure captures..Interesting
I personally like to chart the skew ratios for different deltas as it gives me a more intuitive feel...

Any thoughts on (25D put IV vs 25d call IV)/ATM vol..
I run those in Orats as well,but havent really formulated a strong opinion one way or the other.It appears that the ATM vol really drives the ratio..
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I like (25D put IV vs 25d call IV)/ATM vol more than (25D put IV / 25d call IV) as it has some concept of the derivative, ie the distance the ATM vol might be off the 25d line.

We designed the Slope measurement to incorporate the curvature by taking it out of the skew before computing the slope.

There could be a skew to the call side or put side but by that time you might as well look at the summarized delta in our Monies endpoint historically to get that granular.

We present the slope by expiration and by the 30 day constant maturity and 2 year along with forecasts of the same.
 
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