There are many ways to approach this question. The way we do it at ORATS is to look at: ex-earnings IV vs ex-earnings HV (with a good HV like...
Here's a sample zipped for the near EOD we offer (with a good ET discount in my signature)...
You can test most of the set ups mentioned. Here's the simple backtest of a 1 month, $5 strike diff, 30/10 delta IC. [IMG]...
I saw that Fidelity was hiring programmers with API experience. I assume that they will be working on their positions and trading API, and...
Yes, currently we have one IV adjustment for the entire trade.
IV changes are observed at the option level. In the example above, the short Dec 9th calls lost more in vega than the Dec 23rd calls made. The IV...
This is a new feature to our online Dashboard options analysis platform. Have you ever wondered why you made or lost money from a particular...
Yes, area is like POP (probability of profit) or risk reward. We use three standard deviations. [IMG]...
We have an Options Scanner that can help. In the video, Kirk mentions POP, liquidity (slippage), adjusting IV to check profitablility, and using...
We provide both close to close and a modified Parkinson. When I was a floor trader, we devised a method using stock tick data to simulate...
You could backtest your set up and experiment with various exit strategies.
Here's the ORATS payoff picture for that showing you make money with a large down move. [IMG] https://gyazo.com/b6e88f6ffda3632607cd8edd7ab05a43
How long is your mean? We use a modified Parkinson HV model that we call ORhv20d, HV 20 observations, and also a close to close HV. The ORhv1d to...
The backtests we run show the rule of thumb that the market doesn't get the IV high enough or get the IV low enough. What that means, is during...
Normal but not always. Here are some times when the skew didn't flatten back to 2007. [IMG] https://gyazo.com/aa76244d9c79c8b39bb1cff7b4f73492
Yes, we calculate breakevens and have a ranking system in our options scanner: [IMG] https://gyazo.com/1850b7c164f422496f9316ed6490b347
You can make it do many things. What are you trying to accomplish? [IMG] https://gyazo.com/71655d358b9d59844fda51c93d48b4ab
I was thinking the same thing. If you are referring to the Bloomberg article posted on ET, they mentioned single stock puts. ORATS terms the skew...
It makes more sense to solve for earnings effect and result in a rational term structure than to result in a term structure that matches an index.
Here is how ORATS does it. We determine the IV of each month through our strike smoothing process. (atmiv) We perform a term structure fitting...
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