Hi Gowtham ORATS has historical relationships for all US equity options back to 2007 along with many other metrics. We forecast short-term (30...
I would start by setting up a backtest on stocks that you have liked in the past and observe which options strategies performed best. In our...
Regarding market data fees: Stock Exchanges Win Legal Battle With SEC Over Data Fees...
Atikon That depends on what your comparison is. After developing an error metric, edge (or margin of safety) is dependent on an appropriate...
VolSkewTrader Yes, I should clarify. We create a slope & derivative not to create our smooth market values but to create parameters for comparison...
We use percentage of a day starting at 95% at the open and 5% at the close. Pricing models generally don't work with 0 DTE.
Great question Ironchef and thanks for the link ajacobson Cboe started as an exchange getting preferential treatment from regulators but have...
We use a binomial tree approach as described in Haug "The Complete Guide to Option Pricing Formulas".
Hi VolSkewTrader Our method is less of a formula and more of a process. Strike Slope is a measure of the amount that implied volatility changes...
Thanks Dest Getting skew right has taken a large part of my trading life while on the floor and backing traders, and my professional life with...
My firm, ORATS describes the implied volatility surface as a 3-dimensional surface where the independent variables are time to expiration, and...
I know Henry well and the company too. I also know the Cboe, having traded there for many years. Trade-Alert (TA) has a bunch of proprietary...
1. When we took this snapshot of markets there may have been an anomaly because currently the implied dividend is back to near normal. We account...
Here are today's: [IMG]
Not rare, we just assume that we roll the call to the next trade.
Smoothing the options surface is a very difficult task. By smoothing the IVs, call and put theoretical values can be compared to market bid-ask...
Thanks Taowave I ran the test on these symbols as a proxy for the names in the S&P500 since they made up 30% of the weighting: MSFT, AAPL, AMZN,...
Thanks qlai - I will add a way to subscribe. Now we have an annoying pop up that you will see once in a while. For the backtest we assumed that we...
Ironchef It is great to hear feedback from you and like yours. It is a lot of work to do this research and it is nice to hear that it is helping....
Hi d0rian We offer a real time greeks and theoretical value feed through Tradier Brokerage. We have an API, though not an Excel API. I am not...
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