Hi We offer historical quotes, implied vols, theos and greeks. Ours have theoretical values which is helpful especially for wide markets. Here is...
Is the elevated VIX now a part of the new market structure? Like after 1987 when the put skew appeared, are we going to see calls bid across...
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...
I argue differently here: https://blog.orats.com/is-the-vix-in-a-bubble-matt-amberson-weighs-in-on-reuters
It looks like the TOS monthly summarized implied volatilities are off from the 50 delta readings in their individual options. For example, here...
Thanks Atikon, I didn't have anything to do today... What do you mean by - make a case study for their blog along the term structure? Is that...
We are building a paper trading system so I can try these trades out. Our prices are 14-minutes before the close so they are off from your closing...
Hi Iron Hopefully, I can help with a test of your untested opinion of call vs call spread. I have above tested a call spread where we saw a...
Ok, good Tom, thanks for the like...
Hi Tom Here are a few backtests that might help with your question. First a long call spread on SPY with our default values of days to...
What do you think about the Parkinson model of calculating historical volatility that can produce a one day historical volatility? The one day...
GameStop (GME) was nuts yesterday. The major brokerages had severely limited retail’s ability to trade and the short hedge funds had the upper...
Here's are report. NFLX straddles pricing in a $32.40 move vs historical $28.06. [IMG]
Here is a graph of AAPL 10-day IV and 10 IV where we take out the earnings effects....
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...
Hi Rick We have a delayed screener and a real-time scanner if you have Tradier Brokerage. I can help you get set up. We have online tools with...
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...
Correction: Yesterday was the highest total options volume on record.
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...
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