The stock price is snapped at the same time as the options are snapped 14 minutes before the close. Markets are much more representative at that...
MSFT reports in 13 days. [IMG] In addition to offering traditional close-to-close realized volatility computations, we offer a second way to...
We use delta to normalize the measurement of skew or what we call slope. [IMG] At-the-money volatility is the implied volatility at the 50 delta...
We have fixed this. If you see anything off, let me know.
You are welcome. Know that there is much more to do. For example, if you look at similar backtests there are some losers: [IMG]...
There is not much to go on here as far as reward to risk tolerance. It is a long process starting with backtesting. We have 10 million backtests...
Higher profit for straddle owners this season Summary ORATS publishes an earnings season report that follows the performance of owning straddles...
You might also try backtesting. You are able to see many strategies and how they fared in different market conditions. We have just released a...
ORATS has a stock scanner with a bunch of options indicators, and works with an options scanner too. [IMG]...
If you don't mind sharing a test here, I can run it and post it. Otherwise, I'll look for you at ORATS
Hi Tall Mike Yes, many ET members use our backtesting service. We have been online for > 10 years, but we are introducing a new service where we...
Agreed. We have a scanner where you can rank the Reward:Risk and POP% together to find the top trades for this tradeoff: [IMG]...
Summary ORATS' Trade Builder tool offers three ways to analyze volatility: implied volatility ranges, Value Vol shading, and the IV vs. HV graph....
You can also test the deltas around .16 like .25 and .1: [IMG] https://gyazo.com/64ec4dc56185a6ec26f474b14fdeb8bb [IMG]...
Yes, I am doing less trading but it doesn't affect the returns. They trade every day. I trade every 5 days. That is just a setting in our...
Instead of trading only every 45 days the 16 delta and waiting to expiration, which could miss some moves and lead to path dependency, I...
We only have US stocks. Have you tried Option Metrics?
Here's the base case with no early exits trading every 5 days. The problem is the monthly losses here in terms of the SPY stock price. [IMG]...
ORATS is starting a beta trial of our Dashboard product using the TDA API. You can use the scanners, options chain, and positions tab to identify...
Here are the current T-bills vs Market implied interest rates. We use non dividend paying high confidence tickers and show how many there are...
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