ORATS Menu

 

ORATS Member Subscription -- $399.95 for the primary user and $199.95 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

 


 

The following items can be added to the ORATS Member Subscription or can be purchased separately:

 

1. Trackor and Local Rulor – $499.95 per user per month (Available to Fimat USA and ITG Derivatives customers only):

 

Trackor application is used to price simple and complex option trades, including OTC.  All the fields that have a white background in the image below are editable:

 

 

Local Rulor is bundled with Trackor.  It can be configured to evaluate (theoretically and versus market quotes) ‘shows’ received via AIM into the ORATS ShoFlo natural language translation engine.  It significantly increases the efficiency of a “show” trading operation.

Request a one-month trial of the Trackor & Local Rulor

 

2. ActionAlert -- $349.95 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. ActionData Files – $149.95 per firm per month:

One file for each stock, ETF and index with US listed exchange traded options.  The file contains current and historical data for the following columns:

Date     8/31/2005

Close    25.6

High      25.6

Low       24.8115

Open     25.1

Stock volume     955400

Option volume    399

Open interest     28357

ORATS 1-day    32.5

Month 1 ATMIV 29.8475

Month 2 ATMIV            32.8588

Month 3 ATMIV 34.1527

ORATS20 dayIV            35.6791

ORATSinfinite    27.7981

Slope    2.8316

Derivative           0.4459

 

4. ORATS Indicator files – $399.95 per firm per month:

Header  Example           Explanation

Symbol  ZRAN    Trading symbol

CUSIP    98975F101        Defined by Committee on Uniform Securities Identification Procedures

Date      10/4/2005          Date

Close    14.31    Closing price of stock

BottomChannel  13.885  Bottom (support) point from ORATS technical channel analysis.  Width calculation could be used = top - bottom channel.

TopChannel        17.47    Top (resistance) point from ORATS technical channel analysis.

Stockvolume      1174984            Stock volume

Calloptionvolume            87         Call option volume

Putoptionvolume 384       Put option volume

Optionvolume     471       Option volume

Callopeninterest 4252     Call option open interest

Putopeninterest  2483     Put option open interest

Openinterest      6735     Option open interest

ORATS1-day     18.9      One day statistical or historic stock volatility based on ORATS calculation.  To make an average this reading should be squared, averaged, then the square root taken.

ORATS20dayIV 46.9096 20 day implied option volatility.

ORATSinfinite    36.1916 Infinite implied option volatility.

Slope    1.2881 Average Slope of the implied volatility skew.

Derivative           1.037    Average Curvature of the implied volatility skew.

ORATS20dForecast       49.9386 The ORATS forecast of stock volatility for the next 20 days.  Could be compared to implied volatility.

ORATS20dIVForecast    31.3587 The ORATS forecast of implied volatility in 20 days.  Could be compared to actual implied volatility.

SlopeForecast    2.3024  The ORATS forecast of the slope of implied volatility skew.  Could be compared to actual slope.

ORATSinfiniteForecast   37.3272 The ORATS forecast of the infinite implied volatility.  Could be compared to actual implied volatility or actual infinite.

derivativeForecast          0.7747  The ORATS forecast of the derivative of implied volatility skew.  Could be compared to actual derivative.

IVmonth1          52.1456 Implied volatility for month1

IVmonth2          46.9249 Implied volatility for month2

IVmonth3          44.3449 Implied volatility for month3

FcstMonth1       52.1667 Forecast of volatility for month1

FcstMonth2       54.6157 Forecast of volatility for month2

FcstMonth3       50.6222 Forecast of volatility for month3

ORATS20-day   54.6121 Twenty day statistical or historic stock volatility based on ORATS calculation.

clscls20-day      54.5089 Twenty day statistical or historic stock volatility based on standard close-to-close calculation.

ivEarnReturn      0.9815  The average of the volatility day of and day after earnings / implied day before divided by implied day before / implied day after.

 

5. Earn Offset Ratios – $399.95 per month per firm:

This data set shows the best time to buy and sell 2nd month ATMIV based on various entry and exit offsets (in business days) from each earnings announcement date in history.  That data is available via FTP download of the raw data files.  Columns in table below:

TradeEntryDateOffsetFromEarningsDate  TradeExitDateOffsetFromEarningsDate    VolatilityProfitabilityRatio (includes the effect of implied volatility changes and historical volatility during the holding period; 1.00 is break even)

 

-30

-1

1.2356

-30

1

1.5627

-30

5

1.5149

-25

-1

1.1298

-25

1

1.5157

-25

5

1.4562

-20

-1

1.1691

-20

1

1.3804

-20

5

1.2642

-15

-1

1.0832

-15

1

1.3087

-15

5

1.1831

-10

-1

1.0857

-10

1

1.4227

-10

5

1.2418

-5

-1

0.8656

-5

1

1.5835

-5

5

1.2555

-1

1

2.0242

-1

5

1.2736

 

6.  HistoricalEarningsMoves.csv – $249.95 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).

 

7. ShETFDivsImplied.txt – $399.95 per month per firm:

This file contains the next expected dividend ex-date, amount and frequency for each ETF.  The dividend amounts are based on solving for the implied dividend from the option quotes; the dividend dates are based on past date patterns.

 

8. ShETFDivsTrend.txt – $399.95 per month per firm:

This file contains all expected dividend dates and amounts for ETFs.  The dividend amounts are based on linear and exponential regression forecasting; the dividend dates are based on past date patterns.

 

9. Earnings Move Report – $199.95 per user per month:

The Earnings Move report is emailed each trading day at approximately noon EST.  It highlight displays the current implied short term implied at the money, forecast volatilities and expected moves for all stocks that are going to report earnings during the next seven business days.  For more details, see ORATS_Earnings_Special_Columns_Defined.xls – the Earnings Move Report contains the data from the first 14 columns of the Earnings Special Move Report.

 

10. Earnings Special Move Report – $399.95 per user per month:

The Special Earnings Move report is emailed each trading day at approximately noon EST.  It displays the current implied short term implied at the money, forecast volatilities and expected moves for all stocks that are going to report earnings during the next seven business days PLUS it highlights special situations that are occurring in the option environment.  Specifically it highlights significant recent moves in implied volatility, implied volatility vs. ORATS forecasts and implied slope (a.k.a. skew).  For more details, see ORATS_EarningsMoveSpecialReport_ColumnsDefined.pdf.  Alternate delivery method: The CSV version of this report is also available for ftp download.

 

11. HVnoEarnings.csv – $399.95 per firm per month:

The file contains close to close historical volatilities that exclude the volatility on the day of and day after earnings announcements.  There are fourteen rows of data for each stock.  Each row represents a different historical volatility calculation: the first twelve match the trading days to expiration for the next 12 calendar month expirations and the last two match the trading days to expiration of the first and second January LEAPs.  On a sample day, the file could contain the following HV rows for each stock: 17-day HV, 41-day HV, 61-day HV, 80-day HV, 104-day HV, 124-day HV, 148-day HV, 168-day HV, 188-day HV, 212-day HV, 230-day HV, 250-day HV, 274-day HV, an-day 482-day HV.  There are 252 columns of data.  Each column shows the historical volatility calculation on a specific trading day during the past year.  This file is available daily via ftp and can be opened directly into Excel.

 

12. Earningsfactors.txt – $199.95 per firm per month:

A file that contains the following data for each stock:

Underlying Symbol,        Average 20 Day Asset Volatility Forecast Since The Last Earnings Announcement,            Expected Earnings Effect

FLEX,   0.35488,            2.75

 

13.  ShortTermVolatilityDataAndForecasts.txt – $1999.95 per firm per month:

A file that contains the following data for each stock:

UnderlyingSymbol, 20 business day Asset Volatility Forecast, Forecast of where Short Term At The Money Implied Volatility will be trading four weeks from now, Short Term At The Money Implied Volatility (20 business days), R-squared of 20 business day Asset Volatility Forecast, R-squared of the Short Term At The Money Implied Volatility Forecast, Implied Earnings Effect, ORATS Earnings Effect (FEEF), Next earnings announcement date, Next earnings announcement time.  Sample row:

FLEX,0.229613,0.31,0.310018,0.613376,0.737561,1.86,2.75,2007-04-26,After

 

14.  TrackPro – $399 per user per month:

TrackPro is an Excel/VBA application that retrieves its data from ORATS web server and provides the same functionality as Trackor, PLUS Portfolio Risk Management, Portfolio Correlation Analysis, and Implied Volatility Studies (one to show you where a particular option is relative to its historical implied volatility, since inception; the other one shows you where any one of 160 sectors (20 delta bucket X 8 time to expiration buckets) of the implied volatility surface is trading relative to where that sector has traded over the past year).  Note: Trackor has real time snapshot data provided by FimatPreferred or ITG Derivatives; TrackPro has 30 minute delayed data from ORATS databases.

 

15. ODIS Rulor -- $399.95 per month per user (A Development or Expedite fee may also apply, depending on what data source(s) Rulor is connected to):

 

Rulor is an application that is used to value multiple sources of orders.  It can listen to the ISE complex order book (ITG Derivatives customers only); the First Traders HEAT system; or data files or emails in pre-defined formats.  Rulor is expected to be able to analyze the CBOE complex order book by end of Q2 2008.  It can be used (a) by an equity derivatives desk to evaluate customer order flow and determine if the desk wants to take the other side or just act as an agent; (b) quickly find mispriced spreads in a complex order book.

 

Request a one-month trial of the ODIS Rulor

 

16. Stock Dividends -- $399.95 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.

 

17. Stock Special Dividends -- $99.95 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.

 

18. MonthlyATMIVs, Mid Market Straddle/Strangle Prices and Break Even Price Moves -- $249.95 per month per firm:

This CSV file is available daily via FTP or email and has ATM IVs for all traded months.  It also has the front and second month straddle (or strangle if the stock is in between strikes) mid market prices based on NBBO, strike prices, and the break even up and down lognormal percentage price moves that the straddle (strangle) prices are implying.

 

19. 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.

 

20. Average Earnings Move CSV Reports -- $199.95 per month per firm:

There are three versions of this report available:  BigMoversEarningsSoon.csv, AvgEarnMove.csv, and EarningsSoonAvgEarnMove.csv.  Each report is emailed daily as a comma delimited file that can be opened in MS Excel.  The report contains the ticker symbol, next earnings announcement date, average absolute log normal price move for the preceding 4 earnings announcements, current stock price and industry.  The larger of either the absolute percentage move on the day of the announcement or the absolute percentage move on the day after the announcement is used for purposes of calculating the average earnings price move.

 

21. QuoteWidthsAndActivity.csv -- $149.95 per month per recipient:

A comma delimited file that can be opened in MS Excel that contains the following data for all stocks with exchange listed options.  This daily report is useful for determining what stocks to make markets in:

Symbol, StockPrice, Implied 20 Day, Average Volatility Point Width of options listed in the front four expiration months, Out of the money price width for second month options, In the money price width for second month options, Average Daily Option Volume.

 

22. Autoline.txt -- $1999.95 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.

 

23. 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 $99.95 value)

 

24. Implied Earnings Effect Data -- $399.95 per month per firm:

ORATS provides a daily ftp download service of a file containing Implied Earnings Effect (IEE) and monthly at-the-money implied volatility data.  Three methods are used to solve for what the options market is implying for the extra volatility that will be experienced during earnings announcements in the future.  This service also includes R-squared data for the implied volatility term structure equation – this is useful for quantitatively separating the “normal” earnings cycle stocks from the “event” stocks that do not have a standard term structure.

 

25. Minder/Matrix Web Service -- $499.95 per month per firm with Forecasts INCLUDED; $399.95 per month per firm with Forecasts EXCLUDED:

ORATS provides the following data over the internet via web services (XML, SOAP on an http channel):

 

For each expiration month --

 

For each exchange listed strike --

Request further information on the Minder/Matrix Web Service Data Feed

 

26. HistoricalEarningsMovesAndSpreadPrices.csv – $399.95 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.

 

27. SsStrike.txt -- $399.95 per month per firm:

File Description: Current implied volatility surface data (based on ORATS strike skew smoothing functions) for each expiration month in all symbols that trade US listed options.  Columns: Underlying Symbol|Expiration Date|Interpolated Implied Volatility for the strike price that is equal to 0.0 times the stock price|Interpolated Implied Volatility for the strike price that is equal to 0.1 times the stock price| Interpolated Implied Volatility for the strike price that is equal to 0.2 times the stock price|….| Interpolated Implied Volatility for the strike price that is equal to 3.0 times the stock price | Interpolated Implied Volatility for the strike price that is equal to 3.1 times the stock price.  There is an alternative file format that has 0.05 delta increments instead of 0.10 time stock price increments. The file update four times during each trading day and are available via ftp or email.

 

28. SsForecast.txt -- $399.95 per month per firm:

File Description: Forecast implied volatility surface data (based on ORATS short term asset volatility forecast and long term implied volatility forecast) for each expiration month in all symbols that trade US listed options.  Columns: same as ssStrike.txt.  This file updates four times during each trading day and is available via ftp or email.

 

29. SsFit.txt -- $249.95 per month per firm:

File Description: Forecast implied volatility surface data (based on ORATS term structure and strike skew smoothing functions) for each expiration month in all symbols that trade US listed options.  Columns: same as ssStrike.txt.  This file updates four times during each trading day and is available via ftp or email.

 

30. SsFitAdjForecast.txt -- $399.95 per month per firm:

File Description: Forecast implied volatility surface data (based on ssFit leaned towards ssForecast; the amount of lean is determined by the average volatility point width for each stock) for each expiration month in all symbols that trade US listed options.  Columns: same as ssStrike.txt.  This file updates four times during each trading day and is available via ftp or email.

 

31. SsImpliedForecast.txt -- $349.95 per month per firm:

File Description: Forecast implied volatility surface data (based on ORATS short and long term implied volatility forecasts) for each expiration month in all symbols that trade US listed options.  Columns: same as ssStrike.txt.  This file updates four times during each trading day and is available via ftp or email.

 

32. ORATSearnings.txt – $599.95 per firm per month:

A space-delimited file that combines all ORATS earnings date sources (including at least two sources, Wall Street Horizon and Whisper Number, that have staff that make calls to IR departments of all the companies they cover) and contains the following data for each stock: Symbol, Next earnings date, Previous earnings date, Time of earnings announcement, Confirmed or unconfirmed.  There are three less-expensive versions available:

a)       WSHearnings: limits the feed to just one premium source -- Wall Street Horizon.
Price: $399.95.

a)       WNearnings: limits the feed to just one premium source -- WhisperNumber.
Price: $399.95.

b)       SHearnings: No human interaction with IR departments, strictly generated by algorithms based on historical info, web scraping, etc.
Price: $399.95

 

33. Earn.oratsIndicator.txt – $599.95 per month per firm:

A comma-delimited file for each option able stock that contains the following data is available via ftp download:

  1. Column headers and order: earningDate   Implied  assetVol           Forecast           earningsVol       earn/frcst            ivEarnReturn
  2. Column descriptions: First part of the description applies to all rows except the last row of the file and second part of the description applies to the last row of the file:
    1. EarningDate      Date of earnings.  Future earnings.
    2. Implied  Average implied volatility between earnings dates.
    3. AssetVol           Average asset volatility between earnings dates.
    4. Forecast           Average forecast of asset volatility between earnings dates.
    5. EarningsVol       Volatility the day of and day after earnings date.
    6. Earn/frcst          Earning date volatility divided by forecast volatility between earnings dates.  Future is weighted average of past earn/frcst.
    7. IvEarnReturn      EarningsVol divided by implied day before earningDate divided by implied before earningDate divided by implied after earning Date.
  3. Sample data:
    1. "01/27/03",.53452,.4764,.42805,.35257,.82368,.83411
    2. "04/21/03",.47708,.47268,.48049,.42206,.87841,.65359
    3. "07/21/03",.44174,.31148,.32005,.5335,1.66693,.90491
    4. "10/22/03",.29873,.23771,.32811,.40675,1.23968,1.45264
    5. "02/04/04",.29638,.35955,.36552,.78665,2.1521,2.40223
    6. "04/14/04",.35022,.42124,.38377,.59865,1.55991,1.40226
    7. "07/19/04",.37924,.3951,.39488,.7285,1.84489,2.03232
    8. "10/18/04",.39943,.43898,.37219,.83473,2.24273,1.41114
    9. "02/02/05",.44516,.48685,.40147,1.10891,2.76212,2.7573
    10. "04/20/05",.48383,.53748,.41497,.88639,2.13604,1.359
    11. "07/18/05",.46191,.46677,.24741,.58694,2.37239,1.23676
    12. "10/19/05",.43117,.4038,.45274,1.09071,2.40913,1.70293
    13. "01/23/06",.42973,.38858,.40675,.84155,2.06894,1.7213
    14. "04/19/06",.43765,.47342,.47007,.73583,1.56537,1.26596
    15. "07/19/06",.50247,.53873,.52589,1.43944,2.73717,2.3961
    16. "10/18/06",.46712,.50411,.446 49,.618,1.38412,1.35941
    17. "01/23/07",.44235,.41955,.46692,,1.82824,1.56625

 

34. Searcher.txt – $399.95 per month per firm:

A comma-delimited file for each option able stock that contains the following data is available daily via ftp download or email:  Symbol, impliedSlope, implied200ma, ImpliedLT, cost1kGam, impliedTurn, impliedForecast, forecastR2, Uvol1day, Uvol4wk, UvolLT, UvolMedian, Forecast, assetPx, undSlope, undBrkOut, deltaSignal, VegaSignal, InfiniteForecast, SlopeForecast, DerivativeForecast. 

 

35. Earnings Sneak Attack Report – $399.95 per recipient per month:

 

The Earnings Sneak Attack Report generates volatility buy and sell signals based on the Earn Offset Ratios (see #5 above) and is emailed each trading day.  Twenty (20) trade holding periods are back tested.  The holding periods range from entering the trade 6 weeks prior to earnings and exiting one week after earnings to entering the trade on the day before earnings and exiting the day after earnings.

 

There are two versions available:

 

 

36. Long Spread 8 Optimizor Results – $399.95 per recipient per month:

Back tested and optimized long calendar spread strategy results delivered by email at least once per trading day.  Signals assume holding the trade until expiration of the front option in the spread and hedging delta neutral.

 

37. Short Spread 1 Optimizor Results – $399.95 per recipient per month:

Back tested and optimized short calendar spread strategy results delivered by email at least once per trading day.  Signals assume holding the trade until expiration of the front option in the spread and hedging delta neutral.

 

38. Short 1 Optimizor Results – $399.95 per recipient per month:

Back tested and optimized short option strategy results delivered by email at least once per trading day.  Signals assume holding the trade until expiration and hedging delta neutral.

 

39. Long45 Optimizor Results – $399.95 per recipient per month:

Back tested and optimized long option strategy results delivered by email at least once per trading day.  Signals assume holding the trade for 45 trading days (9 weeks) and hedging delta neutral.

 

40. VolGraphor – $399.95 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 two kinds of HV (close-close and high-low); 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 overlaid on the volatility graph.  It can also be configured to automatically load a MicroHedge tab each time a new symbol is requested and has an API that allows a symbol to be loaded programma