ORATS Menu
Custom Projects:
If you do
not see what you need, please ask us to propose a custom project. We provide fixed bid quotes and will develop
exclusively for you (more expensive)
or on an expedite fee basis (less
expensive).
Example
custom projects: Back testing and optimization of an option or spread trading
strategy; graphing application that includes proprietary volatility and / or
spread calculations.
The Fine Print:
All prices
assume internal use and are for new customers only. The prices per firm assume assets under management are less than
$10 million. Please contact ORATS for
pricing if your situation is different.
Subscriptions are month-to-month.
There is a $500/month minimum for new customers.
See the
bottom of this page for our contact information. Thank you for your interest in our software and data.
1.
VolGraphor – $299.95 per user per month:
The VolGraphor
is a graphing application that allows the user to include or exclude earnings
event volatility (defined as the stock movement on the day of and day after
earnings are announced) from historical volatility calculations. It also graphs at-the-money implied
volatility; has a table of earnings event data covering the previous seven (7)
earnings announcements and a historical stock price graph that can be viewed
below the volatility graph. It can also
be configured to automatically load a MicroHedge tab each time a new symbol is
requested and to load the underlying symbol of the active MicroHedge tab into
the VolGraphor, when a function key is pressed.
Download it now to start a one-month trial -- Get The VolGraphor
2.
ActionAlert -- $499.95 per user per month:
Searches
monthly at the money implied volatilities, skew and volume information to
identify where there is significant option activity. Also monitors
implied volatility and volume for user defined stock lists.
Download it now to start a
one month trial
3. IVAlert! Application -- $299.95 per user per month
This tool helps to find the largest
at-the-money implied volatility changes across all stocks, with IV Up and IV
Down movers shown in two separate grids. Behind the scenes, it automatically
filters out stocks where the options are very wide or were very wide at the
close of the previous trading day (user defines how wide is *too* wide, in
volatility points). The user can also filter by Stock Price, Days to
Expiration, Absolute ATMIV Percentage Change From Previous Trading Day,
Absolute ATMIV Volatility Point Change From Previous Trading Day, and Current
ATMIV. By default, IV Action excludes indexes and ETFs, however they can easily
be turned on by the end user. Details
of what is happening with all monthly ATMIVs in a particular stock can be
accessed by clicking on a “+” button and going in to the details (clicking “-“
collapses). It also allows you to search on IV changes over the past 2, 3, 4
and 5 trading days. See the image below.
4.
VolForecastor -- $399.95 per user per month:
This
application generates GARCH volatility forecasts that match the number of
trading days expected between today and the next thirteen (13) expected monthly
option expirations, plus the first January expiration after that. It has
a user interface and also allows you to pass a list of stocks to it from the
command line and then it generates a file with forecasts for all stocks.
It calculates the volatility forecasts based on ORATS patent-pending tick-data
volatilities and on Open-High-Low-Close historical data from Yahoo!
Finance. It also computes forecasts
based on historical data that excludes very volatile days (defined as days when
HV was more than 3 standard deviations above average). Monthly fee includes ftp access to
ActionData files.
Download it
now to start a one month trial
5. News Spidor -- $199.95 per
user per month
News Spidor is an application that searches user-defined internet news sources for keywords or phrases. This highly configurable tool has been tested on Yahoo, MarketWatch and Bloomberg sources and is used to scan news sources for large lists of stocks. Use it to be the first to know about earnings date confirmations, dividend announcements, takeover bids and FDA decisions. It highlights new stories in orange for a user-defined period of time (e.g., 60 seconds) to help bring them to the trader’s attention and also allows the trader to quickly link to the full story in a web browser.
6.
ShoFlo – $399.95 per user per month:
The ShoFlo
translates “shows” received via AIM into a machine-readable format. ORATS Local Rulor application can be
configured to “listen” for the translated shows. ShoFlo generates data file output that be used to feed other
systems such as a customer’s own valuation engine.
7. ORATSStockDivsTrend.txt --
$249.95 per month per firm:
ORATS
provides a daily ftp download service of a file containing all expected ex-div
dates and dividend amounts for the next 2.67 years for all stocks with US
exchange listed options. The projected
dividend dates take into account irregularities in the dividend dates observed
in the past. Example: MO is 2007-03-13,
2007-06-12, 2007-09-11, 2007-12-24, not 2007-03-13, 2007-06-13, 2007-09-13, and
2007-12-13. This data can be delivered
as a text or CSV file that contains the data for all stocks OR as MHDIV.dat
files (one per stock) that can be referenced in MicroHedge. BONUS: includes Stock Special Dividends (a
$74.95 value)
8. Stock Dividends -- $299.95 per
month per firm
ORATS
provides a daily ftp download service of a file containing the next expected
dividend amount, ex-div date, frequency and whether the dividend is Announced
or Expected.
9. Stock Special Dividends -- $74.95
per month per firm
ORATS
provides a daily ftp download service of a file containing expected upcoming
special dividend amounts and ex-div dates for all stocks.
10. EarningsMoves.csv – $349.95 per month per
firm:
This file
contains one row for each stock and has four data points for each earnings
announcement during the past five years: earnings date, log normal percentage
move of the stock price on the day OF, log normal percentage move of the stock
price on the day AFTER and time of day (Before, During, After, Unknown).
11. Autoline.txt -- $999.95 per month per firm:
Autoline.txt
is updated daily and is available for FTP download. A subset is also available via a web service. The Autoline.txt file contains the following
data items: ORATS forecast volatility surface parameters, interest rate and
dividends for all stocks, ETFs and indexes that have US listed options.
Columns: Underlying Symbol, Forecast
Earnings Effect Factor (FEEF), Next Earnings Announcement Date, 20 Day Asset
Volatility Forecast, Short Term Forecast Slope, Short Term Forecast Derivative,
Infinite Volatility Forecast, Long Term Forecast Slope, Long Term Forecast
Derivative, Out of the money Call Effect Forecast, Out of the money Put Effect
Forecast, Slope Forecast Standard
Error, Asset Volatility Forecast Standard Error, Infinite Volatility Forecast
Standard Error, Dividend Frequency (days), Next Ex-Dividend Date, Number of
Expiration Months Currently Listed, Basis Adjustment for each expiration month
(used European style options only), Interest Rate used for each expiration
month, Dividend Amount used for each expiration month.
12. NextExDivs.csv -- $199.95 per month per firm:
A comma
delimited file that can be opened in MS Excel that contains all stocks with
exchange listed options that will go ex-dividend on the next trading day. The file lists the ticker symbol, ex
dividend date, dividend amount and dividend frequency.
13. HistoricalEarningsMovesAndSpreadPrices.csv – $299.95 per month
per firm:
This
file contains one row for each stock and has eight data points for each of the
earnings announcements during the past five years: earnings date, log
normal percentage move of the stock price on the day OF, log normal percentage
move of the stock price on the day AFTER and time of day (Before, During,
After, Unknown), at the money spread that was tested for the earnings event
(m1Straddle, m1Strangle, m2Straddle, m2Strangle), NBBO mid market spread price
on the day BEFORE (units: dollars), NBBO mid market spread price on the day
BEFORE (units: percentage of the stock price), bid ask average price of the
stock on the day BEFORE and
NBBO
mid market spread price on the day AFTER.
This file is available daily via ftp or email. You can also see this data in the VolGraphor (item #40).
14. ORATSStockDivForecasts.txt --
$299.95 per month per firm:
ORATS
provides a daily ftp download service with all expected ex-div dates and forecasted
dividend amounts for the next 2.67 years for all stocks with US exchange listed
options. The projected dividend dates
and amounts take into account seasonal irregularities observed in the past. The dividend amount forecasts also use
historical patterns to forecast future dividend growth (or decline) and to
forecast how many periods a dividend will remain at a particular amount before
being adjusted by the board.
Furthermore, the forecasts are split-adjusted and are converted to USD
in the case when the dividend is expected in a foreign currency. This data is delivered as a text or CSV file
that contains the data for all stocks OR as MHDIV.dat files (one per stock) that can be
referenced in MicroHedge. BONUS:
includes Stock Special Dividends (a $74.95 value)
Example
data for a stock that pays out irregularly, depending on the season:
SKM
2007-06-28 0.0847 2
SKM
2007-12-27 0.74238 2
SKM
2008-06-26 0.08822 2
SKM
2008-12-26 0.77319 2
SKM
2009-06-26 0.09188 2
SKM
2009-12-28 0.80527 2
Get a Dividend Forecasts Sample
15.
GARCH Volatility Forecasts -- $299.95 per firm per month:
These CSV
data files are generated using the GARCH(1,1) volatility forecasting
method. For each stock, fourteen
forecasts are made for future volatility based on historical volatility that
INCLUDES earnings events and fourteen forecasts are made based on historical
volatility that EXCLUDES earnings events.
Each forecast matches the number of trading days expected between the
current trading day and the next thirteen (13) expected monthly option
expirations, plus the first January expiration after that. The input
volatilities are ORATS Adjusted Close-Close volatilities, a method that corrects
for the weakness of the standard textbook Close-Close volatility
calculation. Forecasts are updated
daily and are available via FTP.
Please Note: The above reports are
non-customizable.
ORATS Member Subscription -- $299.95 for the primary user and $99.95 per month for additional
users within the same company:
The Member
Subscription includes unlimited access to ORATS online research (Profile,
Minder/Matrix and Finder/Pressure Reports) PLUS the Advanced Searcher, an online
search tool that helps you find volatility, skew and technical trading
opportunities.
Start a one-month trial for $49.95
Contact Info:
Option
Research & Technology Services, LLC
Homepage: http://www.orats.com
RSS: http://www.orats.com/OR_Feed.rss
Email: info@orats.com
Phone: 312
986 1060
Fax: 312
986 1067
401 S LA
SALLE ST SUITE 1306
CHICAGO IL
60605-1061