ORATS Blog | Volatility

Mar
07

Volatility, Forward Volatility 1 -min-read

Forward Volatility: The Future Is Now

Forward volatility is a measure of future implied volatility.

Mar
06

Volatility, Data 1 -min-read

Are You Still Using Close-to-Close Historical Volatility?

"At 2:32 pm on May 6, 2010, the S&P 500 careened 8% in just 36 minutes before rebounding with...

Mar
05

Earnings, Volatility, Data 2 -min-read

Our Special Historical Volatility Calculation at ORATS

Setting ORATS Apart with Historical Volatility Research

Feb
21

Earnings, Volatility, Data, contango 2 -min-read

Calculate Expected Implied Volatility After Earnings, A Lesson from Mom

When my mom asked whether she should sell some of her GRMN (up 16% yesterday after announcing...

ORATS-BlgPst-Understanding-calls-and-puts

Feb
19

Volatility, Dividends, Data, hard to borrow, Understanding Options 2 -min-read

Understanding Options: Why Do Calls and Puts Have Different Implied Volatility?

Calls and puts should have the same implied volatility. The implied volatility should describe...

Jan
04

Earnings, Volatility, Data 1 -min-read

Our Most Popular IV is Constant Maturity Implied Volatility. How we calculate it.

ORATS most popular IV data point is our interpolated implied volatility reading. It is also...

Jul
23

Earnings, Markets, Volatility, Data 1 -min-read

Estimating the Implied Volatility After Earnings

ORATS calculates what the implied volatility (IV) may fall to after expiration.

Feb
15

Markets, Volatility, Data 1 -min-read

How Options Markets During the Short Vol Crash of 2/5/18 Stack Up Against the Flash Crash of 8/24/15.

The options markets deteriorated during the 2/5/18 crash with markets widening and posted size...

Feb
13

Markets, Volatility, Data 2 -min-read

Last Week Volatility Cost Options Traders Over a Billion in Slippage.

If you found option trading challenging last week, you were not alone. We have heard complaints...

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