You would want to look at parameterizing the skew, assessing what parameter is high and selling calls over that theoretical. Just selling the...
We present a Parkinson modified model at ORATS. When I ran a market making shop we simulated HV by trading gamma on tick data and converting that...
This is the ORATS Backtest Finder where you can pick a symbol, day range, delta range and see results. This is just the short call portion. With...
What the term structure says to me is that there is so much increased volatility pumped into the front months that it is dwarfing the usual...
Yes, you're right. I should have thought about that. EOQ can add volatility.
A good start is smoothing the skew each expiration and also to make a forecast of all facets of the IV surface - short-term IV, long-term, slope,...
I wrote the following article for our blog at ORATS.com The S&P 500 options market is currently reflecting heightened short-term anxiety, as seen...
We do this analysis manually because we want to avoid M&A stocks in our options scans. A target stock has an IV much lower than it should be and...
Finviz may have some of your features. My firm ORATS has a stock scanner but does not have your requirements. We are more of a options information...
When we solve for the bumps, we don't seed the calculation with contango or backwardation, but the base term structure is sure showing a large...
Key Volatility Expirations: What Options Markets Are Pricing In Options data near close Friday highlights notable volatility bumps for the...
Understood. You can still scan on open interest, how wide the market is, and how wide as a percent. [ATTACH]
Here's a scan on YUM for short calls. I would limit the smoothed theo to 2%+- Then I would look for a distribution expected value edge and...
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