What the term structure says to me is that there is so much increased volatility pumped into the front months that it is dwarfing the usual...
Yes, you're right. I should have thought about that. EOQ can add volatility.
A good start is smoothing the skew each expiration and also to make a forecast of all facets of the IV surface - short-term IV, long-term, slope,...
I wrote the following article for our blog at ORATS.com The S&P 500 options market is currently reflecting heightened short-term anxiety, as seen...
We do this analysis manually because we want to avoid M&A stocks in our options scans. A target stock has an IV much lower than it should be and...
Finviz may have some of your features. My firm ORATS has a stock scanner but does not have your requirements. We are more of a options information...
When we solve for the bumps, we don't seed the calculation with contango or backwardation, but the base term structure is sure showing a large...
Key Volatility Expirations: What Options Markets Are Pricing In Options data near close Friday highlights notable volatility bumps for the...
Understood. You can still scan on open interest, how wide the market is, and how wide as a percent. [ATTACH]
Here's a scan on YUM for short calls. I would limit the smoothed theo to 2%+- Then I would look for a distribution expected value edge and...
We don't have change in OI as a stock scanner input but I requested adding it. We have OI in our API: [ATTACH] And by option: [ATTACH]
Thanks Baron. Yes, ORATS has a stock scanner hooked up to our options scanner so you can filter by symbol level and options level information....
4 pm ET close or 3:46 pm is when we snap the market. If you subscribe to real time data, you can pull the whole market.
We have stock prices and special pricing for ET members but not a special price just for stock prices. We use tickers that were present at the...
Yes at ORATS we ensure that the stock price matches the options prices. As a past market maker the prices at the close are not dependable. We use...
I am still evaluating and in dialogs with him. He has been generous with his time. I have not dug deeper into his other sources of edge. I did...
I have talked with him, watched many of his videos, recreated some of his backtests and I am impressed so far. There is much he does not cover in...
Hi William No, we do not have futures data.
Yes, IV is down from 222% to 122%. Post parabolic moves see a reduction in volatility. We have a measure for 1 day historical volatility and it...
Thanks @cesfx and don't forget to join the Community tab in the Dashboard and leave comments.
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