ORATS Menu

 

New Products:

 

Trading Algorithms: Working through our execution strategic partners we have developed mid market trading programs to get you the best fills possible for the options that meet your criterion. Work with ORATS to design your customized trading algorithms to trade into the positions you define.  

 

Market Dividend Forecast: ORATS has developed highly specialized ways to determine the dividend implied from the underlying option markets. ORATS provides a daily ftp download service of a file containing all expected ex-div dates and implied 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.

 

Dashboard -- $599 first user and $399 additional users.

 

ORATS historical tick volatility and implied volatility charting software. Key Features: scrolling news, forward volatility calculations, ORATS forecasted volatilities and skews, thorough dividend analysis and historical earnings research.  

 

 

 

Applications

 

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:

 

 

Hittor – $499.95 per user per month.

 

The Hittor is an option scanning tool. View scrolling trades from the market that meet your criterion. Use the standard Hittor interface to choose your filters and sorting criterion or work with ORATS programmers to develop a more complex scan. Working directly with ORATS programmers requires an additional one-time set-up fee of $999.95 and a monthly charge of $599.95.

 

 

Reactor – $699.95 per user per month.

 

The Reactor takes advantage of newer developments at the exchanges and interfaces with their complex order books. View scrolling trades from those complex order books that meet your criterion.

 

 

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 programmatically from another program running on the same machine, saving valuable time.

 

Download it now to start a two-week trial --

 

 

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 two-week trial --

 

 

 

Industry Heatmap -- $349.95 per user per month:

 

Searches specific market sectors for changes to implied volatility vs. a user-defined blend of historical volatility to identify potential opportunities. This application also interfaces with the VolGraphor for rapid analysis.

 

Download it now to start a two-week trial --

 

 

 

IVAlert -- $399.95 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 Previos Trading Day, and Current ATMIV. By default, IV Action excludes indexes and ETFs but the user can turn those on if you want. 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.

 

Download it now to start a two-week trial --

 

 

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 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.

 

Download it now to start a two-week trial --

 

 

VolForecastor -- $349.95 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 two-week trial --

 

 

 

Data and Research

 

ORATSStockDivsTrend.txt

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)

 

ORATSStockDivForecasts.txt

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.   BONUS: includes Stock Special Dividends (a $99.95 value)

 

Example data for a stock that pays out irregularly, depending on the season:

SKM 2007-12-27 0.64407 2

SKM 2008-06-26 0.07934 2

SKM 2008-12-26 0.62688 2

SKM 2009-06-26 0.07859 2

SKM 2009-12-28 0.63189 2

SKM 2010-06-28 0.08061 2

 

Get a Dividend Forecasts Sample

 

ORATSearnings.txt

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. 

 

HistoricalEarningsMovesAndSpreadPrices.csv

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.

 

HistoricalEarningsMoves.csv

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).

 

Average Pre-Earnings ATMIV Return Report

This report shows you the amount that the Front Earnings Month at-the-money IV changes as you progress from 4 weeks prior to earnings up until 1 day prior to earnings. Stocks are ranked from Highest To Lowest percentage change. The percentage change over the time period from 2 weeks prior to earnings to one day prior to earnings is also shown. The report columns are as follows: Symbol NextEarningsDate(Sources:WallStreetHorizon;WhisperNumber) BizDaysAhead FrontEarningsMonth 2WeekPreErnIVReturn 4WeekPreErnIVReturn StockPrice. Sent daily via email as a CSV file that can be opened in Excel.

 

 

QuoteWidthsAndActivity.csv

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.

 

Monthly Volatility, Slope and Derivative

This file shows the market implied levels side-by-side with the ORATS forecasts in the following format for all symbols for all currently traded standard expiration classes:

Ticker,DTEX,ATMIV,ORATS ATMIV Forecast,Market Slope,ORATS Forecast Slope, Market Slope Derivative, ORATS Forecast Slope Derivative

 

Put Exercise Report

This report shows all deep puts that have open interest and where the cost of carry is greater than the mid-market price of the call on the same strike. It is available daily via FTP or email.

 

ActionData Files

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

 

ORATS Indicator files

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.

 

Earn Offset Ratios

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

 

ShETFDivsImplied.txt

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.

 

ShETFDivsTrend.txt

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.

 

Earnings Move Report

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.

 

Earnings Special Move Report

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.

 

HVnoEarnings.csv

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.

 

Earningsfactors.txt

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

 

ShortTermVolatilityDataAndForecasts.txt

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

 

Stock Dividends

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.

 

Stock Special Dividends

ORATS provides a daily ftp download service of a file containing expected upcoming special dividend amounts and ex-div dates for all stocks.

 

MonthlyATMIVs, Mid Market Straddle/Strangle Prices and Break Even Price Moves

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.

 

NextExDivs.csv

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.

 

Average Earnings Move CSV Reports

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.

 

Autoline.txt

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.

 

Implied Earnings Effect Data

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.

 

 

SsStrike.txt

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.

 

SsForecast.txt

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.

 

SsFit.txt

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.

 

SsFitAdjForecast.txt

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.

 

SsImpliedForecast.txt

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.

 

 

Earn.oratsIndicator.txt

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

 

Searcher.txt

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. 

 

Earnings Sneak Attack Report

 

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:

 

 

Long Spread 8 Optimizor Results

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.

 

Short Spread 1 Optimizor Results

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.

 

Short 1 Optimizor Results

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.

 

Long45 Optimizor Results/span>

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.

 

STVolForecastsErrorsAndEarnDates.txt

A file that contains the same data as ShortTermVolatilityDataAndForecasts plus the standard error (in volatility points) of ORATS 20-day asset volatility forecast for each stock.  Sample row:

FLEX,0.229613,0.31,0.310018,0.613376,0.737561,1.86,2.75,2007-04-26,After,0.069665

 

Historical Volatility Correlation Matrix

ORATS calculates underlying asset volatility correlation coefficients between all stocks, ETFs and indexes that have US-listed options.  The asset volatility measurements used in the matrix are calculated using ORATS tick data method.  Two data sets are available: 252-day correlation and 63-day correlation.  The data is available for FTP download and is updated weekly.

 

IV Deciles Web Service

ORATS provides a web service that tells the user where a particular sector of the implied volatility surface has been trading over the past year.  160 sectors, bounded by time to expiration and delta borders, are analyzed.  Specifically, the user enters Stock symbol, Days to Expiration and Call Delta and the following data is returned over the internet via web services (XML, SOAP on an http channel):

 

Request further information on the IV Deciles Web Service Data Feed

 

IV Percentiles Web Service

 

ORATS provides a web service that tells the user where the implied volatility of a particular strike has been trading since inception.  Specifically, the user enters four parameters (Stock symbol, Expiration Month, Expiration Year and Strike Price) that describe the option and the following data is returned over the internet via web services (XML, SOAP on an http channel):

 

Request further information on the IV Percentiles Web Service Data Feed

 

Index Dispersion Ratios

This research looks at the relationship between forecasted short term asset volatility and short term at-the-money implied volatility in six indexes: DIA, DJX, QQQQ, NDX, SPX and SPY.  A dispersion ratio is calculated for each index that quantifies the relative attractiveness of selling index option volatility against buying volatility in the individual stocks that are the index components.  The research is delivered via an email report that contains the following two data items for each index: current dispersion ratio and the percentile rank of the current ratio relative to history going back to 2004. One way of interpreting the dispersion ratio is that the higher the ratio is above 1.00, the more likely the dispersion trade will be profitable.  Conversely, when the dispersion ratio is below 1.00, the reverse dispersion trade (sell volatility in components, buy volatility in the index) may have expected profitability.

 

 

ORATSoptionsUniverse.txt

This pipe-delimited file applies ORATS forecast of short term asset volatility, long term implied volatility and shape of the skew (Slope and Derivative) to all options on all underlying assets.  It contains a row for each standard option and lists the underlying asset, shares per contract, expiration date, strike price, volatility forecast, open interest, next ex-dividend date, next dividend amount and dividend frequency.

 

GARCH Volatility Forecasts

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. 

 

Big FOMC Movers Report

A quantitative report listing all stocks, ETFs and indexes with options ranked by how much each moves, in absolute percentage terms, on FOMC announcement days. Additional columns included in the report: standard deviation of the percentage moves, number of observations for each stock and Z-Score -- average absolute move divided by standard deviation. Stock price movement attributable to earnings announcements is ignored. Available via email or FTP and in XLS or PDF format.

 

Days to Expiration Adjustments for All Underlyers

Using ORATS accurate monthly ATMIV data and proprietary term structure equations, the best-fitting DTE adjustment to standard days to expiration is computed for all stocks, ETF and index options. The data is updated twice daily and is delivered as CSV files via FTP.

 

DTE-Adjusted Monthly ATMIVs

Using the Median value of the Days to Expiration Adjustments for All Underlyers, we provide Adjusted ATMIVs as a data feed for accurate analysis of the movement of at-the-money implied volatility over time, without jumps after weekends and holidays. The data is updated twice daily and is delivered as CSV files via FTP.

 

TheoFiles with DTE-Adjusted Theoretical Values

We offer smooth or forecast theoretical values that are adjusted based on the Median Days to Expiration Adjustment. These CSV files are updated every 20 minutes and are designed for use in the OBox Automated Option Trading System.

 

 

 

Custom Projects:

If you do not see what you are 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 $50 million.  Please contact ORATS for pricing if your situation is different.  Subscriptions are month-to-month. 

 

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

 

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