Discussion in 'Programming' started by TheBigShort, Feb 28, 2019.
Didn't I tell you that ORATS was the shit?
Yes, I have only heard good things from the guys on this forum. However, if you look at my most recent post, I am finding some issues already with the data (most likely I am miss-interpreting the documentation). Any ideas here Des? Also any reason why you stopped using them?
I don't need historical data for what I'm doing.
Do any of you understand the ErnEffct or ImpliedEe/FcstErnEffct from ORATS? From reading what Matt has written on the documentation/emails/blogs my understanding was, it is how much Implied Volatility in % was being added to the 1 year options due to the earnings event. When I plot the data it looks very strange. Also, vastly different companies like PEP and SIG have similar ErnEffects. ErnEffects look like they top out @ 4 and bottom @ 1:s. Lastly, impliedIee and impliedEe are exactly the same, yet have different documentation. The data has 5000 equities.
For the bottom photo I am regressing the ORATS implied Mv% on the ImpliedErnEffct.
The table below is historical ernEffct for the past earnings for PEP and AMZN.
Edit** Here is a blog from ORATS where MATT explains it. https://blog.orats.com/how-orats-removes-earnings-effect-from-implied-volatility
Just to save anyone else the hassle. ORATS has THE best implied vol surface data I have seen/used. However, they are really lacking on the earnings side. They have countless errors in their Earnings Dates which throws off most of the variables. It's unfortunate, but I will not be renewing my Earnings Core sub and will stick with their Vol surface subscription on Quandl. There is definitely a need in the market for an in-depth earnings data provider.
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