Matt Amberson will be representing ORATS at BattleFin London on September 25th and 26th in the beautiful Rosewood Hotel. If you are attending, you can sign up for a one-on-one meeting. If you are in the London area and want to meet with Matt, contact us here.

We are announcing the launch of our new Core Data release in conjunction with the event.

BattlefinLondon

 

New to this release are constant maturity IV readings at various delta levels, forward volatilities and component weighted averages. Forward volatility is a measure of the implied volatility over a period in the future extracted from IV at the beginning of that period and the end of that period. Flat forward volatility is a measure of the implied volatility over a period in the future using theoretical pricing relationships from IV at the beginning of that period and the end of that period. Comparing these two methods of calculating forward volatilities present a unique and powerful way to isolate outliers in the market.

ORATS covers all US equity options including stocks, ETFs, and indexes--over 4000 tickers back to 2007. Also included are component weighted averages for the major indexes and ETFs, over 30 more tickers listed here: ALL_C,DIA_C,DJX_C,GDX_C,IBB_C,IGN_C,ITB_C,IWM_C,IYR_C,KBE_C,KRE_C,MDY_C,NDX_C,NQX_C,OIH_C,QQQ_C,RUT_C,SMH_C,SPX_C,SPY_C,XBI_C,XHB_C,XLB_C,XLC_C,XLE_C,XLF_C,XLI_C,XLK_C,XLP_C,XLRE_C,XLU_C,XLV_C,XLY_C,XOP_C,XSP_C

These component tickers provide historical weighed averages each data set that can be compared to the index or ETF.

Highlights of ORATS Data API:

  • constant maturity IV readings at various delta levels
  • short term and long term slope and derivatives
  • forward volatilities
  • hard to borrow implied rates
  • straddle priced expected earnings move
  • volatility of the volatility
  • contango
  • confidence of the IV calculations
  • IV percentiles
  • volume and open interest

The ORATS Data API, containing a wealth of volatility, volume and proprietary options calculations, provides a valuable resource for options trading or as technical signals in stock trading.

More reading here.

 

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