[EPS] Backtesting IV crush at different expiration dates

Hi all,

I wonder if it exists a service which can support the backtesting of IV crush during EPS on different expiration dates.
I try to explain better: for a panel of stock measuring how much is IV ATM 7-30 days crush the day after EPS vs how much is IV ATM 30-60 days or IV ATM 60-90 days crush. Backtesting this for let's say 10-20 years.
In this way it would be possible to recognize stocks which statistically have short term IV crush much more heavy than long term and use this information to trade EPS with calendar spreads (evaluating actual vegas).

Do you know a backtesting service like this?

Thanks

 

www.orats.com has an options backtester,

 

Thanks, i visited the website but it seems not evapuating two different iv (short term and long term) for the same eps release

 

Good luck backtesting weekly options in SN for 20 years, I mean, something has to be in excistence for 20 years in order to do that. You could otherwise also backtest against 400 years index data

You could buy the data and backtest for yourself. You will need some programming knowledge especially to slice and dice the data, but I think GPT 3/4 can help a lot

 

you will have to do some of the work yourself. But you will get the vol changes through orats And that’s the hardest part.

 

I dont' have the skills to program such things unofrtunately. For this, I wonder if i can find a service provider 20years or 10 years or event last 5years, the magnitude of the test period would not be a problem. The point is to find some service which for the same EPS/stock gives me the measure of 2 different IV crush: short term and long term (let's say the monthly next or two monthly next).

However, where these data can be bought? Thks

 

Are you a user of orats? What do yout hink of it, do you know if there is a trial in order to see which data i can get in this way?

 

I am not but a lot of people on here are. And they seem to like it.

 

I will definitely try it. I found other service providers supporting Earnings historical analysis i.e. Optionslam, Market Chamaleon, Option Omega and Quantcha. Anyone using them?

 

Some on here have mentioned some of these services.
I personally think you will have to do the calculations yourself as you are looking at a second and third order effects which these guys won't be processing that properly.