ORATS has three models for estimating the value of options. Below is an options scanner that presents the current market value's edge to these...
Thanks for posting, Alex. I hope all is well.
Here'e the link to my podcast with Dean Curnutt of the Alpha Exchange....
Scalping gamma means delta neutral hedging the change in delta caused by gamma and a move in the stock. For example, we would give ourselves an...
When I managed a group of floor traders, we had a method for calculating HV using tick data and simulating scalping gamma and converting the...
My firm offers historical options data https://www.orats.com/historical-quotes/
Break a leg. I'm looking forward to the podcast.
Yes, but those represent ranges, ie 10 delta is min-max 5-14, DTE is 20-45, and premium is -2.6% - -1.4%. There are not many but they show up in...
We did a large backtest on covered calls. https://blog.orats.com/covered-call-backtest-finding-the-best-maturity-strike-iv-and-earnings-methods...
What does this mean - I want to simulate which adjustment to make to the strategy under the new simulated market conditions? That you would, for...
I'm sorry about your experience at AWS and that the snapshots did not work for you. Due to the size of the files and the transfer costs we...
The number has grown. Now we have about 5400 symbols. I have a more updated link if you want to email me. All but a few delisted symbols are in...
Yes, if you don't want a subscription you can email me and we can work something out.
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 &...
Here's a graph of the 10 day IV / 60 day IV, and the 60 day IV / 90 day IV. Email me if you want to do a collaboration or something. [ATTACH]
We have this.
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...
I thought this was an interesting trade. On another thread, I introduced a backtest of an earnings trading strategy entering long/short calendars...
I will put today's results here. If anyone wants to see more, you can ping me. There were three winners and one loser from yesterday, GRMN. Today...
It could be over fit. If a test is over fit it will likely not perform out of sample. What is important is being predictive. Fitting historical...
Separate names with a comma.