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Term Structure of Implied Volatility
Posted by ORATS Team on 7/24/18 10:04 AM
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 can be observed for clues about the up-coming expected movement in the stock.
Estimating the Implied Volatility After Earnings
Posted by ORATS Team on 7/23/18 9:15 PM
ORATS calculates what the implied volatility (IV) may fall to after expiration.
Expected Move in Stocks at Earnings
Posted by ORATS Team on 7/23/18 8:11 PM
ORATS calculates the expected earnings move in stocks based on options prices.
Technical Analysis Using Options Data
Posted by ORATS Team on 7/18/18 3:33 PM
SPY stock price on top of implied and realized volatilities. Do you see any patterns?
NDX Skew Surpasses SPX - Nasdaq 100 Put Buying Continues
Posted by ORATS Team on 7/10/18 11:58 AM
Investors are buying puts in the NDX and pushing up the skew. Skew measures the difference in low strike puts implied volatility vs high strike calls implied volatility.