Matt Amberson Joins Data Minds Panel

Matt Amberson, Principal at ORATS, joins Data Minds on Tuesday, May 3 at 11 am ET for a virtual...

Finding The At-The-Money Strike Given Ticker and Trade Date

We had a question today, "Can I get the nearest ATM strike for a given ticker and tradeDate?"

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...

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 using...

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, however...

List of Currency ETFs and ETNs with Options Traded

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