Earnings crush is the fall in implied volatility after earnings is announced. Typically, earnings announcements cause the price of the stock to...
Typically, traders will use the middle price between an options bid and ask to think about a fair value. Problems occur using this mid price...
Here'e the link to my podcast with Dean Curnutt of the Alpha Exchange....
We’re excited to announce the launch of the new ORATS.com! With original animations, transparent pricing, and improved navigation, it’s easier...
Skew in options is the slope of the implied volatility of the strikes in an expiration month. Skew is constantly changing and can affect the value...
Benefits of smoothing Smooth market volatilities (SMV) derived from the options market helps traders make sense of a plethora of exchange quotes....
Marko Kolanovic, J.P. Morgan’s global head of macro quantitative and derivatives strategy, and I were quoted in a Reuters article about the VIX...
GameStop (GME) was nuts yesterday. The major brokerages had severely limited retail’s ability to trade and the short hedge funds had the upper...
Join Matt Amberson of Option Research & Technology Services (ORATS) and Lex as they discuss trading workflows and subjects of backtesting,...
Short interest is the amount of shares in a stock that is sold short, and not covered, expressed in a percentage of a stock's market...
The way out of the money calls in the component stocks of the Russell 2000 have jumped in value to dizzying heights. ORATS measures the ratio of...
It was the second highest volume day today in options behind February 28th, 2020. The Russell outperformed the Nasdaq more than any other day on...
The last two months of market and volatility action is unparalleled. Usually, when the market rises, volatility falls -- since 2006, this has...
The call put ratio can often reflect the bullish or bearish views of options traders, with more calls trading indicating bullish sentiment. The...
Wells Fargo's implied move is 1.3% more than its normal move. Goldman is 1.1% more, First Republic 0.9%. [IMG] ORATS calculates the expected...
Big banks will be required to limit dividend payments at their current level for Q3 and going forward based on a formula using their earnings. The...
We ran a large backtest to identify the best maturity, delta, call value as a percent of stock price, earnings strategy, and implied volatility...
Today's dividend cuts implied by the options markets includes two builders, Lennar & Pulte. Royal Caribbean Cruises is still expected to cut. Ross...
The implied dividends measure the options market view on how much companies will pay going forward. Embedded in options prices are a portion of...
Why would Kohl's (KSS) slash its dividend after raising it just two months ago, and why would the stock go up on the same day as the announcement?...
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