Thanks and thanks to Alex for posting.
You may want to use the average delta over the move in the stock. After a stock moves the ending delta will be different from the starting delta....
The live data API has the usual greeks with the addition of smoothing implied volatility theoretical values, forecasted historical volatility...
Here's a podcast that Michael and I were on https://blog.orats.com/ai-machine-learning-and-fitness-functions-in-options-explained enjoy...
Michael is the real deal. Congratulations!
Tradier also has and API to trading and to market data. We at ORATS provide some premium data. ORATS offers Tradier Brokerage users 1) live...
Gordon You may consider a smoothing mechanism to estimate theoretical values for all options in the chain. Next, follow the best bids and offers...
We did a large backtest on selling calls that stocks that had a recent history of gaps to the upside were less profitable than those that did not.
Hi Marc I would take a look at a backtest of URI and even similar tickers and see what type of strategy you want to do. You are doing the 'Wheel'...
A few more observations from the options market: XBI trades about double the options per day by average but has a wider market bid ask width in...
Hi Gowthamn We apply a smoothing system called the SMV for smoothed market values. The first step in the SMV System is cleaning the quotes and...
The bottom chart shows the long term IV in vol points. Last year was 0.0017 now 0.017, 10x wider. Wow. This agrees with what you say. It looks...
The call put ratio can often reflect the bullish or bearish views of options traders, with more calls trading indicating bullish sentiment. The...
Implied volatility and historical volatility readings show XBI as more volatile especially yesterday (60.2% modified Parkinson vol) ticker iv20d...
Look at a combination of IV percentile, IV of the stock vs the most related ETF, IV vs forecast. Below are a few that can be accessed in our API....
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...
We have 2-minute data back to 2015.
Hi Ati No, we have not done those types of studies. I can discuss getting you some 2 minute snapshots of the entire market bid-asks if you want to...
In some way this could be an excuse for the banks to cut their dividend without their stock price getting as punished as may have happened if they...
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...
Separate names with a comma.