This looks significant in at least two ways: 1) sheer numbers [IMG] and 2) significant movement in the skew to historically low levels. I was a...
The last two months of market and volatility action is unparalleled. Usually, when the market rises, volatility falls -- since 2006, this has...
We get it two hours before the open.
If you are going to trade options in wide markets it is important to have a measure of relative theoretical value. To find relative value an...
We have a live data feed through a partnership with Tradier Brokerage and calculate IVs for all stocks, ETFs and indexes, and provide summary...
Yes, showing large moves like 40% or +- 3 standard deviation moves at the option, ticker, best ETF, and the entire portfolio together is...
My firm, ORATS, has a trading application. We currently have backtesting, scanning, and charting. We are adding risk and the ability to send...
Do you have ideas on how to show assignment risk? We are adding a Risk section to our Wheel.orats.com trading site.
You would sign up with Tradier Brokerage and get live data, greeks, theoretical values, and IVs. We offer intraday data but to get live data sign...
ORATS has: near end of day snapshots going back to 2007 intraday snapshots of raw options bid ask every 2-minutes going back to 2015 intraday...
Hi Gowthamn You can get the IV at that delta and calculate the price straightforwardly using our Monies API: [IMG] Here's a call right at the 20...
Hi Obviate We have a relationship with Tradier where we produce live greeks, IVs and theos for all US equity options that is reasonably priced....
Here's IV30 day and HV20 days with earnings taken out and dividing one by the other: [IMG] https://gyazo.com/34e36b97481157530504dfa1a5f46146
I was asked by an EliteTrader subscriber to show how I got the ratios. Here's a video of the chart making the ratios:...
According to my skew numbers it doesn't look like the 'sold call options at far higher prices' affected the skew measurably. Those calls could...
Here's from the article. "SoftBank bought a roughly equal amount of call options tied to the underlying shares it bought, as well as on other...
Below are the slope measurements of the weighted average component stocks of the Nasdaq100. ORATS slope is a measurement of the put/call tangent...
Gowthamn, yes. This is in our Monies section of our API where you can see information by expiration. Here's an example of SPX: [IMG] This shows...
No, we use off the shelf simple Black Scholes code for that. Here's a python example...
Below is our Chart in Wheel where you can see the 25 delta IV 30 day / 5 delta and to your point the 5 is more expensive than usual. However, the...
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