Reuters used ORATS earnings information in their STORY on SYMC earnings move to the downside of 33%.

ORATS earn move report showed that the straddle for SYMC going into earnings was 50% higher than the historical average over the past 12 quarters.

ORATS has a method for isolating the straddle price that relates only to the earnings announcement. To do this we project an earnings move distribution and the implied volatility change from before earnings to after earnings. Isolating the straddle allows for better comparisons to historical earnings straddles especially when the days to expiration or implied volatility are different.

ORATS also has a signal that has performed well over earnings season. We will publish a summary after the earnings season is over.

related posts

List of Currency ETFs and ETNs with Options Traded
May
13
Markets, Data, options trading, options, currency options

List of Currency ETFs and ETNs with Options Traded

Currency exchange-traded funds (ETFs) and exchange-traded notes (ETNs) with listed US options...

Read Post
Announcing Vesel & ORATS Volatility Axe Options Report
Apr
30
Markets, Volatility, options trading, liquidity

Announcing Vesel & ORATS Volatility Axe Options Report

ORATS is teaming with Vesel to bring you the Volatility Axe Options Report. Vesel's Data Portal...

Read Post

We're here, if you need us.

Still curious how we can help you?




LET'S CHAT