Agreed, too close to the close and the markets get wonky (wonky=punky and junky) We take a complete snapshot of the US equity options market...
We get open interest at 7 am EST.
We can get you that. We have 2-minute quote snapshots. We have two minutes before the close and right at the close if that would work. Since it is...
My experience (12 years as a market maker and 30 years in the options business) is that the cost of execution is best estimated by a percentage of...
Thanks for the feedback. The point of the post is how costly slippage and commissions can be. With none of these assumptions, you might expect...
You might think a strategies like short call spreads and long call spreads should have equal and opposite returns given the same trading rules....
Last week was the wildest earnings week of any in the ORATS 3-year study, as measured by the average actual moves divided by the estimated moves....
Thanks for the feedback. We will check our volumes against another source and figure out the discrepancies. Note that we take a snapshot of the...
Symbols with High Options Volume vs Normal Explanation ORATS computes...
Why Orange? Ha, thanks for the question. First, with a name like ORATS we need to have a bold statement and the first three letters are the same....
What you will find is that in times when the market is moving quickly, the market makers will widen out the markets. You will also see that near...
There are times when you want to backtest a 'non-traditional' options spread as a package rather than as a combination of two or more strategies....
Have you taken a look at this site? https://www.alphavantage.co/
Good question VolSkewTrader What to do now with the VIX this low. The VIX below 12.5 has only triggered our backtester 18 times. I have...
Our strategy was to be long units, not necessarily long vol. By units I mean for example if you were long stock you would be short 1 downside...
Good idea met1989 . My firm ORATS has a backtest scanner where you can set many options critieria and backtest the strategy and scan on the...
Well said drm7. I was a market maker and backed traders on the floor of the Cboe. We used methods to forecast volatility and would put traders in...
Thanks TheBigShort. My firm ORATS publishes free content on the Option Insider and our twitter @optionrats. Here's today's tweet. Our data API has...
Our new Optimize Backtest feature can help you find the best way to trade an options strategy. Look at thousands of strategy permutations and...
Here's how to use the level of VIX, or any symbol's price, to drive trading in a backtest by using Entry and Exit Triggers. My firm, ORATS, has an...
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