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  1. How theoretical is the Midpoint?

    Lightfightercap If you have a resting order there are many participants who subscribe to the complex order books and will fill your order if it...
    Post by: Matt_ORATS, Jan 13, 2020 in forum: Options

  2. live data feed + historical options data

    diseasex ORATS has 2-minute snapshots of options bid-asks. We also offer a backtester with near EOD delta hedging. https://info.orats.com/quotes...
    Post by: Matt_ORATS, Dec 28, 2019 in forum: Options

  3. Where to find historical options data?

    victsavio ORATS provides a data API for programmers and an Excel interface to access the data you mention plus much more. Put Call Ratios are...
    Post by: Matt_ORATS, Dec 28, 2019 in forum: Data Sets and Feeds

  4. Using Options To Protect a Large Portfolio

    Ironchef It compares favorably. Return is better. Volatility is lower. Risk is much less. If anyone is interested I can put a risk slide together....
    Post by: Matt_ORATS, Dec 28, 2019 in forum: Options

  5. Using Options To Protect a Large Portfolio

    The best combination of long puts and long SPY is below. The long put strategies are over-hedging with WOTM long-term and under-hedging with OTM...
    Post by: Matt_ORATS, Dec 27, 2019 in forum: Options

  6. Using Options To Protect a Large Portfolio

    Using portfolioanalyzer.com with a free account, you can run analyses back to 2007 with REITS, gold, commodities and more. As below, the drawdowns...
    Post by: Matt_ORATS, Dec 27, 2019 in forum: Options

  7. Hedging delta when gamma is positive

    Way back when I was on the Cboe floor I noticed successful traders paying more than theoretical value for certain low priced options. Also, these...
    Post by: Matt_ORATS, Dec 9, 2019 in forum: Options

  8. For keeping track of P/L on thinly traded options ....

    Nice post TheBigShort and I agree with Kevin Schmit's concerns. At ORATS, we use a modified Bezier curve (MBC) to start the process. We are...
    Post by: Matt_ORATS, Dec 9, 2019 in forum: Options

  9. Hedging delta when gamma is positive

    When I would delta hedge positions as a market maker, I would simulate many different delta hedging strategies on tick data. For example,...
    Post by: Matt_ORATS, Dec 3, 2019 in forum: Options

  10. YATAD (Yet another thread about diagonals)

    You can customize the entry and exit dates by providing symbol, entry date, exit date in a CSV. [IMG]...
    Post by: Matt_ORATS, Nov 26, 2019 in forum: Options

  11. YATAD (Yet another thread about diagonals)

    Hi Baozi The FXI ETF tracks 50 large-cap Chinese equities that trade on the Hong Kong Stock Exchange. Here's the result for FXI for a long term...
    Post by: Matt_ORATS, Nov 25, 2019 in forum: Options

  12. YATAD (Yet another thread about diagonals)

    Good point nooby_mcnoob (and thanks for liking the post) The optimization process is the first step of many before settling on a trading...
    Post by: Matt_ORATS, Nov 22, 2019 in forum: Options

  13. YATAD (Yet another thread about diagonals)

    Wheezooo The backtest of each strategy produces a daily return calculation back to 2007 that can be downloaded from the online platform....
    Post by: Matt_ORATS, Nov 20, 2019 in forum: Options

  14. YATAD (Yet another thread about diagonals)

    The correlation of 60 day short put strategy returns and 555 day is -0.86. The correlation for 60 day and 120 day returns is -0.91. I would not...
    Post by: Matt_ORATS, Nov 19, 2019 in forum: Options

  15. YATAD (Yet another thread about diagonals)

    Baozi The DTE selection may seem strange to you but we have clients interested in those types of trades, having a long term put and selling near...
    Post by: Matt_ORATS, Nov 18, 2019 in forum: Options

  16. YATAD (Yet another thread about diagonals)

    Here is a study on the days to expiration, deltas and price for a diagonal put spread in SPY. The diagonal put spread buys a long term put and...
    Post by: Matt_ORATS, Nov 17, 2019 in forum: Options

  17. For keeping track of P/L on thinly traded options ....

    For thinly traded options you should use a theoretical value. The last trade of an option could have been days away when the stock price was much...
    Post by: Matt_ORATS, Nov 15, 2019 in forum: Options
  18. Matt_ORATS
    Profile Post

    Hi and thanks for the mention. We can go over the NVDA slope signals if you like. You can email...

    Hi and thanks for the mention. We can go over the NVDA slope signals if you like. You can email matt@orats.com and we can compare signals. Like I...
    Profile Post by Matt_ORATS for TheBigShort, Nov 5, 2019

  19. local volatility model

    Hi TheBigShort Thanks for being a subscriber. I'll expand on the how we calculate the earnings effect defined as the amount of extra implied...
    Post by: Matt_ORATS, Nov 4, 2019 in forum: Options

  20. local volatility model

    Hi Baozi I can explain an approach we take and maybe it will help. Before starting, you should set your purpose of this effort: is it risk...
    Post by: Matt_ORATS, Nov 3, 2019 in forum: Options
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