Surf the IV Implied Volatility Surface

Surfing the BVI (British Virgin Islands) is my favorite thing to do. Surfing the IV (Implied Volatility surface) is my second. Summarizing the implied volatility surface is an important step to understand the options trading environment for a symbol. Here […]

Backtest Multiple Symbols At Once

Backtesting can be on one symbol in the basic subscription or up to 10 symbols in the professional subscription. There are three ways to submit multiple symbols to the backtester: Type multiple symbols into the Symbols input box. Paste in a […]

Planned Wheel Downtime This Saturday Morning

There Will Be a Planned Maintenance for Wheel User Login System Upgrade: Saturday August 11th, 10am EST  We will upgrade of our User Login and Security Systems on Saturday August 11th. * Maintenance will begin on Saturday August 11th at 10am and […]

Term Structure of Implied Volatility

ORATS summarizes the term structure parameters using the implied volatility at-the-money for each expiration. The summarized IV term skew can then be compared to the actual expiration IVs to observe any outlier months and the shape of the term structure […]

Estimating the Implied Volatility After Earnings

ORATS calculates what the implied volatility (IV) may fall to after expiration. Consider the graph below: In blue are the actual at-the-money IVs and in red are the ORATS post earnings IV. The first three expiration dates are before earnings and […]

Expected Move in Stocks at Earnings

ORATS calculates the expected earnings move in stocks based on options prices. We calculate the move by adding the at-the-money call and put (the straddle) and subtract the expected value of the straddle after earnings announcement. The expected straddle price […]

Technical Analysis Using Options Data

SPY stock price on top of implied and realized volatilities. Do you see any patterns? Implied volatility of the SPY, much like the VIX, normally rises as the SPY price falls. In times of calm, when volatility is flat or […]