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Backtesting Calendar Spreads Based on IV Contango

You can instruct the ORATS backtester to trade a calendar only when the implied volatility term...

Python Access to Our API

Python is a popular programming language that lets you work quickly and integrate systems...

Futures Prices Implied from Options Prices for Indexes

Indexes price options off of futures prices for each expiration. Here's how ORATS does handles...

Chrome is the best browser for our backtesting tool

Although the ORATS Wheel Backtester may work with Internet Exporer and other browsers, sometimes...

VIX Level Trigger in Backtesting

Here's how to use the level of VIX, or any symbol's price, to drive trading in a backtest by...

Volatility Skew and Buckets

Generalizing the implied volatility skew into parameters is a good way to get an overall view of...

Modeling the Implied Volatility Surface: Skewness and Kurtosis

To break down the implied volatility surface at ORATS, we look at the term structure in three...

Modeling the Implied Volatility Surface Term Structure with Incomplete Options Market Data

The Problem

You may only have data for options expiring in one month (1M), 2M, 4M and 6M,...

Backtesting Basics: Commodities ETFs with Options

Commodities as an investment are often sought by investors for their low correlation to stocks....