# Table of Contents - [Stock Scanner - Find tickers meeting your levels](#stock-scanner-find-tickers-meeting-your-levels) - [Historical Options Data - Near End-of-day (Since 2007)](#historical-options-data-near-end-of-day-since-2007-) - [Trade Ideas - Discover profitable options opportunities](#trade-ideas-discover-profitable-options-opportunities) - [Options Backtester - Test your strategies](#options-backtester-test-your-strategies) - [Trading Tools - An all-in-one package for options research, backtesting, trading, and risk management.](#trading-tools-an-all-in-one-package-for-options-research-backtesting-trading-and-risk-management-) - [Historical Options Data - 1 Minute Intraday (Since Aug. 2020)](#historical-options-data-1-minute-intraday-since-aug-2020-) - [Ticker Analysis - Research stocks, ETFs, and indexes](#ticker-analysis-research-stocks-etfs-and-indexes) - [ORATS University](#orats-university) - [Trading - Send orders and manage positions](#trading-send-orders-and-manage-positions) - [Strategy Optimizer - Enhance your trading strategies with AI-powered optimization](#strategy-optimizer-enhance-your-trading-strategies-with-ai-powered-optimization) - [Trade Builder - Visualize your trade](#trade-builder-visualize-your-trade) - [ORATS Intraday Data API](#orats-intraday-data-api) - [Option Scanner - Find trades meeting your criteria](#option-scanner-find-trades-meeting-your-criteria) - [ORATS Data API](#orats-data-api) - [Option Research & Technology Services | ORATS](#option-research-technology-services-orats) - [ORATS - Dividends](#orats-dividends) - [ORATS Blog](#orats-blog) - [API Documentation](#api-documentation) - [ORATS - Disclaimer](#orats-disclaimer) - [ORATS - Terms & Conditions](#orats-terms-conditions) - [Authentication - ORATS API Reference](#authentication-orats-api-reference) - [Errors - ORATS API Reference](#errors-orats-api-reference) - [Core Research - ORATS API Reference](#core-research-orats-api-reference) - [Definitions - ORATS API Reference](#definitions-orats-api-reference) - [Live Derived Data API - ORATS API Reference](#live-derived-data-api-orats-api-reference) - [Live Data API - ORATS API Reference](#live-data-api-orats-api-reference) - [ORATS - Partners](#orats-partners) - [ORATS - Frequently Asked Questions](#orats-frequently-asked-questions) - [ORATS - About](#orats-about) - [ORATS - Videos and Webinars](#orats-videos-and-webinars) - [Historical Data API - ORATS API Reference](#historical-data-api-orats-api-reference) - [Delayed Data API - ORATS API Reference](#delayed-data-api-orats-api-reference) - [Live Intraday API - ORATS API Reference](#live-intraday-api-orats-api-reference) - [Live Derived Intraday API - ORATS API Reference](#live-derived-intraday-api-orats-api-reference) - [ORATS University - Quiz](#orats-university-quiz) - [ORATS University - The true price of an option](#orats-university-the-true-price-of-an-option) - [ORATS University - Option pricing models](#orats-university-option-pricing-models) - [Historical Intraday API - ORATS API Reference](#historical-intraday-api-orats-api-reference) - [ORATS University - Volatility surface](#orats-university-volatility-surface) - [ORATS University - Predictive indicators](#orats-university-predictive-indicators) - [ORATS University - Volatility around earnings](#orats-university-volatility-around-earnings) - [ORATS University - Backtesting methodology](#orats-university-backtesting-methodology) - [ORATS University - Input Parameters](#orats-university-input-parameters) - [Earnings Straddles Are Having Their Moment](#earnings-straddles-are-having-their-moment) - [ORATS University - Measuring performance](#orats-university-measuring-performance) - [What Is the True Value of an Option?](#what-is-the-true-value-of-an-option-) - [Is NVDA Earnings Volatility Underpriced?](#is-nvda-earnings-volatility-underpriced-) - [ORATS University - Stock scanning](#orats-university-stock-scanning) - [On Risk Management and Path-Dependent Trades: Lessons from Captain Condor](#on-risk-management-and-path-dependent-trades-lessons-from-captain-condor) - [ORATS University - Option scanning](#orats-university-option-scanning) - [ORATS University - Custom backtesting](#orats-university-custom-backtesting) - [ORATS University - Trade ideas and signals](#orats-university-trade-ideas-and-signals) - [Help, My Backtest Isn’t Working! ](#help-my-backtest-isn-t-working-) - [ORATS University - Placing orders](#orats-university-placing-orders) - [ORATS University - Review](#orats-university-review) - [What Is a Volatility Surface? Why Traders Use It](#what-is-a-volatility-surface-why-traders-use-it) - [NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](#nvidia-earnings-preview-orats-data-shows-implied-move-in-line-with-historical-realized-volatility) - [What the Holiday Implied Volatility Term Structure Is Telling Us](#what-the-holiday-implied-volatility-term-structure-is-telling-us) - [Delayed Intraday API - ORATS API Reference](#delayed-intraday-api-orats-api-reference) - [Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](#market-pricing-heavier-volatility-for-jobless-claims-core-pce-than-the-fomc-decision) - [Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)](#why-leading-financial-institutions-trust-orats-for-options-data-and-why-serious-traders-should-too-) - [Upcoming Webinar: Improve Your Backtests with Options Indicators](#upcoming-webinar-improve-your-backtests-with-options-indicators) - [Navigating Volatility and Zero-DTE: Matt Amberson Talks Strategy with JLN](#navigating-volatility-and-zero-dte-matt-amberson-talks-strategy-with-jln) - [How ORATS Uses Historical Volatility Forecasts to Improve Options Trading Decisions](#how-orats-uses-historical-volatility-forecasts-to-improve-options-trading-decisions) - [Wall Street Journal Leverages ORATS Tools to Analyze Congressional Trades During Tariff Volatility](#wall-street-journal-leverages-orats-tools-to-analyze-congressional-trades-during-tariff-volatility) - [Matt Amberson Returns to the Options Industry Conference for 2025 Panel on the State of the Industry](#matt-amberson-returns-to-the-options-industry-conference-for-2025-panel-on-the-state-of-the-industry) - [Empowering Retail with Enterprise Tools: Matt Amberson on the State of the Industry](#empowering-retail-with-enterprise-tools-matt-amberson-on-the-state-of-the-industry) - [Nvidia Earnings Preview: ORATS Sees Lower Move This Quarter](#nvidia-earnings-preview-orats-sees-lower-move-this-quarter) - [ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools](#orats-launches-enhanced-production-platform-with-ai-assistant-and-advanced-trading-tools) - [Market Update: Options Implied Volatility Show Key Macro Events Ahead](#market-update-options-implied-volatility-show-key-macro-events-ahead) - [Significant Volatility Detected Ahead of Jackson Hole](#significant-volatility-detected-ahead-of-jackson-hole) - [Nvidia Earnings: Options Market Expectations vs. Reality](#nvidia-earnings-options-market-expectations-vs-reality) - [Market Anxiety Spikes: S&P 500 Options Show Rare Volatility Backwardation](#market-anxiety-spikes-s-p-500-options-show-rare-volatility-backwardation) - [Additional SPX Volatility Detected Ahead of September 5th Jobs Data](#additional-spx-volatility-detected-ahead-of-september-5th-jobs-data) - [Significant Volatility Events for Next Week](#significant-volatility-events-for-next-week) - [S&P 500 Implied Volatility Backwardation Reflects Near-Term Event Risks](#s-p-500-implied-volatility-backwardation-reflects-near-term-event-risks) - [Major Volatility Event on March 7th: What Options Markets Are Pricing In](#major-volatility-event-on-march-7th-what-options-markets-are-pricing-in) - [Nvidia Earnings: Options Market Expectations vs. Reality](#nvidia-earnings-options-market-expectations-vs-reality) - [Amazon Earnings: ORATS Data Signals Higher-Than-Priced Volatility Risk](#amazon-earnings-orats-data-signals-higher-than-priced-volatility-risk) - [Tesla Earnings: Too Calm Before the Potential Storm?](#tesla-earnings-too-calm-before-the-potential-storm-) - [Will Meta Surprise Again? ORATS Data Shows Traders Are Bracing for Volatility](#will-meta-surprise-again-orats-data-shows-traders-are-bracing-for-volatility) - [Implied Moves Ahead of the 2024 Election: What Markets Are Telling Us](#implied-moves-ahead-of-the-2024-election-what-markets-are-telling-us) - [ORATS Analysis: Is Netflix About to Surprise Again? Why Investors May Be Underestimating Earnings Volatility](#orats-analysis-is-netflix-about-to-surprise-again-why-investors-may-be-underestimating-earnings-volatility) - [The Overlooked Macro Event: Why CPI is Crucial for Zero-Week (0WTE) Traders](#the-overlooked-macro-event-why-cpi-is-crucial-for-zero-week-0wte-traders) - [Options Traders' High Expectations Blown Away by Micron's Earnings Move](#options-traders-high-expectations-blown-away-by-micron-s-earnings-move) - [Large Moves Expected for Friday’s Unemployment Report](#large-moves-expected-for-friday-s-unemployment-report) - [Fed Decision Day, Matt in Reuters, Implied Move Today](#fed-decision-day-matt-in-reuters-implied-move-today) - [Large Moves Expected for the Election and Friday’s Unemployment Report](#large-moves-expected-for-the-election-and-friday-s-unemployment-report) - [What Intel’s Volatility Tells Us About the Potential Qualcomm Acquisition](#what-intel-s-volatility-tells-us-about-the-potential-qualcomm-acquisition) - [Nike’s Leadership Transition: A New Era Begins Under Elliott Hill and the Market Likes It](#nike-s-leadership-transition-a-new-era-begins-under-elliott-hill-and-the-market-likes-it) - [Did 0DTEs Contribute To The Crash on August 5th?](#did-0dtes-contribute-to-the-crash-on-august-5th-) - [ORATS featured in IBKR Campus Quant Blog and Yahoo! Finance](#orats-featured-in-ibkr-campus-quant-blog-and-yahoo-finance) - [ORATS featured in MSN for earnings season report](#orats-featured-in-msn-for-earnings-season-report) - [Implied Dividends: ORATS' Approach to Market Consensus](#implied-dividends-orats-approach-to-market-consensus) - [China's Surprise Stimulus Shocks Global Markets, Catches Options Traders Off Guard](#china-s-surprise-stimulus-shocks-global-markets-catches-options-traders-off-guard) - [Risk Magazine Features Matt Amberson in 0DTE Article](#risk-magazine-features-matt-amberson-in-0dte-article) - [Best Option Scanners of 2025](#best-option-scanners-of-2025) - [Matt Amberson Quoted by Reuters on KRE Banking ETF](#matt-amberson-quoted-by-reuters-on-kre-banking-etf) - [MarketWatch Talks to ORATS About This Earnings Season](#marketwatch-talks-to-orats-about-this-earnings-season) - [Trading TSLA’s lowest slope in three years](#trading-tsla-s-lowest-slope-in-three-years) - [Matt Discusses Earnings Season With Reuters](#matt-discusses-earnings-season-with-reuters) - [Find Stocks With Undervalued Implied Volatility](#find-stocks-with-undervalued-implied-volatility) - [Will Shrink Strike Again? DICK’S and Best Buy Highlight Week 2 of Retail Earnings](#will-shrink-strike-again-dick-s-and-best-buy-highlight-week-2-of-retail-earnings) - [Looking Back on a Chilly Year for IPOs, and Why 2024 Could Warm the Waters](#looking-back-on-a-chilly-year-for-ipos-and-why-2024-could-warm-the-waters) - [Solving All Your Options Analysis Problems with the ORATS API — A Coding Blueprint](#solving-all-your-options-analysis-problems-with-the-orats-api-a-coding-blueprint) - [Optimizing Options Backtests Days to Expiry, Deltas, and Technical Indicators](#optimizing-options-backtests-days-to-expiry-deltas-and-technical-indicators) - [Avoiding Common Problems with Backtesting](#avoiding-common-problems-with-backtesting) - [Unlocking Profitable Strategies: How ORATS Backtester's Advanced Metrics Reveal Opportunities](#unlocking-profitable-strategies-how-orats-backtester-s-advanced-metrics-reveal-opportunities) - [Best Options Backtesting Platforms in 2024](#best-options-backtesting-platforms-in-2024) - [How to See Open Interest and Volume for Every Strike in the Trade Builder](#how-to-see-open-interest-and-volume-for-every-strike-in-the-trade-builder) - [How to Explore Endpoints in the API Console](#how-to-explore-endpoints-in-the-api-console) - [Overlay the Volatility Surface on Future Expirations in the Trade Builder](#overlay-the-volatility-surface-on-future-expirations-in-the-trade-builder) - [NVIDIA (NVDA) Earnings Report Wednesday, February 22nd](#nvidia-nvda-earnings-report-wednesday-february-22nd) - [How to View Earnings and Insider Trades in the Trade Builder](#how-to-view-earnings-and-insider-trades-in-the-trade-builder) - [How to Connect to Your Broker in the ORATS Dashboard](#how-to-connect-to-your-broker-in-the-orats-dashboard) - [Unleash Your Investment Potential with the new ORATS Backtester](#unleash-your-investment-potential-with-the-new-orats-backtester) - [Roku (ROKU) Earnings Report Wednesday, February 15th](#roku-roku-earnings-report-wednesday-february-15th) - [Amazon.com (AMZN) Earnings Report Thursday, February 2nd](#amazon-com-amzn-earnings-report-thursday-february-2nd) - [Behind the Scenes of Over 50 Million Options Backtests](#behind-the-scenes-of-over-50-million-options-backtests) - [Scan for Earnings Trades This Week Using ORATS Theoretical Values](#scan-for-earnings-trades-this-week-using-orats-theoretical-values) - [Coca-Cola (KO) Earnings Report Tuesday, February 14th](#coca-cola-ko-earnings-report-tuesday-february-14th) - [Alibaba Group Holding (BABA) Earnings Report Thursday, February 23rd](#alibaba-group-holding-baba-earnings-report-thursday-february-23rd) - [Shopify (SHOP) Earnings Report Wednesday, February 15th](#shopify-shop-earnings-report-wednesday-february-15th) - [Pfizer (PFE) Earnings Report Tuesday, January 31st](#pfizer-pfe-earnings-report-tuesday-january-31st) - [Advanced Micro Devices (AMD) Earnings Report Tuesday, January 31st](#advanced-micro-devices-amd-earnings-report-tuesday-january-31st) - [Meta Platforms (META) Earnings Report Wednesday, February 1st](#meta-platforms-meta-earnings-report-wednesday-february-1st) - [Microsoft (MSFT) Earnings Report Tuesday, January 24th](#microsoft-msft-earnings-report-tuesday-january-24th) - [Tesla (TSLA) Earnings Report Wednesday, January 25th](#tesla-tsla-earnings-report-wednesday-january-25th) - [Walmart (WMT) Earnings Report Tuesday, February 21st](#walmart-wmt-earnings-report-tuesday-february-21st) - [Intel (INTC) Earnings Report Thursday, January 26th](#intel-intc-earnings-report-thursday-january-26th) - [Netflix (NFLX) Earnings Report Thursday, January 19th](#netflix-nflx-earnings-report-thursday-january-19th) - [Procter & Gamble (PG) Earnings Report Thursday, January 19th](#procter-gamble-pg-earnings-report-thursday-january-19th) - [Applying Profit Attribution To Changes In Options Prices](#applying-profit-attribution-to-changes-in-options-prices) - [Bank of America (BAC) Earnings Report Friday, January 13th](#bank-of-america-bac-earnings-report-friday-january-13th) - [Shopify (SHOP) Earnings Report Thursday, October 27th](#shopify-shop-earnings-report-thursday-october-27th) - [Citigroup (C) Earnings Report Friday, January 13th](#citigroup-c-earnings-report-friday-january-13th) - [American Airlines Group (AAL) Earnings Report Thursday, October 20th](#american-airlines-group-aal-earnings-report-thursday-october-20th) - [Apple (AAPL) Earnings Report Thursday, October 27th](#apple-aapl-earnings-report-thursday-october-27th) - [United Airlines Holdings (UAL) Earnings Report Tuesday, January 17th](#united-airlines-holdings-ual-earnings-report-tuesday-january-17th) - [Snap (SNAP) Earnings Report Thursday, October 20th](#snap-snap-earnings-report-thursday-october-20th) - [Taiwan Semiconductor Manufacturing (TSM) Earnings Report Thursday, January 12th](#taiwan-semiconductor-manufacturing-tsm-earnings-report-thursday-january-12th) - [Microsoft (MSFT) Earnings Report Tuesday, October 25th](#microsoft-msft-earnings-report-tuesday-october-25th) - [Tesla (TSLA) Earnings Report Wednesday, October 19th](#tesla-tsla-earnings-report-wednesday-october-19th) - [Netflix (NFLX) Earnings Report Tuesday, October 18th](#netflix-nflx-earnings-report-tuesday-october-18th) - [Bank of America (BAC) Earnings Report Monday, October 17th](#bank-of-america-bac-earnings-report-monday-october-17th) - [Lam Research LRCX: Playing Bullish Trends Via a Short Put Spread](#lam-research-lrcx-playing-bullish-trends-via-a-short-put-spread) - [PepsiCo (PEP) Earnings Report Tuesday, October 11th](#pepsico-pep-earnings-report-tuesday-october-11th) - [Taiwan Semiconductor Manufacturing (TSM) Earnings Report Thursday, October 13th](#taiwan-semiconductor-manufacturing-tsm-earnings-report-thursday-october-13th) - [Matt Amberson Joins Mike Khouw To Discuss Covered Calls](#matt-amberson-joins-mike-khouw-to-discuss-covered-calls) - [Cisco Systems (CSCO) Earnings Report Wednesday, August 17th](#cisco-systems-csco-earnings-report-wednesday-august-17th) --- # Stock Scanner - Find tickers meeting your levels [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Find tickers meeting your levels Stock Scanner ============= Scan over 5,000 stocks and ETFs using 700+ proprietary option indicators plus 22 new fundamental indicators. ------------------------------------------------------------------------------------------------------------ 1 ### 700+ Indicators: From common indicators like earnings, stock volume, and implied volatility, to fundamental indicators like PE ratio and market cap, to option indicators like contango and slope, there's an indicator for everybody! Plus, add custom ratios of indicators to create a truly one-of-a-kind scan. More 2 ### Components: Components help you compare a single stock to all of the stocks in the same SPDR sector ETF. ORATS has over 30 unique symbols that are appended by \_C. These have data points just like any other symbol, except they are calculated using the weighted average of the ETFs components. For example, XLK is the SPDR technology sector ETF. We look at all of its components and calculate a weighted average for each indicator. The results are placed into a new symbol called XLK\_C. Components can be used as ratios when building custom indicators. More 3 ### Pre-canned scans: We have included several popular scans than can be quickly accessed: Hard-To-Borrow, Low IV30d, High IV30d, Earnings This Week, Put-Call Skew Rich, Put-Call Skew Cheap, Unusual Put Volume, Unusual Call Volume. We are constantly adding more! More Get Stock Scanner + every trading tool for only $99/mo ALL ACCESS Subscribe Trading Tools An all-in-one package for options research, backtesting, trading, and risk management. Individual Professional $99 / month Subscribe to Trading Tools Includes: Real-time Data [Strategy Optimizer](https://orats.com/strategy-optimizer) NEW [Trade Ideas](https://orats.com/trade-ideas) NEW [Option Scanner](https://orats.com/option-scanner) POPULAR [Options Backtester](https://orats.com/backtester) POPULAR [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) Connect to Interactive Brokers, TradeStation, and Tradier 2,000 Backtests / month Stock Scanner ============= Top Features Loved by Users =========================== 700+ Indicators --------------- ### From common indicators like earnings, stock volume, and implied volatility, to fundamental indicators like PE ratio and market cap, to option indicators like contango and slope, there's an indicator for everybody! Plus, add custom ratios of indicators to create a truly one-of-a-kind scan. Components ---------- ### Components help you compare a single stock to all of the stocks in the same SPDR sector ETF. ORATS has over 30 unique symbols that are appended by \_C. These have data points just like any other symbol, except they are calculated using the weighted average of the ETFs components. For example, XLK is the SPDR technology sector ETF. We look at all of its components and calculate a weighted average for each indicator. The results are placed into a new symbol called XLK\_C. Components can be used as ratios when building custom indicators. Pre-canned scans ---------------- ### We have included several popular scans than can be quickly accessed: Hard-To-Borrow, Low IV30d, High IV30d, Earnings This Week, Put-Call Skew Rich, Put-Call Skew Cheap, Unusual Put Volume, Unusual Call Volume. We are constantly adding more! * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh Learn from an ex-market maker Weekly options education hosted by ORATS founder Matt Amberson. [Watch on Youtube](https://www.youtube.com/@orats/videos) Sign up Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Historical Options Data - Near End-of-day (Since 2007) [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Near End-of-day =============== Historical Options Data Since 2007 ---------------------------------- ### A complete snapshot of the US equity options market 14 minutes before the close of trading each day. Over 5,000 symbols included. [See Pricing](https://orats.com/near-eod-data#pricing) Please visit [ORATS University](https://orats.com/university/historical-data#near-end-of-day) if you want a complete sample of data. Get high quality historical options data Trade with confidence knowing our data is held to the highest industry standards for accuracy and completeness. Precise quotes Quotes are taken 14 minutes before the close to avoid deterioration. 15+ years of history Historical options data for over 5,000 symbols going back to 2007. Unmatched quality Get accurate greeks and volatilities powered by our SMV system. Easy to access Download files through secure FTP. Study accurate Greeks and volatilities Learn how we developed a proprietary smoothed market values (SMV) system to deliver you the most accurate Greeks and theoretical values. [Watch the video](https://www.youtube.com/watch?v=gK5AQBXDluE) Cleaning the quotes We clean and normalize the quotes using put-call parity, dividend assumptions, and the residual yield rate. Accurate Greeks The smoothed implied volatilites produce more consistent Greeks by which to manage risk. Fixing low liquidity We incorporate historical information when the confidence in the market summarization is low. Solving wide spreads Our treatment of low delta OTM options produces more realistic IVs. Field Definitions ticker The underlying symbol that represents the stock or index on which the option is based. stkPx The current price of the underlying stock. For indexes, this is the solved implied futures price for each expiration. expirDate The date on which the option expires yte The number of years remaining until the option's expiration date. strike The price at which the option can be exercised. cVolu The total number of call option contracts traded on a particular day total at the time observed. cOi The total number of outstanding call option contracts updated by OCC the night before. pVolu The total number of put option contracts traded on a particular day total at the time observed. pOi The total number of outstanding put option contracts updated by OCC the night before. cBidPx The NBBO price at which a market maker is willing to buy a call option. cValue The theoretical value of a call option based on a smooth volatility assumption. cAskPx The NBBO price at which a market maker is willing to sell a call option. pBidPx The NBBO price at which a market maker is willing to buy a put option. pValue The theoretical value of a put option based on a smooth volatility assumption. pAskPx The NBBO price at which a market maker is willing to sell a put option. cBidIv The implied volatility of a call option at the current NBBO bid price. cAskIv The implied volatility of a call option at the current NBBO ask price. smoothSmvVol The smoothed implied volatility of an option based on the ORATS model. pBidIv The implied volatility of a put option at the current NBBO bid price. pMidIv The implied volatility of a put option at the midpoint of the current NBBO bid and ask prices. pAskIv The implied volatility of a put option at the current NBBO ask price. iRate The continuous interest (risk-free) rate. divRate The continuous dividend yield of discrete dividend's NPV. residualRateData The implied interest rate that is derived from the option pricing model. delta The theoretical increase in an option's price due to a one dollar increase in the underlying price. gamma The rate of change of an option's delta with respect to a one dollar increase in the price of the underlying asset. theta The rate of time decay of an option's value for one day. vega The sensitivity of an option's price to a one percent rise in the implied volatility of the option. rho The sensitivity of an option's price to a one percent increase in interest rates for the option. phi A measure of the convexity of an option's price with respect to changes in the price of the underlying asset. driftlessTheta The rate of time decay of an option's value as the expiration date approaches, without taking into account the drift in the price of the underlying asset. extVol The external implied volatility of the underlying asset, as provided by an external data source. The external data source is from the ORATS forecast volatility. extCTheo The external theoretical value of a call option, as provided by an external data source. extPTheo The external theoretical value of a put option, as provided by an external data source. spot\_px The current market price of the underlying asset. For indexes this is the cash price. trade\_date The date on which the option was traded. Historical Data Pricing Clean, accurate, and easy to use historical data for your options research. Individual Professional Enterprise Near End-of-day A complete snapshot of the US equity options market 14 minutes before the close of trading each day. Over 5,000 symbols included. Recurring data (from today onward): $99 / month Subscribe to recurring data Historical data (from 2007 - present): $599 Buy one-time historical data Includes: Strikes Greeks Theoretical Values Implied Volatilities Download via FTP 1 Minute Intraday Full SMV greeks, theoretical values, and IVs for every minute during the trading day of all US equity options. Over 5,000 symbols included. Recurring data (from today onward): $199 / month Subscribe to recurring data Historical data (from Aug. 2020 - present): $1500 Additional costs apply: S3 storage and transfer fees range from $1-2k. Please research potential costs before subscribing. Buy one-time historical data Includes: Strikes Greeks Theoretical Values Implied Volatilities Download via AWS S3 ~50TB of data Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Trade Ideas - Discover profitable options opportunities [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Discover high-probability trading opportunities Trade Ideas =========== Find profitable trades based on 300+ million historical backtests and real-time market data. Access curated strategies, custom scans, and market intelligence to identify optimal entry points. ----------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- 1 ### Backtest-driven discovery: Our system uses the Backtest Finder to browse over 300 million pre-compiled backtests across all symbols and strategies, identifying those whose entry criteria match the current market environment. We then scan these high-performing, environment-matched backtests for current options trades. Filter by bullish, bearish, or neutral strategies. Each result includes detailed historical performance and probability of profit rankings. More 2 ### Curated & custom strategies: Access expert-selected strategies enhanced with our optimizer, or deploy your own custom strategies. The system continuously scans for options matching your parameters and entry indicators, updating throughout the day with the best opportunities ranked by probability and risk/reward. More 3 ### Real-time market intelligence: Monitor time and sales data for unusual activity, analyze order flow with dollar delta metrics, and discover market trends through visual reports. Track the largest trades, upcoming earnings, dividends, and economic events to inform your trading decisions. More Get Trade Ideas + every trading tool for only $99/mo ALL ACCESS Subscribe Trading Tools An all-in-one package for options research, backtesting, trading, and risk management. Individual Professional $99 / month Subscribe to Trading Tools Includes: Real-time Data [Strategy Optimizer](https://orats.com/strategy-optimizer) NEW [Trade Ideas](https://orats.com/trade-ideas) NEW [Option Scanner](https://orats.com/option-scanner) POPULAR [Options Backtester](https://orats.com/backtester) POPULAR [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) Connect to Interactive Brokers, TradeStation, and Tradier 2,000 Backtests / month Trade Ideas =========== Top Features Loved by Users =========================== Backtest-driven discovery ------------------------- ### Our system uses the Backtest Finder to browse over 300 million pre-compiled backtests across all symbols and strategies, identifying those whose entry criteria match the current market environment. We then scan these high-performing, environment-matched backtests for current options trades. Filter by bullish, bearish, or neutral strategies. Each result includes detailed historical performance and probability of profit rankings. Curated & custom strategies --------------------------- ### Access expert-selected strategies enhanced with our optimizer, or deploy your own custom strategies. The system continuously scans for options matching your parameters and entry indicators, updating throughout the day with the best opportunities ranked by probability and risk/reward. Real-time market intelligence ----------------------------- ### Monitor time and sales data for unusual activity, analyze order flow with dollar delta metrics, and discover market trends through visual reports. Track the largest trades, upcoming earnings, dividends, and economic events to inform your trading decisions. * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh Learn from an ex-market maker Weekly options education hosted by ORATS founder Matt Amberson. [Watch on Youtube](https://www.youtube.com/@orats/videos) Sign up Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Options Backtester - Test your strategies [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Test your strategies Options Backtester ================== Browse over 300 million options backtests! Our best-in-class backtesting engine goes back to 2007. You can also run your own custom backtests for over 5,000 symbols and 25 strategies. --------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------- 1 ### Search over 300 million backtests: We ran a mind-boggling amount of backtests, and we are giving them all to you. Search, filter, and rank over 300 million backtests for several popular symbols and strategies. Filter performance based on annual return, Sharpe ratio, max drawdown, and more. Quickly see the days to expiration and strike deltas for each leg, along with other entry criteria like spread / stock. Explore different stop losses and profit targets, along with various entry triggers like VIX, SMV, 14-day RSI, IV Percentile, and Slope Percentile. More 2 ### Create custom backtests: The same backtesting engine used to test millions of strategies is also available for you to use on your own custom strategies. With end-of-day data going back to 2007 for over 5,000 symbols, we have everything you need to start rigorously testing your ideas. You can backtest any type of bullish, bearish, or neutral strategy, include calendars, butterflies, and condors. Included in the backtest parameters are the standard entry and exit criteria, as well as hundreds of proprietary indicators. More 3 ### Enhance with Strategy Optimizer: Take any backtest to the next level with our Strategy Optimizer. Add technical indicators, optimize entry and exit rules, and validate improvements with statistical significance testing. Whether starting from our 300+ million pre-calculated backtests or your custom strategies, the optimizer helps you find robust enhancements that aren't just lucky patterns. More Get Options Backtester + every trading tool for only $99/mo ALL ACCESS Subscribe Trading Tools An all-in-one package for options research, backtesting, trading, and risk management. Individual Professional $99 / month Subscribe to Trading Tools Includes: Real-time Data [Strategy Optimizer](https://orats.com/strategy-optimizer) NEW [Trade Ideas](https://orats.com/trade-ideas) NEW [Option Scanner](https://orats.com/option-scanner) POPULAR [Options Backtester](https://orats.com/backtester) POPULAR [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) Connect to Interactive Brokers, TradeStation, and Tradier 2,000 Backtests / month Options Backtester ================== Top Features Loved by Users =========================== Search over 300 million backtests --------------------------------- ### We ran a mind-boggling amount of backtests, and we are giving them all to you. Search, filter, and rank over 300 million backtests for several popular symbols and strategies. Filter performance based on annual return, Sharpe ratio, max drawdown, and more. Quickly see the days to expiration and strike deltas for each leg, along with other entry criteria like spread / stock. Explore different stop losses and profit targets, along with various entry triggers like VIX, SMV, 14-day RSI, IV Percentile, and Slope Percentile. Create custom backtests ----------------------- ### The same backtesting engine used to test millions of strategies is also available for you to use on your own custom strategies. With end-of-day data going back to 2007 for over 5,000 symbols, we have everything you need to start rigorously testing your ideas. You can backtest any type of bullish, bearish, or neutral strategy, include calendars, butterflies, and condors. Included in the backtest parameters are the standard entry and exit criteria, as well as hundreds of proprietary indicators. Enhance with Strategy Optimizer ------------------------------- ### Take any backtest to the next level with our Strategy Optimizer. Add technical indicators, optimize entry and exit rules, and validate improvements with statistical significance testing. Whether starting from our 300+ million pre-calculated backtests or your custom strategies, the optimizer helps you find robust enhancements that aren't just lucky patterns. * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh Learn from an ex-market maker Weekly options education hosted by ORATS founder Matt Amberson. [Watch on Youtube](https://www.youtube.com/@orats/videos) Sign up Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Trading Tools - An all-in-one package for options research, backtesting, trading, and risk management. [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) An all-in-one options trading platform Trading Tools ============= Make smarter trades with our integrated platform of advanced options tools. Plus, connect to your favorite broker to send trades seamlessly through ORATS. ---------------------------------------------------------------------------------------------------------------------------------------------------------- 1 ### Options backtester: Browse over 300 million options backtests or create your own custom backtests with our flagship product. With historical data going back to 2007 for over 5,000 stocks, you can test your strategies with confidence. Each of our backtests comes equipped with a graph of returns, 37 different performance metrics, a table of monthly returns, and a detailed trade log. More 2 ### Scan for stocks and options: Our scanners work with each other to give you a complete picture of the market. For example, you can scan for stocks that are reporting earnings this week and then scan for straddles on those stocks. Utilize the power of hundreds of proprietary indicators plus multiple theoretical values to find the perfect trade. More 3 ### Send orders through your broker: We currently support Interactive Brokers, TradeStation, and Tradier with more brokerages in the works. You can send orders directly from the ORATS platform and manage them in your Positions tab. We also support paper trading accounts for testing your strategies. More Get instant access to all trading tools for only $99/mo ALL ACCESS Subscribe Trading Tools An all-in-one package for options research, backtesting, trading, and risk management. Individual Professional $99 / month Subscribe to Trading Tools Includes: Real-time Data [Strategy Optimizer](https://orats.com/strategy-optimizer) NEW [Trade Ideas](https://orats.com/trade-ideas) NEW [Option Scanner](https://orats.com/option-scanner) POPULAR [Options Backtester](https://orats.com/backtester) POPULAR [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) Connect to Interactive Brokers, TradeStation, and Tradier 2,000 Backtests / month Trading Tools ============= Top Features Loved by Users =========================== Options backtester ------------------ ### Browse over 300 million options backtests or create your own custom backtests with our flagship product. With historical data going back to 2007 for over 5,000 stocks, you can test your strategies with confidence. Each of our backtests comes equipped with a graph of returns, 37 different performance metrics, a table of monthly returns, and a detailed trade log. Scan for stocks and options --------------------------- ### Our scanners work with each other to give you a complete picture of the market. For example, you can scan for stocks that are reporting earnings this week and then scan for straddles on those stocks. Utilize the power of hundreds of proprietary indicators plus multiple theoretical values to find the perfect trade. Send orders through your broker ------------------------------- ### We currently support Interactive Brokers, TradeStation, and Tradier with more brokerages in the works. You can send orders directly from the ORATS platform and manage them in your Positions tab. We also support paper trading accounts for testing your strategies. * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh Learn from an ex-market maker Weekly options education hosted by ORATS founder Matt Amberson. [Watch on Youtube](https://www.youtube.com/@orats/videos) Sign up Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Historical Options Data - 1 Minute Intraday (Since Aug. 2020) [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) 1 Minute Intraday ================= Historical Options Data Since Aug. 2020 --------------------------------------- ### Full SMV greeks, theoretical values, and IVs for every minute during the trading day of all US equity options. Over 5,000 symbols included. [See Pricing](https://orats.com/one-minute-data#pricing) Please visit [ORATS University](https://orats.com/university/historical-data#1-minute-intraday) if you want a complete sample of data. Get high quality historical options data Trade with confidence knowing our data is held to the highest industry standards for accuracy and completeness. 500,000+ minutes of data Historical options data for every minute going back to August 2020. Thousands of tickers We gather intraday data for 5,000+ US equity option tickers. Unmatched quality Get accurate greeks and volatilities powered by our SMV system. Easy to access Download files through AWS S3. Study accurate Greeks and volatilities Learn how we developed a proprietary smoothed market values (SMV) system to deliver you the most accurate Greeks and theoretical values. [Watch the video](https://www.youtube.com/watch?v=gK5AQBXDluE) Cleaning the quotes We clean and normalize the quotes using put-call parity, dividend assumptions, and the residual yield rate. Accurate Greeks The smoothed implied volatilites produce more consistent Greeks by which to manage risk. Fixing low liquidity We incorporate historical information when the confidence in the market summarization is low. Solving wide spreads Our treatment of low delta OTM options produces more realistic IVs. Field Definitions ticker The underlying symbol that represents the stock or index on which the option is based. tradeDate The date on which the option was traded. expirDate The date on which the option expires. dte The number of days remaining until the option's expiration date. strike The price at which the option can be exercised. stockPrice The current price of the underlying stock. For indexes, this is the solved implied futures price for each expiration. callVolume The total number of call option contracts traded on a particular day total at the time observed. callOpenInterest The total number of outstanding call option contracts updated by OCC the night before. callBidSize The number of call option contracts available at the current national best bid and offer (NBBO) bid price. callAskSize The number of call option contracts available at the current NBBO ask price. putVolume The total number of put option contracts traded on a particular day total at the time observed. putOpenInterest The total number of outstanding put option contracts updated by OCC the night before. putBidSize The number of put option contracts available at the current NBBO bid price. putAskSize The number of put option contracts available at the current NBBO ask price. callBidPrice The NBBO price at which a market maker is willing to buy a call option. callValue The theoretical value of a call option based on a smooth volatility assumption. callAskPrice The NBBO price at which a market maker is willing to sell a call option. putBidPrice The NBBO price at which a market maker is willing to buy a put option. putValue The theoretical value of a put option based on a smooth volatility assumption. putAskPrice The NBBO price at which a market maker is willing to sell a put option. callBidIv The implied volatility of a call option at the current NBBO bid price. callMidIv The implied volatility of a call option at the midpoint of the current NBBO bid and ask prices. callAskIv The implied volatility of a call option at the current NBBO ask price. smvVol The smoothed implied volatility of an option based on the ORATS model. putBidIv The implied volatility of a put option at the current NBBO bid price. putMidIv The implied volatility of a put option at the midpoint of the current NBBO bid and ask prices. putAskIv The implied volatility of a put option at the current NBBO ask price. residualRate The implied interest rate that is derived from the option pricing model. delta The theoretical increase in an option's price due to a one dollar increase in the underlying price. gamma The rate of change of an option's delta with respect to a one dollar increase in the price of the underlying asset. theta The rate of time decay of an option's value for one day. vega The sensitivity of an option's price to a one percent rise in the implied volatility of the option. rho The sensitivity of an option's price to a one percent increase in interest rates for the option. phi A measure of the convexity of an option's price with respect to changes in the price of the underlying asset. driftlessTheta The rate of time decay of an option's value as the expiration date approaches, without taking into account the drift in the price of the underlying asset. callSmvVol The smoothed implied volatility of a call option based on the ORATS model. putSmvVol The smoothed implied volatility of a put option based on the ORATS model. extSmvVol The external implied volatility of the underlying asset, as provided by an external data source. The external data source is from the ORATS forecast volatility. extCallValue The external theoretical value of a call option, as provided by an external data source. extPutValue The external theoretical value of a put option, as provided by an external data source. spotPrice The current market price of the underlying asset. For indexes this is the cash price. quoteDate The date and time at which the market quote used to calculate the SMV (option's greeks, skew, and other related values) was recorded. updatedAt The date and time at which the calculation of the option's greeks, skew, and other related values was completed. snapShotEstTime The time (EST) at which a one-minute snapshot of the SMV strikes was taken. snapShotDate The date and time at which a one-minute snapshot of the SMV strikes was taken. Historical Data Pricing Clean, accurate, and easy to use historical data for your options research. Individual Professional Enterprise Near End-of-day A complete snapshot of the US equity options market 14 minutes before the close of trading each day. Over 5,000 symbols included. Recurring data (from today onward): $99 / month Subscribe to recurring data Historical data (from 2007 - present): $599 Buy one-time historical data Includes: Strikes Greeks Theoretical Values Implied Volatilities Download via FTP 1 Minute Intraday Full SMV greeks, theoretical values, and IVs for every minute during the trading day of all US equity options. Over 5,000 symbols included. Recurring data (from today onward): $199 / month Subscribe to recurring data Historical data (from Aug. 2020 - present): $1500 Additional costs apply: S3 storage and transfer fees range from $1-2k. Please research potential costs before subscribing. Buy one-time historical data Includes: Strikes Greeks Theoretical Values Implied Volatilities Download via AWS S3 ~50TB of data Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Ticker Analysis - Research stocks, ETFs, and indexes [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Research stocks, ETFs, and indexes Ticker Analysis =============== Get a comprehensive view of a company's options chain, earnings history, time and sales, and technical outlook. --------------------------------------------------------------------------------------------------------------- 1 ### Options chain & volatility surface: In addition to the standard options chain, we added a monthly IV graph as a useful visual aid for advanced traders who want to identify outliers in the options chain. See how each individual strike compares across the entire volatility surface. The call and put mid IVs for each strike are overlaid on top of the smoothed IV skew for each expiration. A line through each expirations at-the-money (ATM) IV is drawn to accentuate the overall direction of IV. Highlighted are the highest and lowest slope, IV, confidence, and mwVol (ATM weighted market width in implied volatility terms) of all expirations. More 2 ### Earnings moves visualized: Powered by a visually stunning representation of implied vs. actual earnings moves, you can view the complete history of the last 12 earnings reports for a company, overlaid with key financials such as PE Ratio, EPS Estimated vs. Actual, and Annual Dividend Yield. Consider doing your own analysis by downloading a table of these results, which includes 19 earnings metrics, such as Inter-Earnings IV and HV. More 3 ### Time and sales: We look at the raw order flow and detect the largest trades coming through the market. In addition to the strategy and contract size, you can also find the trade amount (in dollars), theoretical edge (compared to our theoretical price), and the contracts / avg. option volume 20d (to see the relative size of the position). You can sort on all of these metrics. Additionally, ORATS presents an intraday chart of dollar delta plus a summary of total premium, total profit, and opening vs. unknown volume. Analyzing these metrics can help you form a well-crafted trading thesis. More Get Ticker Analysis + every trading tool for only $99/mo ALL ACCESS Subscribe Trading Tools An all-in-one package for options research, backtesting, trading, and risk management. Individual Professional $99 / month Subscribe to Trading Tools Includes: Real-time Data [Strategy Optimizer](https://orats.com/strategy-optimizer) NEW [Trade Ideas](https://orats.com/trade-ideas) NEW [Option Scanner](https://orats.com/option-scanner) POPULAR [Options Backtester](https://orats.com/backtester) POPULAR [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) Connect to Interactive Brokers, TradeStation, and Tradier 2,000 Backtests / month Ticker Analysis =============== Top Features Loved by Users =========================== Options chain & volatility surface ---------------------------------- ### In addition to the standard options chain, we added a monthly IV graph as a useful visual aid for advanced traders who want to identify outliers in the options chain. See how each individual strike compares across the entire volatility surface. The call and put mid IVs for each strike are overlaid on top of the smoothed IV skew for each expiration. A line through each expirations at-the-money (ATM) IV is drawn to accentuate the overall direction of IV. Highlighted are the highest and lowest slope, IV, confidence, and mwVol (ATM weighted market width in implied volatility terms) of all expirations. Earnings moves visualized ------------------------- ### Powered by a visually stunning representation of implied vs. actual earnings moves, you can view the complete history of the last 12 earnings reports for a company, overlaid with key financials such as PE Ratio, EPS Estimated vs. Actual, and Annual Dividend Yield. Consider doing your own analysis by downloading a table of these results, which includes 19 earnings metrics, such as Inter-Earnings IV and HV. Time and sales -------------- ### We look at the raw order flow and detect the largest trades coming through the market. In addition to the strategy and contract size, you can also find the trade amount (in dollars), theoretical edge (compared to our theoretical price), and the contracts / avg. option volume 20d (to see the relative size of the position). You can sort on all of these metrics. Additionally, ORATS presents an intraday chart of dollar delta plus a summary of total premium, total profit, and opening vs. unknown volume. Analyzing these metrics can help you form a well-crafted trading thesis. * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh Learn from an ex-market maker Weekly options education hosted by ORATS founder Matt Amberson. [Watch on Youtube](https://www.youtube.com/@orats/videos) Sign up Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS University [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) ![Graph background](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University ================ Master the art of options. Test your knowledge with our comprehensive quiz. --------------------------------------------------------------------------- [Take the quiz](https://orats.com/university/quiz) ![Four pillars of successful options trading](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Fheader.ef5dd392.png&w=3840&q=75) Improve your trading skills while learning about volatility, backtesting, and risk management. Narrated by former market-maker Matt Amberson, principal and founder of ORATS. [Take the quiz](https://orats.com/university/quiz) --------------------------------------------------- Test your knowledge of options trading concepts and methodologies. [Backtesting](https://orats.com/university/backtesting-methodology) -------------------------------------------------------------------- Discover why ORATS is the leader of options backtesting. [Volatility research](https://orats.com/university/volatility-surface) ----------------------------------------------------------------------- Learn all about skew, slope, contango, ex-earnings IV, and more. [Implementation, risk, review](https://orats.com/university/stock-scanning) ---------------------------------------------------------------------------- Master options trading techniques developed over 30 years. Welcome! I’m Matt Amberson, and I am excited to share ORATS University with you. ORATS University is a culmination of lessons learned from being a Cboe market maker for 10 years, from running a trading firm for 5 years, and from over 20 years spent developing tools for options traders through my company, Option Research and Technology Services (ORATS). Whether you're an experienced options trader or just getting started in this fascinating world, I’m excited to take you on a journey through the tools and techniques we've created at ORATS to help traders like you navigate the markets more effectively, gain an edge, and make money trading options. ORATS University is designed to help you achieve those goals by introducing you to helpful techniques, indicators, and strategies. All of the pictures and videos included in these lessons are from the ORATS dashboard, a suite of trading tools designed to help you trade options more effectively. * * * Four pillars of trading ----------------------- To start, I want to outline four pillars of trading that I believe serve as the roadmap to success. You can read more by clicking on the corresponding sections in the navigation menu on the left. ### Research We believe that alpha is a consequence of quality data. ORATS offers best-of-breed historical data sets and APIs to help you navigate years of options data. Additionally, since data is the backbone for research and analytics, we've built our web platform around our hundreds of proprietary indicators to give you the tools and insights you need. One of these tools, the backtester, uses historical data to simulate your trades and see how they would have performed. Through backtesting, you can refine your strategies, analyze performance under different market conditions, and identify any weaknesses or flaws. Our proprietary indicators give you the freedom and opportunity to find your unique edge in the market. ### Implementation To find the best options trades, it's helpful to use stock and option scanners to quickly identify potential trading opportunities. Gathering market intelligence, generating trade ideas, and tracking signals are also important facets of this step. Once you've found a trade, you need to be able to execute it with speed and reliability through the broker of your choice. Knowing what price to send to the exchange is a critical skill where execution algorithms can help. ### Risk Options trading involves risk, and it's important to understand and manage that risk. This involves setting stop-loss orders to limit losses, diversifying your portfolio, and hedging your positions. By managing your risk effectively, you can minimize losses and maximize profits. Being systematic and disciplined are also key traits that help in the long run. ### Review This last pillar is an important time for reflection. Keeping a trade journal has helped myself and other traders learn and adapt our strategies to be more profitable over time. Reviewing trades also helps to compare expectations to reality (also known as "forward testing"). Developing a systematic approach to reviewing your trades helps tie all the pillars together. * * * Our work at ORATS ----------------- These pillars lay the foundation for all of our work at ORATS. They’ve inspired the creation of original tools and hundreds of proprietary indicators, each methodically designed around our overarching goal: to help you make money trading options. ### Lessons from the past In ORATS University, I’ll walk you through the years it took to research and develop these indicators, and how they are seamlessly integrated into many of our tools. From my years as a market-maker, to my years serving clients at ORATS, I've learned many lessons about volatility, backtesting, implementation, and several other facets of options trading that will help you gain an edge in the market. ### Exploring the Why Clients always ask me, why is X important in options trading? There are many unanswered questions traders have when learning about options. Throughout ORATS University, we’ll answer questions like: * Why is implied volatility so important, and what does it mean? * Why is the Black-Scholes model not suitable for modern-day options traders? * Why is backtesting so critical? * Why should I pay attention to earnings? And many more. ### Looking ahead Several of the questions we’re answering in ORATS University are complicated, multi-faceted topics that require a full analysis. Thus, the lessons are presented in an order I believe is best understood by reading start to finish. By the end of these lessons, you’ll be equipped with the knowledge and tools necessary to become a successful options trader. My work at ORATS is never done, and if you have any feedback or ideas after reading this, I’m happy to listen. Next [102 - Option pricing models](https://orats.com/university/option-pricing-models) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Trading - Send orders and manage positions [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Send orders and manage positions Trading ======= Send orders through your favorite broker and monitor your positions with text and email alerts. Or, paper trade your strategies in a safe and risk-free environment. -------------------------------------------------------------------------------------------------------------------------------------------------------------------- 1 ### Trade ideas: Trade ideas aren't just ideas anymore - we backtest every trade idea so that you can make better decisions rooted in historical data. To find the top trades for today, we first rank all of our pre-compiled backtests across all symbols and strategies by best return on risk, filtering those with entry triggers that match the current environment (VIX, SMA, RSI, IV Percentile, and slope percentile). Then for each of the top performing backtested strategies, we scan to find the best options trade ranked by POP%, risk/reward, and theoretical edge. More 2 ### Profit attribution: Developed in-house by the traders at ORATS, the profit attribution calculation breaks down how greeks, skew and theoretical values impact your trades. We calculate this on a per-trade basis, then add it up to get a total portfolio value. For example, if yesterday the debit cost of your trade was $0.74, and today it's $0.86, where is the $0.12 price increase coming from? We break it down into eight factors. More 3 ### Trade analysis: Analyze your options trades with a state-of-the-art payoff diagram (Greeks included). Additionally, quickly adjust 'What if?' scenarios in the trade analyzer to see how the theoretical value today will change according to your parameters. We offer two variables: 1. Implied Volatility Change %: Choose how much to increase or decrease the implied volatility of the position. 2. Days to Expiration: Choose how much to increase or decrease the time to expiration of the position. More Get Trading + every trading tool for only $99/mo ALL ACCESS Subscribe Trading Tools An all-in-one package for options research, backtesting, trading, and risk management. Individual Professional $99 / month Subscribe to Trading Tools Includes: Real-time Data [Strategy Optimizer](https://orats.com/strategy-optimizer) NEW [Trade Ideas](https://orats.com/trade-ideas) NEW [Option Scanner](https://orats.com/option-scanner) POPULAR [Options Backtester](https://orats.com/backtester) POPULAR [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) Connect to Interactive Brokers, TradeStation, and Tradier 2,000 Backtests / month Trading ======= Top Features Loved by Users =========================== Trade ideas ----------- ### Trade ideas aren't just ideas anymore - we backtest every trade idea so that you can make better decisions rooted in historical data. To find the top trades for today, we first rank all of our pre-compiled backtests across all symbols and strategies by best return on risk, filtering those with entry triggers that match the current environment (VIX, SMA, RSI, IV Percentile, and slope percentile). Then for each of the top performing backtested strategies, we scan to find the best options trade ranked by POP%, risk/reward, and theoretical edge. Profit attribution ------------------ ### Developed in-house by the traders at ORATS, the profit attribution calculation breaks down how greeks, skew and theoretical values impact your trades. We calculate this on a per-trade basis, then add it up to get a total portfolio value. For example, if yesterday the debit cost of your trade was $0.74, and today it's $0.86, where is the $0.12 price increase coming from? We break it down into eight factors. Trade analysis -------------- ### Analyze your options trades with a state-of-the-art payoff diagram (Greeks included). Additionally, quickly adjust 'What if?' scenarios in the trade analyzer to see how the theoretical value today will change according to your parameters. We offer two variables: 1. Implied Volatility Change %: Choose how much to increase or decrease the implied volatility of the position. 2. Days to Expiration: Choose how much to increase or decrease the time to expiration of the position. * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh Learn from an ex-market maker Weekly options education hosted by ORATS founder Matt Amberson. [Watch on Youtube](https://www.youtube.com/@orats/videos) Sign up Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Strategy Optimizer - Enhance your trading strategies with AI-powered optimization [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Enhance your strategies with proprietary indicators Strategy Optimizer ================== Take your trading strategies to the next level with intelligent optimization. Add proprietary indicators and technical analysis to improve entry timing and overall performance with statistical validation. ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------ 1 ### 98 proprietary indicators: Access exclusive ORATS indicators including volatility forecasts, earnings predictions, contango measurements, and relative volatility comparisons between stocks and ETFs. Each indicator comes with pre-calculated performance metrics and P-value validation to ensure statistical significance. More 2 ### Smart entry optimization: Enhance any strategy - from your saved backtests, our 300+ million pre-calculated backtests, or simple long/short positions. Add technical indicators like SMA, Bollinger Bands, RSI, and CCI with pre-configured presets for short, medium, and long-term strategies. More 3 ### Statistical validation: Avoid over-fitting with P-value calculations and permutation testing. The system automatically runs 10,000 modified Monte Carlo simulations to validate that your performance improvements are real, not random. Monitor real-time updates showing return improvement, Sharpe ratio, and win rate changes. More Get Strategy Optimizer + every trading tool for only $99/mo ALL ACCESS Subscribe Trading Tools An all-in-one package for options research, backtesting, trading, and risk management. Individual Professional $99 / month Subscribe to Trading Tools Includes: Real-time Data [Strategy Optimizer](https://orats.com/strategy-optimizer) NEW [Trade Ideas](https://orats.com/trade-ideas) NEW [Option Scanner](https://orats.com/option-scanner) POPULAR [Options Backtester](https://orats.com/backtester) POPULAR [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) Connect to Interactive Brokers, TradeStation, and Tradier 2,000 Backtests / month Strategy Optimizer ================== Top Features Loved by Users =========================== 98 proprietary indicators ------------------------- ### Access exclusive ORATS indicators including volatility forecasts, earnings predictions, contango measurements, and relative volatility comparisons between stocks and ETFs. Each indicator comes with pre-calculated performance metrics and P-value validation to ensure statistical significance. Smart entry optimization ------------------------ ### Enhance any strategy - from your saved backtests, our 300+ million pre-calculated backtests, or simple long/short positions. Add technical indicators like SMA, Bollinger Bands, RSI, and CCI with pre-configured presets for short, medium, and long-term strategies. Statistical validation ---------------------- ### Avoid over-fitting with P-value calculations and permutation testing. The system automatically runs 10,000 modified Monte Carlo simulations to validate that your performance improvements are real, not random. Monitor real-time updates showing return improvement, Sharpe ratio, and win rate changes. * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh Learn from an ex-market maker Weekly options education hosted by ORATS founder Matt Amberson. [Watch on Youtube](https://www.youtube.com/@orats/videos) Sign up Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Trade Builder - Visualize your trade [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Visualize your trade Trade Builder ============= Chart future expirations and strikes with overlays for earnings, trendlines, volatility, open interest, and more. ----------------------------------------------------------------------------------------------------------------- 1 ### Earnings and insider trades: Historical earnings dates are shown on the graph, along with their actual and implied moves. Red means the actual move was below zero while green means the actual move was above zero. Insider buys and sells reported by the SEC are shown by the red and green arrows on the chart. Hover over to see officer title, amount of shares traded, and total dollar value. The arrows are scaled to represent the size of the trade. More 2 ### Volatility visualized: See where future volatility is undervalued (green) or overvalued (red). ORATS uses proprietary volatility models to forecast short and long term volatility as well as short and long term slope. Also see the 68% and 95% expected range of stock movement calculated using the at-the-money implied volatility value. More 3 ### Open interest & volume: Open interest and volume for each strike is shown by the cyan and purple bars at each expiration. The scale of each bar is shown on the top left of the chart. Cyan bars indicate call Ol/volume while purple bars indicate put Ol/volume. More Get Trade Builder + every trading tool for only $99/mo ALL ACCESS Subscribe Trading Tools An all-in-one package for options research, backtesting, trading, and risk management. Individual Professional $99 / month Subscribe to Trading Tools Includes: Real-time Data [Strategy Optimizer](https://orats.com/strategy-optimizer) NEW [Trade Ideas](https://orats.com/trade-ideas) NEW [Option Scanner](https://orats.com/option-scanner) POPULAR [Options Backtester](https://orats.com/backtester) POPULAR [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) Connect to Interactive Brokers, TradeStation, and Tradier 2,000 Backtests / month Trade Builder ============= Top Features Loved by Users =========================== Earnings and insider trades --------------------------- ### Historical earnings dates are shown on the graph, along with their actual and implied moves. Red means the actual move was below zero while green means the actual move was above zero. Insider buys and sells reported by the SEC are shown by the red and green arrows on the chart. Hover over to see officer title, amount of shares traded, and total dollar value. The arrows are scaled to represent the size of the trade. Volatility visualized --------------------- ### See where future volatility is undervalued (green) or overvalued (red). ORATS uses proprietary volatility models to forecast short and long term volatility as well as short and long term slope. Also see the 68% and 95% expected range of stock movement calculated using the at-the-money implied volatility value. Open interest & volume ---------------------- ### Open interest and volume for each strike is shown by the cyan and purple bars at each expiration. The scale of each bar is shown on the top left of the chart. Cyan bars indicate call Ol/volume while purple bars indicate put Ol/volume. * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh Learn from an ex-market maker Weekly options education hosted by ORATS founder Matt Amberson. [Watch on Youtube](https://www.youtube.com/@orats/videos) Sign up Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS Intraday Data API [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) ![Graph background](https://orats.com/_next/static/media/graphBg.c97473d3.svg) Intraday Data API ================= Get live, delayed, and historical one-minute options data back to August 2020 for over 5,000 symbols. ----------------------------------------------------------------------------------------------------- [See pricing](https://orats.com/intraday-data-api#pricing) [View the docs](https://orats.com/docs) 250,000+ Minutes of data 5,000+ Symbols 100+ Indicators Get all this with an Intraday Data API subscription History ------- Query down-to-the-minute options data. One-minute intraday history available back to August 2020. Option OPRA information available back to January 2022 for [1,270 tickers](https://s3.amazonaws.com/assets.orats.com/oneMinuteOpraTickers.json) . API requests return a minified CSV file for further parsing. Granular Data ------------- Narrow down millions of historical options. Go back in time to the options chain for any minute during the trading day. Filter options by ticker, expiry, and strike. All options include greeks and ORATS smoothed values. Implied Monies -------------- Get detailed indicators for every expiration. Seed volatilities for 21 different call deltas. ATM term structure IV with and without the [earnings effect](https://orats.com/blog/how-orats-removes-earnings-effect-from-implied-volatility) . Weighted market width and confidence levels. SMV Summaries ------------- Explore all kinds of implied volatility. [Interpolated IVs](https://orats.com/blog/our-most-popular-iv-is-constant-maturity-implied-volatility.-how-we-calculate-it) from 10-365 days at 4 different deltas. Forward and flat forward volatility. Borrow rate, contango, and other measures of confidence. [Click here](https://orats.com/docs/live-intraday-api) to read the documentation and explore all the endpoints. Indicators [See all indicator definitions](https://orats.com/docs/definitions) API Pricing Access industry standard options data plus a plethora of proprietary indicators. Individual Professional Enterprise Delayed Data API Perfect for getting started $99 / month Get my API token Includes: 20,000 requests per month Tickers Strikes + Near EOD History Strikes by OPRA + Near EOD History Monies Implied + Near EOD History Monies Forecast + Near EOD History SMV Summaries + Near EOD History Core Data + Near EOD History Daily Price Historical Volatility Dividend History Earnings History Stock Split History IV Rank + History [View API docs](https://orats.com/docs/delayed-data-api) Live Data API Best for active traders $199 / month Get my API token Everything in Delayed Data API, plus: 100,000 requests per month Live Data Strikes by Expiry Expiration Dates Note that to access the live endpoints, you must first sign the live data agreements (available after signup). [View API docs](https://orats.com/docs/live-data-api) Live Intraday API Access to all ORATS endpoints $399 / month Get my API token Everything in Live Data API, plus: 1,000,000 requests per month Intraday Strikes Chain + History Intraday Strikes by OPRA + History Intraday Monies Implied + History Intraday SMV Summaries + History Note that to access the live endpoints, you must first sign the live data agreements (available after signup). [View API docs](https://orats.com/docs/live-intraday-api) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Option Scanner - Find trades meeting your criteria [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Find trades meeting your criteria Option Scanner ============== Scan and rank thousands of option trades based on volatility metrics, delta cost, and other theoretical values. Customize DTE, strikes, and more. ------------------------------------------------------------------------------------------------------------------------------------------------- 1 ### Scan thousands of symbols: Choose from over 5,000 symbols, focusing on common ETFs like SPY and QQQ or individual stocks like AAPL and TSLA. Or, start off with a stock scan (ie, stocks reporting earnings this week). You can scan up to 25 symbols at a time. Specify a market outlook for even more targeted scan results. More 2 ### Scan for all types of strategies: Scan for bullish, bearish, and neutral strategies. Choose your target days to expiration, strikes, and other entry criteria such as Spread / Stock Price. You can even set up your own custom scans with infinite combinations of legs. More 3 ### Ranking and trade analysis: Fine-tune trade selection by adjusting the weighting of various columns such as D% and POP%. Select trades to view a payoff diagram, send the trade through a broker, or visualize it on the Trade Builder. Take advantage of proprietary theoretical values like S% to help find an edge. More Get Option Scanner + every trading tool for only $99/mo ALL ACCESS Subscribe Trading Tools An all-in-one package for options research, backtesting, trading, and risk management. Individual Professional $99 / month Subscribe to Trading Tools Includes: Real-time Data [Strategy Optimizer](https://orats.com/strategy-optimizer) NEW [Trade Ideas](https://orats.com/trade-ideas) NEW [Option Scanner](https://orats.com/option-scanner) POPULAR [Options Backtester](https://orats.com/backtester) POPULAR [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) Connect to Interactive Brokers, TradeStation, and Tradier 2,000 Backtests / month Option Scanner ============== Top Features Loved by Users =========================== Scan thousands of symbols ------------------------- ### Choose from over 5,000 symbols, focusing on common ETFs like SPY and QQQ or individual stocks like AAPL and TSLA. Or, start off with a stock scan (ie, stocks reporting earnings this week). You can scan up to 25 symbols at a time. Specify a market outlook for even more targeted scan results. Scan for all types of strategies -------------------------------- ### Scan for bullish, bearish, and neutral strategies. Choose your target days to expiration, strikes, and other entry criteria such as Spread / Stock Price. You can even set up your own custom scans with infinite combinations of legs. Ranking and trade analysis -------------------------- ### Fine-tune trade selection by adjusting the weighting of various columns such as D% and POP%. Select trades to view a payoff diagram, send the trade through a broker, or visualize it on the Trade Builder. Take advantage of proprietary theoretical values like S% to help find an edge. * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh Learn from an ex-market maker Weekly options education hosted by ORATS founder Matt Amberson. [Watch on Youtube](https://www.youtube.com/@orats/videos) Sign up Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS Data API [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) ![Graph background](https://orats.com/_next/static/media/graphBg.c97473d3.svg) Options Data API ================ Get live, delayed, and historical end-of-day options data back to 2007 augmented with hundreds of proprietary indicators. ------------------------------------------------------------------------------------------------------------------------- [See pricing](https://orats.com/data-api#pricing) [View the docs](https://orats.com/docs) 01 02 03 04 05 06 07 08 09 10 11 12 { "data": [ { "ticker": "AAPL", "tradeDate": "2023-04-06", "expirDate": "2023-09-15", "dte": 163, "strike": 175, "stockPrice": 164.42, "callVolume": 624, "callBidSize": 50, ...\ \ 15+\ \ Years of data\ \ 5,000+\ \ Symbols\ \ 500+\ \ Indicators\ \ Get all this with an Options Data API subscription\ \ History\ -------\ \ Query end-of-day data for any option imaginable.\ \ All US equity options including stocks, ETFs, and indexes.\ \ 30+ tickers for component weighted averages.\ \ Full history dating back to 2007.\ \ Strikes\ -------\ \ Get high quality bid ask quotes and greeks.\ \ Gathered 14 minutes before the close to avoid wide spreads.\ \ Cleaned using our [Smoothed Market Values](https://orats.com/blog/smoothing-options-implied-volatilities-using-orats-smv-system)\ system.\ \ Includes ORATS theoretical price value estimate.\ \ Core Data\ ---------\ \ Track over 100 indicators for every stock.\ \ Correlations and ratios between [components and ETFs](https://orats.com/blog/2016-06-23-etf-component-report)\ .\ \ Historical volume and pre/post earnings price moves.\ \ Proprietary ORATS forecasts of implied volatility and slope.\ \ Volatility Data\ ---------------\ \ Measure volatility under any circumstance.\ \ Historical stock intraday volatility vs [close-to-close](https://orats.com/blog/are-you-still-using-close-to-close-historical-volatility)\ .\ \ IV rank and percentiles for the last month and year.\ \ [Skewness and kurtosis](https://orats.com/blog/modeling-the-implied-volatility-surface-skewness-and-kurtosis)\ indicators for the implied volatility surface.\ \ [Click here](https://orats.com/docs/live-data-api)\ to read the documentation and explore all the endpoints.\ \ Indicators\ \ [See all indicator definitions](https://orats.com/docs/definitions)\ \ API Pricing\ \ Access industry standard options data plus a plethora of proprietary indicators.\ \ Individual\ \ Professional\ \ Enterprise\ \ Delayed Data API\ \ Perfect for getting started\ \ $99\ \ / month\ \ Get my API token\ \ Includes:\ \ 20,000 requests per month\ \ Tickers\ \ Strikes + Near EOD History\ \ Strikes by OPRA + Near EOD History\ \ Monies Implied + Near EOD History\ \ Monies Forecast + Near EOD History\ \ SMV Summaries + Near EOD History\ \ Core Data + Near EOD History\ \ Daily Price\ \ Historical Volatility\ \ Dividend History\ \ Earnings History\ \ Stock Split History\ \ IV Rank + History\ \ [View API docs](https://orats.com/docs/delayed-data-api)\ \ Live Data API\ \ Best for active traders\ \ $199\ \ / month\ \ Get my API token\ \ Everything in Delayed Data API, plus:\ \ 100,000 requests per month\ \ Live Data\ \ Strikes by Expiry\ \ Expiration Dates\ \ Note that to access the live endpoints, you must first sign the live data agreements (available after signup).\ \ [View API docs](https://orats.com/docs/live-data-api)\ \ Live Intraday API\ \ Access to all ORATS endpoints\ \ $399\ \ / month\ \ Get my API token\ \ Everything in Live Data API, plus:\ \ 1,000,000 requests per month\ \ Intraday Strikes Chain + History\ \ Intraday Strikes by OPRA + History\ \ Intraday Monies Implied + History\ \ Intraday SMV Summaries + History\ \ Note that to access the live endpoints, you must first sign the live data agreements (available after signup).\ \ [View API docs](https://orats.com/docs/live-intraday-api)\ \ Contact Us\ \ Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly.\ \ Your email\ \ Your message\ \ Submit\ \ ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75)\ \ ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75)\ \ ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg)\ \ ORATS University\ \ Master the art of options\ \ Research\ \ Implementation\ \ Risk\ \ Review\ \ [Get started](https://orats.com/university)\ \ [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/)\ \ Institutional Quality Tools for All Options Traders\ \ (312) 986 - 1060\ \ support@orats.com\ \ 36 Maplewood Ave, Portsmouth, NH 03801\ \ Trading Tools\ \ [Strategy Optimizer](https://orats.com/strategy-optimizer)\ \ [Trade Ideas](https://orats.com/trade-ideas)\ \ [Option Scanner](https://orats.com/option-scanner)\ \ [Options Backtester](https://orats.com/backtester)\ \ [Stock Scanner](https://orats.com/stock-scanner)\ \ [Trading](https://orats.com/trading)\ \ [Ticker Analysis](https://orats.com/ticker-analysis)\ \ [Trade Builder](https://orats.com/trade-builder)\ \ APIs\ \ [Data API](https://orats.com/data-api)\ \ [Intraday Data API](https://orats.com/intraday-data-api)\ \ [API Docs](https://orats.com/docs)\ \ Historical Data\ \ [Near End-of-day - Since 2007](https://orats.com/near-eod-data)\ \ [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data)\ \ More Information\ \ [University](https://orats.com/university)\ \ [Dividends](https://orats.com/dividends)\ \ [Blog](https://orats.com/blog)\ \ [Videos and Webinars](https://orats.com/videos)\ \ [About](https://orats.com/about)\ \ [FAQ](https://orats.com/faq)\ \ [Partners](https://orats.com/partners)\ \ [Legal and Compliance](https://orats.com/legal)\ \ [Youtube](https://www.youtube.com/@orats)\ \ [Twitter](https://twitter.com/optionrats)\ \ [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/)\ \ The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer)\ .\ \ Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Option Research & Technology Services | ORATS [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) ![Background](https://orats.com/_next/static/media/heroBackground.28c6bb8d.svg) Everything you need for advanced options trading Trading Tools, APIs, and Historical Data Watch the video [Buy the tools](https://orats.com/trading-tools) [Buy the APIs](https://orats.com/data-api#pricing) [Buy the data](https://orats.com/near-eod-data#pricing) Connect to your favorite brokers [![Interactive Brokers](https://orats.com/_next/static/media/ib.e8a603bf.svg)](https://orats.com/trading-tools) [![Tradier](https://orats.com/_next/static/media/tradier.ad4561d1.svg)](https://orats.com/trading-tools) [![TradeStation](https://orats.com/_next/static/media/tradestation.48c96a04.svg)](https://orats.com/trading-tools) Read in your favorite media [![Nasdaq](https://orats.com/_next/static/media/press-nasdaq.ae2cd5ed.svg)](https://orats.com/blog/nasdaq-features-matts-article-on-backtesting-pitfalls) [![Wall Street Journal](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Fpress-wsj.ca34461c.png&w=256&q=75)](https://orats.com/blog/orats-data-used-in-wsj-story-on-liquidity) [![Interactive Brokers Campus](https://orats.com/_next/static/media/press-ib.f8245d88.svg)](https://orats.com/blog/orats-featured-in-ibkr-campus-quant-blog-and-yahoo-finance) [![Risk Magazine](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Fpress-risk.502e881f.png&w=384&q=75)](https://orats.com/blog/2024-07-22-risk-magazine-0dte-article) [![Reuters](https://orats.com/_next/static/media/press-reuters.05283213.svg)](https://orats.com/blog/Matt-Discusses-Earnings-Season-With-Reuters) [![MSN](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Fpress-msn.426e6e96.png&w=384&q=75)](https://orats.com/blog/orats-featured-in-msn-for-earnings-season-report) [![Yahoo! Finance](https://orats.com/_next/static/media/press-yahoo.4d4de35b.svg)](https://orats.com/blog/orats-featured-in-ibkr-campus-quant-blog-and-yahoo-finance) [![Options Insider](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Fpress-advisors.6500de10.png&w=256&q=75)](https://orats.com/blog/matt-amberson-joins-russell-rhodes-on-the-advisors-option) Trusted by thousands of advanced options traders * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh * ORATS looks great so far, lovely UX and design! \- Matt * I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR. \- Ryan K. * I am very impressed with the functionality and interface of ORATS. The platform's data and analytics capabilities have exceeded my expectations so far. \- Mikhail * I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom. \- Lauren R. * ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful). \- Eric * I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads \- Patrick * The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user. \- Tony M. * The stock scanner is the greatest scanner ever made \- Aiman * There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean. \- Mark * ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS. \- Ramesh What's in ORATS Trading Tools? [Strategy OptimizerNEW\ ---------------------\ \ Enhance your trading strategies with 98 proprietary indicators. Statistical validation ensures your improvements are real, not random chance.\ \ ![Strategy Optimizer](https://orats.com/_next/image?url=%2Fvideos%2FstrategyOptimizer1.png&w=3840&q=75)](https://orats.com/strategy-optimizer) [Trade IdeasNEW\ --------------\ \ Find high-probability trades using 300+ million backtests, curated strategies, and real-time market analysis.\ \ ![Trade Ideas](https://orats.com/_next/image?url=%2Fvideos%2FtradeIdeas1.png&w=3840&q=75)](https://orats.com/trade-ideas) [Option ScannerPOPULAR\ ---------------------\ \ Scan and rank thousands of option trades based on volatility metrics, delta cost, and other theoretical values. Customize DTE, strikes, and more.\ \ ![Option Scanner](https://orats.com/_next/image?url=%2Fvideos%2FoptionScanner1.png&w=3840&q=75)](https://orats.com/option-scanner) [Options BacktesterPOPULAR\ -------------------------\ \ Browse over 300 million options backtests! Our best-in-class backtesting engine goes back to 2007. You can also run your own custom backtests for over 5,000 symbols and 25 strategies.\ \ ![Options Backtester](https://orats.com/_next/image?url=%2Fvideos%2FoptionsBacktester1.png&w=3840&q=75)](https://orats.com/backtester) [Stock Scanner\ -------------\ \ Scan over 5,000 stocks and ETFs using 700+ proprietary option indicators plus 22 new fundamental indicators.\ \ ![Stock Scanner](https://orats.com/_next/image?url=%2Fvideos%2FstockScanner1.png&w=3840&q=75)](https://orats.com/stock-scanner) [Trading\ -------\ \ Send orders through your favorite broker and monitor your positions with text and email alerts. Or, paper trade your strategies in a safe and risk-free environment.\ \ ![Trading](https://orats.com/_next/image?url=%2Fvideos%2Ftrading1.png&w=3840&q=75)](https://orats.com/trading) [Ticker Analysis\ ---------------\ \ Get a comprehensive view of a company's options chain, earnings history, time and sales, and technical outlook.\ \ ![Ticker Analysis](https://orats.com/_next/image?url=%2Fvideos%2FtickerAnalysis1.png&w=3840&q=75)](https://orats.com/ticker-analysis) [Trade Builder\ -------------\ \ Chart future expirations and strikes with overlays for earnings, trendlines, volatility, open interest, and more.\ \ ![Trade Builder](https://orats.com/_next/image?url=%2Fvideos%2FtradeBuilder1.png&w=3840&q=75)](https://orats.com/trade-builder) Start trading ![Graph background](https://orats.com/_next/static/media/graphBg.c97473d3.svg) Options Data API ================ Get live, delayed, and historical end-of-day options data back to 2007 augmented with hundreds of proprietary indicators. ------------------------------------------------------------------------------------------------------------------------- [Buy the APIs](https://orats.com/data-api#pricing) [View the docs](https://orats.com/docs/delayed-data-api) 01 02 03 04 05 06 07 08 09 10 11 12 { "data": [ { "ticker": "AAPL", "tradeDate": "2023-04-06", "expirDate": "2023-09-15", "dte": 163, "strike": 175, "stockPrice": 164.42, "callVolume": 624, "callBidSize": 50, ...\ \ Historical Data\ \ Level up your options research with our high quality historical options data.\ \ [Near End-of-day - Since 2007\ ----------------------------\ \ A complete snapshot of the US equity options market 14 minutes before the close of trading each day. Over 5,000 symbols included.](https://orats.com/near-eod-data)\ [1 Minute Intraday - Since Aug. 2020\ -----------------------------------\ \ Full SMV greeks, theoretical values, and IVs for every minute during the trading day of all US equity options. Over 5,000 symbols included.](https://orats.com/one-minute-data)\ \ [Buy the data](https://orats.com/near-eod-data#pricing)\ \ Learn from an ex-market maker\ \ Weekly options education hosted by ORATS founder Matt Amberson.\ \ [Watch on Youtube](https://www.youtube.com/@orats/videos)\ \ Sign up\ \ Institutional Quality Tools for All Options Traders\ \ Testimonials\ \ ORATS is trusted by thousands of advanced options traders, hedge funds, and institutions.\ \ "I'm very pleased so far since I can go straight from research in ORATS to placing trades without needing to go into IBKR."\ \ \- Ryan K.\ \ "I'm loving the new functionality you've given ORATS, especially the screening functionality for spreads"\ \ \- Patrick\ \ "ORATS is fantastic platform! I have used several including ivolatility/Options omega, but nothing comes close to ORATS."\ \ \- Ramesh\ \ "I'm grateful to have access to this quality set of tools to do the work I LOVE... I do think where you're going has the potential to disrupt the traditional brokerage business and fuel the next retail trading boom."\ \ \- Lauren R.\ \ "The dashboard is so intuitive, along with the ability of drilling into various segments, command simple requests, etc. It's so easy to decipher feedback and is especially user-friendly for a newbie user."\ \ \- Tony M.\ \ "The stock scanner is the greatest scanner ever made"\ \ \- Aiman\ \ "ORATS looks great so far, lovely UX and design!"\ \ \- Matt\ \ "ORATS offers enough to make me a customer for life... The videos and blog entries have been very helpful... The stock scanner templates (particularly the earnings scanner is very useful)."\ \ \- Eric\ \ "There is a lot to the platform and it helps to watch someone who understands the nuances use it. The way the various sections of the platform integrate with one another is an elegant feature and the overall presentation of the data returned is very clean."\ \ \- Mark\ \ Join the community\ \ Contact Us\ \ Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly.\ \ Your email\ \ Your message\ \ Submit\ \ ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75)\ \ ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75)\ \ ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg)\ \ ORATS University\ \ Master the art of options\ \ Research\ \ Implementation\ \ Risk\ \ Review\ \ [Get started](https://orats.com/university)\ \ [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/)\ \ Institutional Quality Tools for All Options Traders\ \ (312) 986 - 1060\ \ support@orats.com\ \ 36 Maplewood Ave, Portsmouth, NH 03801\ \ Trading Tools\ \ [Strategy Optimizer](https://orats.com/strategy-optimizer)\ \ [Trade Ideas](https://orats.com/trade-ideas)\ \ [Option Scanner](https://orats.com/option-scanner)\ \ [Options Backtester](https://orats.com/backtester)\ \ [Stock Scanner](https://orats.com/stock-scanner)\ \ [Trading](https://orats.com/trading)\ \ [Ticker Analysis](https://orats.com/ticker-analysis)\ \ [Trade Builder](https://orats.com/trade-builder)\ \ APIs\ \ [Data API](https://orats.com/data-api)\ \ [Intraday Data API](https://orats.com/intraday-data-api)\ \ [API Docs](https://orats.com/docs)\ \ Historical Data\ \ [Near End-of-day - Since 2007](https://orats.com/near-eod-data)\ \ [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data)\ \ More Information\ \ [University](https://orats.com/university)\ \ [Dividends](https://orats.com/dividends)\ \ [Blog](https://orats.com/blog)\ \ [Videos and Webinars](https://orats.com/videos)\ \ [About](https://orats.com/about)\ \ [FAQ](https://orats.com/faq)\ \ [Partners](https://orats.com/partners)\ \ [Legal and Compliance](https://orats.com/legal)\ \ [Youtube](https://www.youtube.com/@orats)\ \ [Twitter](https://twitter.com/optionrats)\ \ [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/)\ \ The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer)\ .\ \ Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS - Dividends [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Dividends ========= A comprehensive dividend data set --------------------------------- ### A daily FTP download service with all expected ex-div dates and forecasted dividend amounts for the next 2.67 years for all stocks with US exchange listed options. [See Pricing](https://orats.com/dividends#pricing) Get all these files with a Dividends subscription Dividends --------- This file lists the closest upcoming dividend ex-dividend date, expected payment amount, and denotes if the data is Estimated ("E"), Acknowledged ("A"), Acknowledged by one or more, but not all sources("I") or Overridden ("O"). Stock Div Forecasts ------------------- This file compares the computed projected dividend amount against what is being implied in the current options market. If the projected amount is not verified by the current market environment, it is tempered. Furthermore, the forecasts are split-adjusted and are converted to USD in the case when the dividend is expected in a foreign currency. Stock Div Hist Growth --------------------- This file contains ORATS' raw proprietary dividend forecast amounts. The dividend payout amounts in this file are NOT compared to the dividend amount being implied in the current options marketplace. Special Dividends ----------------- This file only contains upcoming confirmed special dividends. Our feed fully conforms to the OCC "12.5" rule on special dividends and includes/excludes dividends in accordance with the rule. Our Approach We take the complexity out of dividend forecasting by combining historical patterns, implied dividends, and streaming news to make simple, accurate projections. Historical Dividends We offer 14 years of historical forecasts and actual dividends and incorporate dividend trend models to project future dividend streams. Seasonal Effects The projected dividend dates and amounts also take into account seasonal irregularities observed in the past. Our dividend consultant analyzes this data and adjusts our calculations to account for any abnormalities. Implied Dividends Using our [proprietary IV indicators](https://orats.com/docs/definitions#cores) , we compute implied dividends – a calculated estimate of how much a company will pay as a dividend along the entire option expiration calendar. Intraday Updates We partnered with top corporate actions provider [Wall Street Horizon](https://www.wallstreethorizon.com/dividends) , whose algorithms are continuously scanning the news wires and providing ORATS with updated data and fundamental analysis. Dividends Pricing Simple and accurate dividends data files for your options research. Individual Professional Enterprise Dividends Simple and accurate dividends data files for your options research. Recurring data (from today onward): $199 / month Try 14 days for $29 Historical data (from 2007 - present): $500 Buy one-time historical data Includes: Daily Dividends file Daily Stock Div Forecasts file Daily Stock Div Hist Growth file Daily Special Dividends file Download via FTP Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS Blog [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) The latest options trading insights, tools, and tutorials. ---------------------------------------------------------- Subscribe Categories All Posts 368 Backtesting 62 Trading 12 Indicators 50 Earnings 108 Market Events 58 Data API 12 In the Media 56 Dividends 10 All Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Earnings\ \ Tuesday, February 24th 2026\ \ ### Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![What Is the True Value of an Option?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F30cd72f7-e2b3-80e1-9f88-cdf9e88f52ba.png&w=3840&q=75)\ \ Indicators\ \ Thursday, February 19th 2026\ \ ### What Is the True Value of an Option?](https://orats.com/blog/true-value-of-an-option) [![Earnings Straddles Are Having Their Moment](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F305d72f7-e2b3-802e-8dfc-efd5e26905b5.png&w=3840&q=75)\ \ In the Media\ \ Thursday, February 12th 2026\ \ ### Earnings Straddles Are Having Their Moment](https://orats.com/blog/earnings-straddles-strong-season-2026) [![Help, My Backtest Isn’t Working! ](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-801a-8967-fb548f4700bc.png&w=3840&q=75)\ \ Backtesting\ \ Tuesday, January 13th 2026\ \ ### Help, My Backtest Isn’t Working!](https://orats.com/blog/help-my-backtest-isnt-working) [![On Risk Management and Path-Dependent Trades: Lessons from Captain Condor](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-8031-a4ec-e1530763f5c8.png&w=3840&q=75)\ \ In the Media\ \ Monday, January 12th 2026\ \ ### On Risk Management and Path-Dependent Trades: Lessons from Captain Condor](https://orats.com/blog/lessons-from-captain-condor-risk-management-path-dependent-trades) Next Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # API Documentation [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) API Documentation ================= The ORATS API is organized around REST. Our API is designed to have predictable, resource-oriented URLs and to use HTTP response codes to indicate API success and errors. You can use our API to access options data in our database. [Authentication](https://orats.com/docs/authentication) [Explore Definitions](https://orats.com/docs/definitions) Getting started --------------- To get started, purchase an API token through our [website](https://orats.com/data-api#pricing) , then go to your [dashboard](https://dashboard.orats.com/api-console) to view your token and interact with the endpoints. To access live data, you'll need to sign the agreements [here](https://dashboard.orats.com/api-console) . [Get your API key](https://orats.com/data-api#pricing) [Guides](https://orats.com/docs#guides) ---------------------------------------- ### Authentication Learn how to authenticate your API requests and connect to live data. [Read more](https://orats.com/docs/authentication) ### Errors Read about the different types of errors returned by the API. [Read more](https://orats.com/docs/errors) ### Core Research Study our methods behind developing hundreds of proprietary indicators. [Read more](https://orats.com/docs/core-research) ### Definitions Explore verbose definitions for all of our fields across all endpoints. [Read more](https://orats.com/docs/definitions) [Endpoints](https://orats.com/docs#resources) ---------------------------------------------- ### [Delayed Data API](https://orats.com/docs/delayed-data-api) Get delayed and historical end-of-day options data back to 2007 augmented with hundreds of proprietary indicators. ### [Live Data API](https://orats.com/docs/live-data-api) Access live data for the Data API, calculated in real-time with less than 10 seconds of market delay. ### [Delayed Intraday API](https://orats.com/docs/delayed-intraday-api) Get delayed and historical one-minute options data back to August 2020 for over 5,000 symbols. ### [Live Intraday API](https://orats.com/docs/live-intraday-api) Access live data for the Intraday API, calculated in real-time with less than 10 seconds of market delay. Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS - Disclaimer [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Disclaimer The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS - Terms & Conditions [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Terms & Conditions Research & Informational Services Agreement THIS RESEARCH & INFORMATIONAL SERVICES AGREEMENT (this "Agreement") is made on the date of initial login or payment for services, whichever is earlier. This is the Commencement Date. Option Research & Technology Services, LLC, an Illinois limited liability company ("ORATS"), located at 36 Maplewood Ave., Portsmouth, New Hampshire 03801; 1\. DEFINITIONS AND INTERPRETATION 1.1 In this Agreement the following expressions shall have the following meanings: "Subscription Fees" mean the fees to be paid by the Client to ORATS in accordance with clause 4 for the provision of the Service as set out herein. "Business Days" means any day on which banks are generally open for business in the U.S. "Commencement Date" means the date on which this Agreement shall come into effect. "Intellectual Property Rights" means all intellectual property and all rights therein including all research reports, commentary and/or inventions (whether patentable or not, and whether or not patent protection has been applied for or granted), proprietary information, trademarks, service marks, trade names, logos, artwork, slogans, know-how, technical information, trade secrets, processes, utility models, computer models, works in which copyright subsists or may subsist (including computer software and preparatory and design materials therefor and any user manuals or related material) and all works protected by rights or forms of protection of a similar nature or having equivalent effect anywhere in the world. "Materials" means all materials (including but not limited to documents, reports, voice communication, data and software) which are created by ORATS and delivered to the Client in the course of providing the Service. "Service" means the Service to be provided by ORATS to the Client as set out herein and incorporated herein by this reference as if set forth. "Service User" means those individuals, if any, agreed in writing between ORATS and the Client who may receive the Service. 1.2 References to persons include individuals, bodies corporate (wherever incorporated) unincorporated associations and/or partnerships. 1.3 Headings are inserted for convenience only and shall not affect the construction or interpretation of this Agreement. 2\. PROVISION OF THE SERVICE 2.1 In consideration of the payment by the Client of the Fees in clause 4.0, ORATS will supply the Service to the Client. The Client agrees to use the Service solely in accordance with the terms of this Agreement (including without limitation, clause 5). 2.2 ORATS undertakes and warrants that it will: 2.2.1 apply reasonable skill and care in the provision of the Service and 2.2.2 provide the Service in a timely and efficient manner, and subject to the terms in Schedule 1. 2.3 Nothing in this Agreement shall prevent ORATS from providing services, even the same or similar services to the Service to any third party regardless if such third party conducts similar business activities to the Client. 2.4 In providing the Service and/or the Materials to the Client, ORATS gives no guarantee as to the accuracy of the information provided. The Client accepts the Services "as is" and for "informational purposes only" and represents that it is sophisticated and capable of making its own investment decisions. The Services and/or Materials are not investment advice and the Client shall not rely on the Services and/or Materials in connection with investment decisions. ORATS, or its employees, may buy or sell securities that are listed in research reports provided to the Client, at any time without prior notice. 2.5 ORATS does not make discretionary recommendations as to particular securities or derivative instruments, and does not advocate the purchase or sale of any security or investment by you or any other individuals based on your investment objectives. ORATS does not guarantee the accuracy, completeness or timeliness of the Information. As set forth in greater detail below, ORATS offers no warranty of any kind or nature relative to the Information provided. 2.6 The Service and features of the Service are provided for informational purposes only and should not be construed as tailored investment advice. You should not rely solely on the information provided by ORATS in making any investment. Rather, you are advised to use such information only as supplemental information, or a starting point for doing additional independent research in order to allow you to form your own informed opinion regarding investments and trading strategies and/or choices. 2.7 Service provided by ORATS does not constitute a solicitation for the purchase or sale of securities. By using the Service you assume full responsibility for any and all gains and losses, financial, emotional or otherwise, experienced, suffered or incurred by you. The Service is not intended to provide tax, legal or investment advice, which you should obtain from your professional advisor prior to making any investment of the type discussed in the Information. 2.8 You acknowledge and agree that you must: (a) provide for your own access to the World Wide Web and pay any service fees associated with such access, and (b) provide all equipment necessary for you to make such connection to the World Wide Web, including a computer, software, a modem and a working telephone line. In consideration of your use of the Service, you agree: (a) to provide true, accurate, current and complete information in all material respects, as requested by ORATS and (b) to update such information to keep it true, accurate, current and complete in all material respects. If any information provided by you is untrue, inaccurate, not current or incomplete in any material respect, ORATS has the right to terminate your account and refuse any and all current or future use of the Service. You agree not to resell or transfer the Service or use of or access to the Service. 3\. COMMENCEMENT AND DURATION This Agreement, including the provision of the Service, shall commence on the Commencement Date and shall continue unless and until terminated by either party in accordance with the terms of this Agreement. 4\. FEES 4.1 The Client shall pay ORATS a Subscription Fee with the initial installment due on the Commencement Date, as described further below in clause 4.2. 4.2 The Subscription Fee (together with any applicable VAT or any other relevant tax) shall be paid monthly, quarterly or annually in advance, on a pro rata basis, due on the Commencement Date and thereafter on a monthly, quarterly or annual basis, due and payable no later than the fifth (5th) business day after each new calendar period. 4.3. The Subscription Fee will be automatically renewed on the day after the termination date. 4.4 The Subscription Fee will not include the penalty payments referenced in clause 5.1 below, which represent liquated damages for unauthorized distributions by the Client. The Client agrees to pay ORATS such penalty amounts within five (5) business days upon written notice by ORATS. 4.5 Payment should be made to ORATS in accordance with the payment instructions which are communicated to the Client. 5\. USE OF THE SERVICE 5.1 ORATS will provide the Service to the Client solely to the Client's designated Service User (which shall be the sole Service User of the Client entitled to access to the Service and the Materials). The Client undertakes to ensure that the Service User agrees to use the Service and the Materials solely for his/her own purposes, and not to distribute/redistribute the Service or the Materials, including the publications, to third parties, including other employees or agents of the Client. The Client acknowledges that ORATS may employ technology for the distribution of materials that informs ORATS of any distribution of its related materials, including any such publications, that is not in accordance with this clause 5.1. 5.2 Upon ORATS' written consent, the Client may replace a designated Service User acceptable to ORATS, with another Service User of the Client, by notifying ORATS by email (or other method of communication) of the replacement Service User's electronic address. 5.3 ORATS reserves the right, in its sole discretion, to remove a Service User from the provision of the Service if it reasonably believes that the Service User is abusing the terms of use of the Service or misusing the information provided by ORATS, or it is otherwise not in the best interest to provide the Service to such individual. In such circumstances, the Client may replace the Service User. ORATS agrees not to unreasonably exercise its right to remove a Service User from the Service. 5.4 It is understood and agreed that the Client will use the information and data generated by ORATS for informational purposes only. ORATS does not provide the Service as advice for the purchases or sales of securities, or classes or types of securities; the timing or other planning of transactions in securities; or movements, trends, or patterns in or affecting securities markets. 5.5 Upon ORATS' written consent, the Client may communicate to another Service User of the client that the research was generated using software and data provided by ORATS, by notifying ORATS by email (or other method of communication) of the other Service User's electronic address. 6\. INTELLECTUAL PROPERTY RIGHTS 6.1 ORATS is the exclusive owner and retains all intellectual property and proprietary rights subsisting in the Service and/or the Materials (in all forms and mediums regardless of the manner of transmission) created by ORATS during the term of this Agreement shall be and shall remain ORATSs exclusive property. 6.2 ORATS grants to the Client a non-transferable, non-exclusive, revocable limited license to use the Service and Materials for its own internal business purposes only, during the term of, in strict accordance with, this Agreement. The Client shall have no rights to such Service and Materials other than expressly set out in this Agreement. 6.3 Upon termination of this Agreement for any reason, the license granted herein to Client shall immediately terminate; provided, however, that Client is permitted to retain the Materials provided by ORATS pursuant to this Agreement for use in Client's own internal business after termination of this Agreement. 7\. CONFIDENTIALITY 7.1 The Client agrees to keep confidential all information concerning the business affairs and practices of ORATS ("Confidential Information") regardless if such information is marked as "confidential." The Client hereby agrees not to disclose such Confidential Information, including research reports, to any third party without the prior written consent of ORATS. 7.2 The Client may disclose Confidential Information if required to do so by law or any applicable regulatory authority, provided that the Client gives immediate notice to ORATS that such Confidential Information is so required to be disclosed and before doing so the Client gives ORATS an opportunity to challenge that requirement unless the giving of that notice or of that opportunity would place the Client in breach of an order of a court or other authority of competent jurisdiction. 7.3 The obligation of confidentiality contained in clause 7.1 shall not apply to Confidential Information which: 7.3.1 was already in the possession of the Client prior to the date on which the Client first entered into any discussion or arrangements (which includes the subscription trial period of the Service) with the Client; 7.3.2 was in the public domain at the time of receipt by the Client or has subsequently entered the public domain other than as a result of a breach of this Agreement or any other duty of confidence. 7.4 This clause 7 shall survive termination of this Agreement. 8\. LIABILITY 8.1 The Client acknowledges that ORATS has no contractual relationship with the Service Users and accordingly, the Client indemnifies ORATS against any losses, claims, damages, proceedings or actions suffered by ORATS as a result of claims by Service Users. 8.2 The Client acknowledges that ORATS shall not be liable for any loss, including the loss of profits, (whether actual or anticipated, or direct or indirect), special, indirect, economic or consequential losses (including, without limitation, loss of sales, contracts, customers savings or goodwill). 8.3 ORATS's entire liability to the Client, howsoever incurred arising out of or in connection with this Agreement and the Service, including without limit, for breach of contract, misrepresentation (except that fraudulently made) and tort (including negligence) is limited to $1,000. Nothing herein shall preclude the Client from seeking remedies under federal or state securities laws. 9\. TERMINATION 9.1 This Agreement shall remain in force and effect for an initial term communicated to the client. ORATS or The Client may, however, terminate this Agreement at any time by giving to ORATS not less than thirty (30) days' notice in writing provided that the Client shall not be entitled to terminate this Agreement pursuant to this clause 9.1 before the initial term communicated to the client. If no initial term was communicated to the client then the term is monthly. 9.2 Either party may at any time by notice in writing terminate this Agreement if: 9.2.1 the other party is in breach of any provision of this Agreement which, if the breach is capable of remedy, has not been remedied within thirty (30) days of the notice from the non-defaulting party specifying the breach and the steps required to remedy it; or 9.2.2 the other party becomes insolvent or is unable to pay its debts, or enters into a compulsory or voluntary liquidation (other than a voluntary liquidation for the purposes of reorganization) or compounds with or convenes a meeting of its creditors or has a receiver or manager or an administrative receiver or an administrator appointed over all or part of its assets, or ceases for any reason to carry on business or takes or suffers any similar or analogous action in any other jurisdiction. 9.3 ORATS may terminate this Agreement at any time without notice, provided that unearned fees are returned to the Client, if; 9.3.1 any third party supplier of information or services to ORATS notifies ORATS that it has infringed another third party's Intellectual Property Rights and is unable to supply the necessary information or services to ORATS; or 9.3.2 regulatory, legal or other circumstances make it not possible to continue providing the Service. 10\. NON-PUBLIC INFORMATION 10.1 From time to time ORATS and its officers and employees may become aware of non-public information about investments or investment opportunities which could reasonably be expected to affect investment decisions ("Inside Information"). Various procedures are used to isolate Inside Information from ORATS Services. However, to comply with applicable law, from time to time ORATS may be required to abstain from actions, for itself and for the Client, based on the ORATS' possession of Inside Information. Under no circumstances is ORATS obligated to give the Client, or use for the benefit of the Client, any Inside Information in the Adviser's possession. 11\. MISCELLANEOUS 11.1 Force Majeure If either party is unable to perform its obligations under this Agreement (except the Client's obligation to pay the Subscription Fees) due to significant events or circumstances beyond the party's control, then that party will not be in breach of the Agreement. If the events or circumstances causing the delay, interruption or inability to perform obligations under this Agreement persist for more than sixty days, either party may terminate this agreement with immediate effect, by giving the other party notice in writing. 11.2 Dispute Resolution 11.2.1 The parties agree to attempt to settle any dispute between them within ten (10) Business Days from the date on which either party brings the dispute to the attention of the other. 11.2.2 If the dispute has not been resolved within ten (10) Business Days the parties agree to submit the dispute to mediation for resolution. The parties agree to attempt to settle the dispute through mediation for a period of twenty (20) Business Days or such longer period as may be agreed in writing between the parties. 11.2.3 If the parties fail to resolve the dispute after thirty (30) Business Days, (or such longer period as may have been agreed between the parties under clause 10.2.2), either party may submit the dispute to a court or other appropriate body or tribunal for determination. 11.2.4 Nothing in this clause 10.2 shall prevent either party from seeking urgent or equitable injunction relief in any appropriate court. 11.3 Notices Any notice required or permitted to be given by either party under this Agreement to the other must be in writing at the address listed above or a current address know by the parties, including email current email addresses. All notices must be delivered by recorded delivery, by hand, email or by courier, to the attention of the signatories to this Agreement (which may be amended from time to time by notice served in accordance with this clause 11.3). 11.4 Assignment Neither party may assign his or its rights under this Agreement without the prior written consent of the other. Assignment shall be defined in accordance with the Investment Advisers Act of 1940, as amended. 11.5 Variation This Agreement may not be varied, amended or modified in any manner except by an instrument in writing signed by a duly authorized representative of each of the parties to this Agreement. 11.6 Waiver No delay of failure on the part of either party to exercise or to enforce any right given to it by this Agreement or at law, or any custom or practice of either party at variance with the terms of this Agreement shall constitute a waiver of such party's rights under this Agreement or operate so as to prevent the exercise or enforcement of any such right at a time. 11.7 Severability If any provision of this Agreement is held to be invalid or unenforceable, in whole or in part, that provision or part shall to that extent be deemed not to form part of this Agreement. However, the validity and enforceability of the remainder of this Agreement shall not be affected. 11.8 Entire Agreement This Agreement constitutes the entire agreement between the parties, and supersedes any previous agreement or understanding between the parties in relation to the subject matter hereof. All other terms and conditions express or implied by statute or otherwise, are excluded to the fullest extent permitted by law. This Agreement may not be varied except in writing signed on behalf of the parties. 11.9 Governing Law The validity, construction, interpretation and administration of this Agreement shall be governed by the substantive laws of the State of New Hampshire. 11.10 Agreement Acceptance This offer of the Agreement by ORATS to the Client will be open to acceptance by the Client for thirty (30) Business Days from Commencement Date above, and will come into force when ORATS receives the Agreement, without amendment, signed and dated by the Client. 11.11 Receipt of Parts 2A and 2B of Form ADV The Client hereby acknowledges receipt of Parts 2A and 2B of Form ADV (the "Brochure"), which contains information concerning the full range of the ORATS services and fees. Annual updates of the Brochure will either be sent to the Client or are made available upon written request, if applicable. The latest Parts 2A and 2B are available for download at the following links: [ORATSADV2A.pdf](https://s3.amazonaws.com/assets.orats.com/ORATSADV2A.pdf) [MAmbersonADVPart2B.pdf](https://s3.amazonaws.com/assets.orats.com/MAmbersonADVPart2B.pdf) [AdvisoryServices.pdf](https://assets.orats.com/ORATS%20CRS%20ADV%20Part%203.pdf) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Authentication - ORATS API Reference [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Authentication ============== All requests must be sent with a valid token parameter in the URL. You can purchase an API token through our [website](https://orats.com/data-api#pricing) , then go to your [dashboard](https://dashboard.orats.com/api-console) to view your token. [Making your first request](https://orats.com/docs/authentication#making-your-first-request) --------------------------------------------------------------------------------------------- You can copy the following command into your terminal, or copy just the URL and paste it into your browser. Make sure to replace the token parameter with your own token. curl -L "https://api.orats.io/datav2/cores?token=my-token&ticker=AAPL" CopyCopied! Always keep your token safe and contact us at [support@orats.com](mailto:support@orats.com) if you suspect it has been compromised. [Connecting to live data](https://orats.com/docs/authentication#connecting-to-live-data) ----------------------------------------------------------------------------------------- Live data is calculated in real-time with less than 10 seconds of market delay. To connect to live data, you must sign the agreements [here](https://dashboard.orats.com/api-console) . Once completed, your requests to the live endpoints will no longer be blocked. curl -L "https://api.orats.io/datav2/live/strikes?token=my-token&ticker=AAPL" CopyCopied! [Data format](https://orats.com/docs/authentication#data-format) ----------------------------------------------------------------- For the Data API, you can get data in JSON or CSV format by passing in the extension of the format type. The default type is JSON. Requests to the Intraday Data API will always return a CSV response. curl -L "https://api.orats.io/datav2/cores.csv?token=my-token&ticker=AAPL" CopyCopied! Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Errors - ORATS API Reference [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Errors ====== In this guide we'll talk about what happens when something goes wrong while you work with the API. [Request limits](https://orats.com/docs/errors#request-limits) --------------------------------------------------------------- Your request limit per month depends on the endpoints you are accessing as well as your subscription level. We will warn you via email as you approach your limit. Additionally, you are limited to 1,000 requests per minute for all APIs. [Ticker limit](https://orats.com/docs/errors#ticker-limit) ----------------------------------------------------------- For endpoints that have a ticker field that accepts multiple tickers, there is a 10 ticker limit to the query. Certain endpoints allow you to add multiple tickers by using comma-delimited format, but if you go over 10 tickers then you will get an error. [Uptime](https://orats.com/docs/errors#uptime) ----------------------------------------------- In the last five years, our API has only been down twice, and both times were due to an AWS outage. Our API relies on several AWS services to operate, and if we ever experience an outage, we will email you with updates. [Status codes](https://orats.com/docs/errors#status-codes) ----------------------------------------------------------- You can tell if your request was successful by checking the status code when receiving an API response. If a response comes back unsuccessful, you can use the error type and error message to figure out what has gone wrong and do some rudimentary debugging (before contacting support). Here is a list of the different categories of status codes returned by the ORATS API. Use these to understand if a request was successful. * Name `2xx` Description A 2xx status code indicates a successful response. * Name `4xx` Description A 4xx status code indicates a client error. * Name `5xx` Description A 5xx status code indicates a server error. Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Core Research - ORATS API Reference [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Core Research ============= [Executive Summary](https://orats.com/docs/core-research#executive-summary) ---------------------------------------------------------------------------- Option Research and Technology Services (ORATS), established in 2001, provides US equity options data designed by successful options traders. ORATS proprietary data including implied summarizations and historical volatility readings, have been shown in backtesting to be important predictors of profitable trading strategies. Component weighted averages, forward and flat volatilities, contango, and constant maturity implied volatilities at various deltas set ORATS data apart. [Volatility Research](https://orats.com/docs/core-research#volatility-research) -------------------------------------------------------------------------------- Our proprietary historical volatilities are calculated from intraday data market information and produce more accurate daily volatilities than traditional methods like close-to-close. From these accurate volatilities, we produce effective forecasts of volatility and other useful datasets. The ORATS implied volatility summarization technique produces an accurate smoothed market value curve. This single line fits between the calls and puts bid-ask at a high rate. These volatilities create high-quality options Greeks like delta, vega, gamma, and theta. These data points are especially useful in backtesting where accuracy is important. Our method of summarizing the implied volatility surface allows simplification of strike relationships to a few factors. These factors are comparable over time and across related equities and produce an effective forecasted volatility surface. [Asset Coverage](https://orats.com/docs/core-research#asset-coverage) ---------------------------------------------------------------------- ORATS covers all US equity options including stocks, ETFs, and indexes--over 4000 tickers. Also included are component weighted averages for the major indexes and ETFs, over 30 more tickers delineated with an underscore C added to the ticker, i.e. NDX\_C and IWM\_C. These component tickers provide difficult to come by historical weighed averages each data set in Exhibit A and Exhibit B. Here is a list of the indexes and ETFs: 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 [Historical Volatility Research](https://orats.com/docs/core-research#historical-volatility-research) ------------------------------------------------------------------------------------------------------ In addition to offering traditional close-to-close realized volatility computations, we offer a second way to view historical volatility. Our proprietary historical volatilities are calculated from intraday open-high-low-close stock price market information and produce more accurate daily volatilities than traditional methods like close-to-close. Related Data Point(s): orHv1d, orHv5d, clsHv5d [Ex-Earnings Historical Volatility](https://orats.com/docs/core-research#ex-earnings-historical-volatility) ------------------------------------------------------------------------------------------------------------ Close-to-close and ORATS historical volatilities are also presented with the day of and day after earnings taken out of the calculation. These calculations are important as they can be compared over time or when analyzing a non-earnings expiration. Related Data Point(s): orHvXern5d, clsHvXern5d [Implied Volatility](https://orats.com/docs/core-research#implied-volatility) ------------------------------------------------------------------------------ The ORATS implied volatility summarization technique produces an accurate smoothed market value curve. This single line fits between the calls and puts bid-ask at a high rate. Our method of summarizing the implied volatility surface allows simplification of strike relationships to a few factors, at-the-money implied volatility readings, constant maturity readings ie 30 days, slope of the strike implied volatility skew and curvature of that skew. These factors are comparable over time and across related equities and produce an effective forecasted volatility surface. ORATS presents the implied volatility and forecasts for the first four months with standard expirations on the third Friday of the month. Seeing all standard options expirations allows for assessment of the implied volatility across assets and against monthly forecasts. Related Data Point(s): atmIvM1, atmIvM2 [Interpolated Implied Volatility](https://orats.com/docs/core-research#interpolated-implied-volatility) -------------------------------------------------------------------------------------------------------- The constant maturity implied volatility is calculated by measuring the two expirations around the day to be measured. ORATS presents the 30, 60, 90 days, 6 months and 1 year interpolated implied volatility. Related Data Point(s): iv20d, iv30d [Interpolated Implied Volatilities At Various Deltas](https://orats.com/docs/core-research#interpolated-implied-volatilities-at-various-deltas) ------------------------------------------------------------------------------------------------------------------------------------------------ ORATS presents the constant maturity implied volatilities at various delta levels in addition to at-the-money 50 delta: The 5, 25, 75 and 95 call delta IVs are also presented. Related Data Point(s): vol5, vol25, vol50 [Constant Maturity Ex-Earnings Implied Volatility and Earnings Effects](https://orats.com/docs/core-research#constant-maturity-ex-earnings-implied-volatility-and-earnings-effects) ------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------ The most important measurements are constant maturity implied volatilities, and especially with earnings effects taken out of the implied volatility. As a result of our accurate implied volatilities and sophisticated methods of term structure modeling, ORATS determines the additionally implied volatilities in the expiration months that are affected by earnings announcements, what we call the Implied Earnings Move. Implied earnings moves are taken out of the implied volatility term structure by solving for the resulting ex-earnings implied skew versus a rational implied volatility term structure model. Related Data Point(s): orIvXern20d, orIvXernInf [Earnings Moves Studies](https://orats.com/docs/core-research#earnings-moves-studies) -------------------------------------------------------------------------------------- The Implied Earnings Moves can be compared to the average absolute actual earnings moves in a stock. This simple earn move calculation is the absolute value of the last twelve percentage moves in the stock after an earnings announcement. Related Data Points(s): ernMv1, ernMv2, impErnMv [Implied Earnings Effects vs. Forecasted Earnings Effects](https://orats.com/docs/core-research#implied-earnings-effects-vs-forecasted-earnings-effects) --------------------------------------------------------------------------------------------------------------------------------------------------------- Once we defined a smooth surface across time to expiration and delta, we were then ready to utilize the earnings event studies of historical volatility to produce Forecasted Earnings Effects. As a result of our research, we utilize actual stock moves on earnings announcement dates to make a forecast of future moves. As a result of our accurate implied volatilities and sophisticated methods of term structure modeling, ORATS determines the additionally implied volatilities in the expiration months that are affected by earnings announcements, what we call the Implied Earnings Effects. The months that are affected by earnings announcements are those that have an expiration date after the upcoming expected earnings announcement date. With a forecast earnings announcement effect and simple variance math, we can make the correct adjustments to the implied volatility surface. In most cases, the implied volatility is increased in the months that are affected by earnings announcements since most equities are more volatile on the days surrounding an earnings announcement than would otherwise be expected. Twelve historical earnings effects are presented. Related Data Point(s): impliedEe, impErnMv [Earnings Event Studies](https://orats.com/docs/core-research#earnings-event-studies) -------------------------------------------------------------------------------------- One of the other uses for this accurate volatility measure is studying a predictable event’s effect. One study we perform measures the effect of periodic earnings announcements on volatility. Once the effect is measured, it can be forecast and thus, priced into the theoretical values for the expiration months it affects. This simple earn move calculation is the percentage move. The earnings effect calculation assesses the move of the stock price on announcement day regarding the percentage of market expectation of a normal move on a day without earnings. Related Data Point(s): ernEffct1, ernMv1, absAvgErnMv [Implied Volatility Surface](https://orats.com/docs/core-research#implied-volatility-surface) ---------------------------------------------------------------------------------------------- ORATS describes the implied volatility surface as a 3-dimensional surface where the independent variables are time to expiration, and option delta and the dependent variable is implied volatility. To illustrate an implied volatility surface, we have developed a 2-dimensional graph that displays all three axes in the figure below. Summary information about this surface gives the trader a macro view of the implied volatilities for each option chain. ORATS takes a snapshot of all options on all symbols approximately 14 minutes before the close of trading. Options markets from this time are often of higher quality than at the close. ORATS measures the surface using the following summary characteristics: at-the-money volatility, strike slope, and derivative (curvature). ![3d Volatility Surface](https://orats.com/docs/skew.png) [The "Smile"](https://orats.com/docs/core-research#the-smile) -------------------------------------------------------------- At-the-money volatility is the implied volatility at the 50 delta call and put. Strike Slope is a measure of the amount that implied volatility changes for every increase of 10 call delta points within the intra-month skew. It measures how lopsided the 'smile' or 'smirk' is. The derivative is a measure of the rate at which the strike slope changes for every increase of 10 call delta points within the intra-month skew. It measures the curvature of the intra-month skew or 'smile.' We chose just two parameters to describe the skew to get a reasonable fit for the fewest assumptions. Using this method of describing the skew has the additional benefit of producing accurate at-the-money volatility readings important for summarizing the term structure. Related Data Point(s): slope, slopeInf, deriv, derivInf [Forecasting the Implied Volatility Surface](https://orats.com/docs/core-research#forecasting-the-implied-volatility-surface) ------------------------------------------------------------------------------------------------------------------------------ These sophisticated methods of summarizing and manipulating the implied volatility surface allow us to compare summary characteristics across related equities and over time. These observations are then used in volatility forecasting models. In options trading, to find an edge, it is useful to compare implied volatility surface parameters and market values to forecasted parameters and to theoretical values computed using these parameters. Related Data Point(s): orFcst20d, orIvFcst20d, orFcstInf, slopeFcst, slopeFcstInf, derivFcst, derivFcstInf, fcstR2, fcstR2Imp, impliedR2 [Advanced: Calculating an Implied Volatility for Each Strike](https://orats.com/docs/core-research#advanced-calculating-an-implied-volatility-for-each-strike) --------------------------------------------------------------------------------------------------------------------------------------------------------------- Given the at-the-money implied volatility, the slope and the derivative, an implied volatility can be calculated for each strike. First, a call delta is calculated for the strike using a standard option pricing model (not provided). Second, the slope and derivative for the expiration is calculated given the interpolated slope and derivative for that expiration. Third, the implied volatility formula is used to determine the strike implied. Formula: Atmiv\*(1+(slope/1000+(deriv/1000\*(delta_100-50)/2))_(delta\*100-50)) For example, assume the following: | Field | Value | | --- | --- | | atmIvM1 | 30 | | slope | 1 | | deriv | 0.1 | | delta | 0.75 | | dte | 30 | Since we are finding the month 1 volatility the 30 day slope and derivative can be used: 30\*(1+(1/1000+(0.1/1000\*(0.75_100-50)/2))_(0.75\*100-50)) = 31.688 Example 2, assume: | Field | Value | | --- | --- | | 30dayatmiv | 32 | | infiniteATMIV | 28 | | slope | 1 | | deriv | 0.08 | | slopeInf | 2 | | derivInf | 0.1 | | delta | 0.25 | | dte | 90 | In this example we first need to interpolate the IV, slope and derivative between the 30 day and in the infinite. This is done by weighting the 30day \* 81% and the infinite 19% (see below). IV = 0.81 \_ 32 + 0.19 \_ 28 = 31.26 Slope = 0.81 \_ 1 + 0.19 \_ 2 = 1.19 Derivative = 0.81 \_ 0.1 + 0.19 \_ 0.08 = 0.084 Implied volatility at 25 delta: 31.26\*(1+(1.19/1000+(0.084/1000\*(0.25_100-50)/2))_(0.25\*100-50))=31.15 NEW - Finding the interpolation weightings between the 30 day and in the infinite: The weightings are found by first calculating the target days difference between the 30 day and 2 year (used for infinite days to expiration). For DTE < 30 us the 30 day reading. For DTE> 730 (2\*365) us the infinite reading alone. For those DTE between 30 and 730 use the following method: 1. Calculate the square roots for 30 days, 730 days and the target date, here 90 days. 2. Total the absolute difference between square roots of the target DTE and 30 and 730. 3. The weighting for each is the complement of the difference divided by the total error. | | DTE | Sqrt | Errors | Weight | | --- | --- | --- | --- | --- | | Target | 90 | 9.49 | | | | 30 DTE | 30 | 5.48 | 4.01 | 0.81 | | Infinite | 720 | 27.02 | 17.53 | 0.19 | | Total Errors | | | 21.54 | | In the example of finding the weights for 90 DTE: 1. The square root of 90 is 9.49, of 30 is 5.48 and of 730 is 27.02. 2. The total errors is (9.49-5.48)=4.01 plus (27.02-9.49)=17.53 total is 21.54. 3. The complement for the 30 day is 17.53/21.54=.81 and the infinite is .19 Thus to find a weighted 30 day and in the infinite, multiply each reading by the above ratios. [Assessing the First Earnings Month’s IV](https://orats.com/docs/core-research#assessing-the-first-earnings-month-s-iv) ------------------------------------------------------------------------------------------------------------------------ The first expiration after the earnings announcement is the most important for earnings traders. ORATS identifies the implied volatility of the first expiration and compares this to the following two IVs to assess under or overvalued. 1. Ex-earnings implied volatility of the first expiration after earnings plus the implied earnings effect and 2. The term structure of ATM IV are simultaneously solved with a short term and long term points, earnings effect added to months after earnings announcements, and a 45-day additional adjustment. After the term solve, the additional earnings effect on the months after earnings announcement are displayed. Related Data Point(s): fairVol90d, fairXieeVol90d, fairMth2XieeVol90d, impErnMv90d, impErnMvMth290d [The Rip Value](https://orats.com/docs/core-research#the-rip-value) -------------------------------------------------------------------- When on the floor Matt Amberson noticed experienced traders paying more than theoretical value for certain low priced options. Also, these traders would not hedge all the theoretical deltas from these options. The options seemed to have a low price but would vary between stocks. I set out to define what this level was and the result was the Rip Value. The Rip Value is the value where traders would start to pay more for options and also start to take deltas out of their positions. ORATS uses the Rip for these two methods and also as a trigger to exit options in the backtesting platform. The specific formula and implementation techniques can be had by contacting [matt@orats.com](mailto:matt@orats.com) . Related Data Point(s): rip [Correlation to SPY and ETF](https://orats.com/docs/core-research#correlation-to-spy-and-etf) ---------------------------------------------------------------------------------------------- ORATS presents the correlation to the SPY and the related ETF for one month and one year. Related Data Point(s): correlSpy1m, correlSpy1y, correlEtf1m, correlEtf1y [Beta to SPY](https://orats.com/docs/core-research#beta-to-spy) ---------------------------------------------------------------- ORATS presents the traditional beta calculation of the stock to the SPY for one year. Related Data Point(s): beta1m, beta1y [Percentile Analysis](https://orats.com/docs/core-research#percentile-analysis) -------------------------------------------------------------------------------- It is useful to see where the current reading of a variable is in relation to a time series of observations. The percentile takes all the observations, sorts them, and makes an assessment of where the current reading is on that list. To calculate percentile, you sort the list of numbers. Then you find the number in question from the list and take that index and divided by the length of the list. So an example of getting the current percentile of IV = 15 from the list of \[8,15,12,10,6,20,25,30\]. Sort the list \[6,8,10,12,15,20,25,30\]. Find the index number IV= 15 in the list, which is 5th index. The percentile = 5 / 8 = 62.5% Related Data Point(s): ivPctile1m, ivPctile1y, ivPctileSpy, ivPctileEtf [IV Ratios to SPY and ETF](https://orats.com/docs/core-research#iv-ratios-to-spy-and-etf) ------------------------------------------------------------------------------------------ It is useful to monitor the ratio of the stock implied volatility to the SPY and related ETF. ORATS presents the ratio and the average of the ratio over time and the standard deviation of the ratio. Related Data Point(s): ivSpyRatio, ivSpyRatioAvg1m, ivSpyRatioAvg1y, ivSpyRatioStdv1y, ivEtfRatio, ivEtfRatioAvg1m, ivEtfRatioAvg1y, ivEtFratioStdv1y [IV HV Ratios](https://orats.com/docs/core-research#iv-hv-ratios) ------------------------------------------------------------------ Another important indicator is how the implied volatility is trading in relation to the historical volatility. It is useful to compare that ratio to the related ETF ratio to see if the ratio is high or low. Related Data Point(s): ivHvXernRatio, ivHvXernRatio1m, ivHvXernRatio1y, ivHvXernRatioStdv1y, etfIvHvXernRatio, etfIvHvXernRatio1m, etfIvHvXernRatio1y, etfIvHvXernRatioStdv1y [Residual Measurements from Put Call Parity](https://orats.com/docs/core-research#residual-measurements-from-put-call-parity) ------------------------------------------------------------------------------------------------------------------------------ ORATS measurements of implied volatility include equating the call and put implied volatilities by solving for residual yield. Options pricing formulas use a risk-free yield and a dividend yield to produce a theoretical option value. ORATS holds the other inputs in the pricing formula and solves for the residual yield, the remaining yield after interest and dividends. Deconstructing residual yield produces approximations of the implied dividends and the implied borrow rate in market options prices. Related Data Point(s): impliedNextDiv, annActDiv, annIdiv, error, confidence [Borrow Rate](https://orats.com/docs/core-research#borrow-rate) ---------------------------------------------------------------- This observation is calculated by averaging the following calculation performed for each strike that is traded for a specific underlying asset: Average of the call market bid ask prices minus the call theoretical value plus the average of the put market bid ask prices minus the put theoretical value. Theoretical values are computed using the following inputs: publicly announced inputs for interest and dividends; and volatility based on the implied volatility of the average of the market bid ask prices. Higher values for Borrow indicate that the option prices are implying that any or all of the following inputs are different than what is expected: interest, dividends, and hedge price. Related Data Point(s): borrow30, borrow2yr [Earnings Announcement Historical Dates and Moves](https://orats.com/docs/core-research#earnings-announcement-historical-dates-and-moves) ------------------------------------------------------------------------------------------------------------------------------------------ ORATS presents the past 12 earnings dates and earnings information. Related Data Point(s): ernDate1, ernDate2, ernDate3, ernDate12 [Current Straddle Pricing](https://orats.com/docs/core-research#current-straddle-pricing) ------------------------------------------------------------------------------------------ ORATS presents the current straddle pricing from the at-the-money options along with the strike used in pricing, and the theoretical prices from smoothed and forecasted volatility surfaces. As earnings announcement date nears, the current prices can be compared to historical dates the day before earnings. Related Data Point(s): ernStraPct1, straPxM1, smoothStraPxM1, fcstStraPxM1, loStrikeM1 [Forward Implied Volatility](https://orats.com/docs/core-research#forward-implied-volatility) ---------------------------------------------------------------------------------------------- The 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. ORATS calculates forwards using the neighboring constant maturity implied volatilities 20, 30, 60, 90 and 180 days and the 30 to 90 day period. Related Data Point(s): fwd30\_20, fwd60\_30 [Flat Forward Implied Volatility](https://orats.com/docs/core-research#flat-forward-implied-volatility) -------------------------------------------------------------------------------------------------------- The 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. ORATS calculates flat forwards using the neighboring constant maturity implied volatilities 20, 30, 60, 90 and 180 days and the 30 to 90 day period. Related Data Point(s): ffwd30\_20, ffwd60\_30 [Flat Forward Divided by Forward Implied Volatility](https://orats.com/docs/core-research#flat-forward-divided-by-forward-implied-volatility) ---------------------------------------------------------------------------------------------------------------------------------------------- The flat forward volatility divided by the forward volatility can produce meaningful signals on future volatility behavior of the underlying instrument based on IV levels of the term structure. ORATS calculates flat forwards divided by forwards using on the neighboring constant maturity implied volatilities 20, 30, 60, 90 and 180 days and the 30 to 90 day period. Related Data Point(s): fbfwd30\_20, fbfwd60\_30 [Ex-Earnings Forward Implied Volatility](https://orats.com/docs/core-research#ex-earnings-forward-implied-volatility) ---------------------------------------------------------------------------------------------------------------------- The forward volatility is a measure of the implied ex-earnings volatility over a period in the future extracted from IV at the beginning of that period and the end of that period. ORATS calculates forwards using the neighboring constant maturity implied ex-earnings volatilities 20, 30, 60, 90 and 180 days and the 30 to 90 day period. Related Data Point(s): fexErn30\_20, fexErn60\_30 [Ex-Earnings Flat Forward Implied Volatility](https://orats.com/docs/core-research#ex-earnings-flat-forward-implied-volatility) -------------------------------------------------------------------------------------------------------------------------------- The flat forward ex-earnings volatility is a measure of the implied ex-earnings 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. ORATS calculates flat forwards using the neighboring constant maturity implied ex-earnings volatilities 20, 30, 60, 90 and 180 days and the 30 to 90 day period. Related Data Point(s): ffexErn30\_20-20, ffexErn60\_30 [Ex-Earnings Flat Forward Divided by Forward Implied Volatility](https://orats.com/docs/core-research#ex-earnings-flat-forward-divided-by-forward-implied-volatility) ---------------------------------------------------------------------------------------------------------------------------------------------------------------------- The flat forward ex-earnings volatility divided by the forward ex-earnings volatility can produce meaningful signals on future ex-earnings volatility behavior of the underlying instrument based on IV levels of the term structure. ORATS calculates flat forwards divided by forwards using on the neighboring constant maturity implied ex-earnings volatilities 20, 30, 60, 90 and 180 days and the 30 to 90 day period. Related Data Point(s): fbfexErn30\_20, fbfexErn60\_30 [Other Research](https://orats.com/docs/core-research#other-research) ---------------------------------------------------------------------- It is often useful to eliminate potential and actual takeover targets from scanning and research. ORATS has methods for identifying potential targets and makes assessments whether it would serve our customers to include these stocks in the list. When identifying stocks on which to trade options, it is often important to consider liquidity. ORATS calculates the average option volume over the last 20 days. Related Data Point(s): avgOptVolu20d, tkOver Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Definitions - ORATS API Reference [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Definitions =========== The following field definitions are organized by API endpoint. Because some fields are present in multiple endpoints, you may see the same definition twice. The fields may have different names because they are in different endpoints, but the definitions are still correct. [Strikes](https://orats.com/docs/definitions#strikes) ------------------------------------------------------ | Field | Definition | | --- | --- | | ticker | underlying symbol | | tradeDate | trade date | | expirDate | expiration date | | dte | days to expiration | | strike | option strike | | stockPrice | stock price | | callVolume | call option volume | | callOpenInterest | call open interest | | callBidSize | call bid size | | callAskSize | call ask size | | putVolume | put option volume | | putOpenInterest | put open interest | | putBidSize | put bid size | | putAskSize | put ask size | | callBidPrice | call bid price | | callValue | call theoretical value based on smooth volatility | | callAskPrice | call ask price | | putBidPrice | put bid price | | putValue | put theoretical value | | putAskPrice | put ask price | | callBidIv | call bid implied volatility | | callMidIv | call mid implied volatility | | callAskIv | call ask implied volatility | | smvVol | ORATS final implied Volatility | | putBidIv | put bid implied volatility | | putMidIv | put mid implied volatility | | putAskIv | put ask implied volatility | | residualRate | implied interest rate data | | delta | delta | | gamma | gamma | | theta | theta | | vega | vega | | rho | rho | | phi | phi | | driftlessTheta | time decay without taking in drift in underlying | | extSmvVol | external volatility | | extCallValue | external call theoretical price | | extPutValue | external put theoretical price | | spotPrice | spot price of the index | | updatedAt | date and time of data updated | [Monies Implied](https://orats.com/docs/definitions#monies-implied) -------------------------------------------------------------------- | Field | Definition | | --- | --- | | ticker | underlying symbol | | tradeDate | trade date | | expirDate | expiration date | | stockPrice | stock price | | riskFreeRate | continuous interest (risk-free) rate | | yieldRate | continuous dividend yield of discrete dividend’s NPV | | residualYieldRate | adjustment amount for the dividend yield at the .50 call delta -0.055 Implied rate means -5.5%. | | residualRateSlp | slope of the residual rate linear regression. A particular call delta total div yield = div yield + (cdelta - .5) \* slope. | | residualR2 | r^2 of the residual rate linear regression | | confidence | portion of the delta range "covered" by market data (dependent on the "width") | | mwVol | ATM weighted market width in implied volatility terms | | vol100 | seed volatility at the 100 call delta | | vol95 | seed volatility at the 95 call delta | | vol90 | seed volatility at the 90 call delta | | vol85 | seed volatility at the 85 call delta | | vol80 | seed volatility at the 80 call delta | | vol75 | seed volatility at the 75 call delta | | vol70 | seed volatility at the 70 call delta | | vol65 | seed volatility at the 65 call delta | | vol60 | seed volatility at the 60 call delta | | vol55 | seed volatility at the 55 call delta | | vol50 | seed volatility at the 50 call delta | | vol45 | seed volatility at the 45 call delta | | vol40 | seed volatility at the 40 call delta | | vol35 | seed volatility at the 35 call delta | | vol30 | seed volatility at the 30 call delta | | vol25 | seed volatility at the 25 call delta | | vol20 | seed volatility at the 20 call delta | | vol15 | seed volatility at the 15 call delta | | vol10 | seed volatility at the 10 call delta | | vol5 | seed volatility at the 5 call delta | | vol0 | seed volatility at the 0 call delta | | atmiv | implied volatility for month 1 | | slope | best-fit regression line through the strike. volatilities adjusted to the tangent slope at the 50 delta. | | deriv | derivative or curvature of the monthly strikes at 28 day interpolated | | fit | the at the money monthly fit volatility | | spotPrice | spot price of the index | | calVol | smoothed at-the-money term structure implied volatility | | unadjVol | smoothed at-the-money term structure implied volatility taking out the earnings effect | | earnEffect | market implied earnings effect | | updatedAt | date and time of data updated | [Monies Forecast](https://orats.com/docs/definitions#monies-forecast) ---------------------------------------------------------------------- | Field | Definition | | --- | --- | | ticker | underlying symbol | | tradeDate | trade date | | expirDate | expiration date | | stockPrice | stock price | | riskFreeRate | continuous interest (risk-free) rate | | vol100 | seed volatility at the 100 call delta | | vol95 | seed volatility at the 95 call delta | | vol90 | seed volatility at the 90 call delta | | vol85 | seed volatility at the 85 call delta | | vol80 | seed volatility at the 80 call delta | | vol75 | seed volatility at the 75 call delta | | vol70 | seed volatility at the 70 call delta | | vol65 | seed volatility at the 65 call delta | | vol60 | seed volatility at the 60 call delta | | vol55 | seed volatility at the 55 call delta | | vol50 | seed volatility at the 50 call delta | | vol45 | seed volatility at the 45 call delta | | vol40 | seed volatility at the 40 call delta | | vol35 | seed volatility at the 35 call delta | | vol30 | seed volatility at the 30 call delta | | vol25 | seed volatility at the 25 call delta | | vol20 | seed volatility at the 20 call delta | | vol15 | seed volatility at the 15 call delta | | vol10 | seed volatility at the 10 call delta | | vol5 | seed volatility at the 5 call delta | | vol0 | seed volatility at the 0 call delta | | updatedAt | date and time of data updated | [Summaries](https://orats.com/docs/definitions#summaries) ---------------------------------------------------------- | Field | Definition | | --- | --- | | ticker | underlying symbol | | tradeDate | trade date | | stockPrice | stock price | | annActDiv | annual dividend from the next year of expected dividends | | annIdiv | annual implied dividend given options prices put call parity | | borrow30 | implied hard-to-borrow interest rate at 30 days to expiration given options prices put call parity | | borrow2y | implied hard-to-borrow interest rate at two years to expiration given options prices put call parity | | confidence | total weighted confidence from the monthly implied volatilities derived from each month’s number of options and bid ask width of the options markets | | exErnIv10d | implied 10 calendar day interpolated implied volatility with earnings effect out | | exErnIv20d | implied 20 calendar day interpolated implied volatility with earnings effect out | | exErnIv30d | implied 30 calendar day interpolated implied volatility with earnings effect out | | exErnIv60d | implied 60 calendar day interpolated implied volatility with earnings effect out | | exErnIv90d | implied 90 calendar day interpolated implied volatility with earnings effect out | | exErnIv6m | implied 6 month interpolated implied volatility with earnings effect out | | exErnIv1y | implied one year interpolated implied volatility with earnings effect out | | ieeEarnEffect | implied earnings effect (percentage of expected normal move) to make the best-fit term structure of the month implied volatilities | | impliedMove | percentage stock move in the implied earnings effect to make the best-fit term structure of the month implied volatilities | | impliedNextDiv | next implied dividend given options prices put call parity | | iv10d | 10 calendar day interpolated implied volatility | | iv20d | 20 calendar day interpolated implied volatility | | iv30d | 30 calendar day interpolated implied volatility | | iv60d | 60 calendar day interpolated implied volatility | | iv90d | 90 calendar day interpolated implied volatility | | iv6m | 6 month interpolated implied volatility | | iv1y | one year interpolated implied volatility | | mwAdj30 | ATM weighted market width in implied volatility terms interpolated to 30 calendar days to expiration | | mwAdj2y | ATM weighted market width in implied volatility terms interpolated to 2 years to expiration | | nextDiv | next dividend amount | | rDrv30 | derivative or curvature of the monthly strikes at 30 day interpolated. The derivative is the change in the slope for every 10 delta increase in the call delta | | rDrv2y | derivative infinite implied | | rSlp30 | best-fit regression line through the strike volatilities adjusted to the tangent slope at the 50 delta. The slope is the change in the implied volatility for every 10 delta increase in the call delta | | rSlp2y | implied infinite slope | | rVol30 | implied volatility at 30 days interpolated | | rVol2y | implied volatility at 2 year interpolated | | rip | dollar amount of options to start ignoring in delta calculation | | riskFree30 | continuous interest (risk-free) rate interpolated to 30 calendar days to expiration | | riskFree2y | continuous interest (risk-free) rate interpolated to 2 years to expiration | | skewing | Skewing is the difference between rVol30 and adjusted rVol2y where sqrtMinDays is 45 \* 0.5. ((rVol30 - rVol2y \* (1 - 1/sqrtMinDays)) \* sqrtMinDays) | | contango | short-term contango of at-the-money implied volatilities ex-earnings | | totalErrorConf | total weighted squared error times the confidence in the monthly implied volatility | | dlt5Iv10d | 10 calendar day interpolated implied volatility at the 5 delta | | dlt5Iv20d | 20 calendar day interpolated implied volatility at the 5 delta | | dlt5Iv30d | 30 calendar day interpolated implied volatility at the 5 delta | | dlt5Iv60d | 60 calendar day interpolated implied volatility at the 5 delta | | dlt5Iv90d | 90 calendar day interpolated implied volatility at the 5 delta | | dlt5Iv6m | 180 calendar day interpolated implied volatility at the 5 delta | | dlt5Iv1y | 365 calendar day interpolated implied volatility at the 5 delta | | exErnDlt5Iv10d | 10 calendar day interpolated implied volatility at the 5 delta with earnings effects removed | | exErnDlt5Iv20d | 20 calendar day interpolated implied volatility at the 5 delta with earnings effects removed | | exErnDlt5Iv30d | 30 calendar day interpolated implied volatility at the 5 delta with earnings effects removed | | exErnDlt5Iv60d | 60 calendar day interpolated implied volatility at the 5 delta with earnings effects removed | | exErnDlt5Iv90d | 90 calendar day interpolated implied volatility at the 5 delta with earnings effects removed | | exErnDlt5Iv6m | 180 calendar day interpolated implied volatility at the 5 delta with earnings effects removed | | exErnDlt5Iv1y | 365 calendar day interpolated implied volatility at the 5 delta with earnings effects removed | | dlt25Iv10d | 10 calendar day interpolated implied volatility at the 25 delta | | dlt25Iv20d | 20 calendar day interpolated implied volatility at the 25 delta | | dlt25Iv30d | 30 calendar day interpolated implied volatility at the 25 delta | | dlt25Iv60d | 60 calendar day interpolated implied volatility at the 25 delta | | dlt25Iv90d | 90 calendar day interpolated implied volatility at the 25 delta | | dlt25Iv6m | 180 calendar day interpolated implied volatility at the 25 delta | | dlt25Iv1y | 365 calendar day interpolated implied volatility at the 25 delta | | exErnDlt25Iv10d | 10 calendar day interpolated implied volatility at the 25 delta with earnings effects removed | | exErnDlt25Iv20d | 20 calendar day interpolated implied volatility at the 25 delta with earnings effects removed | | exErnDlt25Iv30d | 30 calendar day interpolated implied volatility at the 25 delta with earnings effects removed | | exErnDlt25Iv60d | 60 calendar day interpolated implied volatility at the 25 delta with earnings effects removed | | exErnDlt25Iv90d | 90 calendar day interpolated implied volatility at the 25 delta with earnings effects removed | | exErnDlt25Iv6m | 180 calendar day interpolated implied volatility at the 25 delta with earnings effects removed | | exErnDlt25Iv1y | 365 calendar day interpolated implied volatility at the 25 delta with earnings effects removed | | dlt75Iv10d | 10 calendar day interpolated implied volatility at the 75 delta | | dlt75Iv20d | 20 calendar day interpolated implied volatility at the 75 delta | | dlt75Iv30d | 30 calendar day interpolated implied volatility at the 75 delta | | dlt75Iv60d | 60 calendar day interpolated implied volatility at the 75 delta | | dlt75Iv90d | 90 calendar day interpolated implied volatility at the 75 delta | | dlt75Iv6m | 180 calendar day interpolated implied volatility at the 75 delta | | dlt75Iv1y | 365 calendar day interpolated implied volatility at the 75 delta | | exErnDlt75Iv10d | 10 calendar day interpolated implied volatility at the 75 delta with earnings effects removed | | exErnDlt75Iv20d | 20 calendar day interpolated implied volatility at the 75 delta with earnings effects removed | | exErnDlt75Iv30d | 30 calendar day interpolated implied volatility at the 75 delta with earnings effects removed | | exErnDlt75Iv60d | 40 calendar day interpolated implied volatility at the 75 delta with earnings effects removed | | exErnDlt75Iv90d | 50 calendar day interpolated implied volatility at the 75 delta with earnings effects removed | | exErnDlt75Iv6m | 180 calendar day interpolated implied volatility at the 75 delta with earnings effects removed | | exErnDlt75Iv1y | 365 calendar day interpolated implied volatility at the 75 delta with earnings effects removed | | dlt95Iv10d | 10 calendar day interpolated implied volatility at the 95 delta | | dlt95Iv20d | 20 calendar day interpolated implied volatility at the 95 delta | | dlt95Iv30d | 30 calendar day interpolated implied volatility at the 95 delta | | dlt95Iv60d | 60 calendar day interpolated implied volatility at the 95 delta | | dlt95Iv90d | 90 calendar day interpolated implied volatility at the 95 delta | | dlt95Iv6m | 180 calendar day interpolated implied volatility at the 95 delta | | dlt95Iv1y | 365 calendar day interpolated implied volatility at the 95 delta | | exErnDlt95Iv10d | 10 calendar day interpolated implied volatility at the 95 delta with earnings effects removed | | exErnDlt95Iv20d | 20 calendar day interpolated implied volatility at the 95 delta with earnings effects removed | | exErnDlt95Iv30d | 30 calendar day interpolated implied volatility at the 95 delta with earnings effects removed | | exErnDlt95Iv60d | 60 calendar day interpolated implied volatility at the 95 delta with earnings effects removed | | exErnDlt95Iv90d | 90 calendar day interpolated implied volatility at the 95 delta with earnings effects removed | | exErnDlt95Iv6m | 180 calendar day interpolated implied volatility at the 95 delta with earnings effects removed | | exErnDlt95Iv1y | 365 calendar day interpolated implied volatility at the 95 delta with earnings effects removed | | fwd30\_20 | The forward volatility extracted from the 30 day and 20 day implied volatility | | fwd60\_30 | The forward volatility extracted from the 60 day and 30 day implied volatility | | fwd90\_60 | The forward volatility extracted from the 90 day and 60 day implied volatility | | fwd180\_90 | The forward volatility extracted from the 180 day and 90 day implied volatility | | fwd90\_30 | The forward volatility extracted from the 90 day and 30 day implied volatility | | fexErn30\_20 | The forward ex-earnings volatility extracted from the 30 day and 20 day implied ex-earnings volatility | | fexErn60\_30 | The forward ex-earnings volatility extracted from the 60 day and 30 day implied ex-earnings volatility | | fexErn90\_60 | The forward ex-earnings volatility extracted from the 90 day and 60 day implied ex-earnings volatility | | fexErn180\_90 | The forward ex-earnings volatility extracted from the 180 day and 90 day implied ex-earnings volatility | | fexErn90\_30 | The forward ex-earnings volatility extracted from the 90 day and 30 day implied ex-earnings volatility | | ffwd30\_20 | The flat forward volatility extracted from the 30 day and 20 day implied volatility | | ffwd60\_30 | The flat forward volatility extracted from the 60 day and 30 day implied volatility | | ffwd90\_60 | The flat forward volatility extracted from the 90 day and 60 day implied volatility | | ffwd180\_90 | The flat forward volatility extracted from the 180 day and 90 day implied volatility | | ffwd90\_30 | The flat forward volatility extracted from the 90 day and 30 day implied volatility | | ffexErn30\_20 | The flat forward ex-earnings volatility extracted from the 30 day and 20 day implied ex-earnings volatility | | ffexErn60\_30 | The flat forward ex-earnings volatility extracted from the 60 day and 30 day implied ex-earnings volatility | | ffexErn90\_60 | The flat forward ex-earnings volatility extracted from the 90 day and 60 day implied ex-earnings volatility | | ffexErn180\_90 | The flat forward ex-earnings volatility extracted from the 180 day and 90 day implied ex-earnings volatility | | ffexErn90\_30 | The flat forward ex-earnings volatility extracted from the 90 day and 30 day implied ex-earnings volatility | | fbfwd30\_20 | The flat forward volatility divided by the forward volatility both extracted from the 30 day and 20 day implied volatility | | fbfwd60\_30 | The flat forward volatility divided by the forward volatility both extracted from the 60 day and 30 day implied volatility | | fbfwd90\_60 | The flat forward volatility divided by the forward volatility both extracted from the 90 day and 60 day implied volatility | | fbfwd180\_90 | The flat forward volatility divided by the forward volatility both extracted from the 180 day and 90 day implied volatility | | fbfwd90\_30 | The flat forward volatility divided by the forward volatility both extracted from the 90 day and 30 day implied volatility | | fbfexErn30\_20 | The flat forward ex-earnings volatility divided by the forward ex-earnings volatility both extracted from the 30 day and 20 day implied ex-earnings volatility | | fbfexErn60\_30 | The flat forward ex-earnings volatility divided by the forward ex-earnings volatility both extracted from the 60 day and 30 day implied ex-earnings volatility | | fbfexErn90\_60 | The flat forward ex-earnings volatility divided by the forward ex-earnings volatility both extracted from the 90 day and 60 day implied ex-earnings volatility | | fbfexErn180\_90 | The flat forward ex-earnings volatility divided by the forward ex-earnings volatility both extracted from the 180 day and 90 day implied ex-earnings volatility | | fbfexErn90\_30 | The flat forward ex-earnings volatility divided by the forward ex-earnings volatility both extracted from the 90 day and 30 day implied ex-earnings volatility | | impliedEarningsMove | percentage stock move in the implied earnings effect to make the best-fit term structure of the month implied volatilities | | updatedAt | date and time of data updated | [Cores](https://orats.com/docs/definitions#cores) -------------------------------------------------- | Field | Definition | | --- | --- | | ticker | underlying symbol | | tradeDate | trade date | | assetType | characterizes stock as easy-to-borrow (ETB), hard-to-borrow (HTB), dividend paying, stock ETF or Index with these codes: 0 - ETB\_NO\_DIV 1 - HTB 2 - HTB\_DIV\_PAYING 3 - ETB\_DIV\_PAYING 4 - INDEX 5 - ETF 6 - VIX\_STYLE\_EX 7 - ETF\_QDIV\_ON\_EX 8 - ETF\_MDIV\_ON\_EX 9 - INDEX\_AMER\_EX | | priorCls | closing price on the prior trading day | | pxAtmIv | stock price taken at time of IV calculation | | mktCap | market capitalization (shares outstanding \* stock price) (in 000s) | | cVolu | today’s call option volume for all strikes for the current trading day | | cOi | total call open interest | | pVolu | today’s put option volume for all strikes | | pOi | total put open interest | | orFcst20d | ORATS forecast of stock volatility for the next 20 days based on data with earnings taken out. The forecasts of the next 20 trading days of statistical/historical volatility are developed using short term ex-earnings historical volatility; ex earnings implied volatility and the IV HV relationships, related ETF HV IV relationships | | orIvFcst20d | ORATS forecast of implied volatility in 20 days with earnings taken out. Could be compared to ORATS 20d IV implied volatility.The forecasts of the implied volatility in 20 trading days are developed using ex-earnings historical volatility; ex earnings implied volatility and the IV HV relationships, related ETF HV IV relationships | | orFcstInf | ORATS forecast of the infinite implied volatility. Could be compared to actual implied volatility or actual infinite. The forecasts of the two year implied volatility are developed using long term ex-earnings historical volatility, ex-earnings implied volatility and the IV HV relationships, related ETF HV IV relationships | | orIvXern20d | 20 business day interpolated implied option volatility with earnings effect taken out (orIvXern) | | orIvXernInf | ORATS long term implied volatility parameter solve of term structure at 2 year out with 30 calendar day parameter and earnings effect out | | iv200Ma | 200 day moving average of the ORATS 20day ex-earn implied volatility | | atmIvM1 | implied volatility for the first standard expiration | | atmFitIvM1 | the at-the-money monthly fit volatility for month 1 using the term structure of the forecast and the implied at-the-money volatility | | atmFcstIvM1 | forecast of volatility for month 1 using the ex-earnings forecast plus the earnings effect at this days to expiration | | dtExM1 | days to expiration in month 1 standard expiration (not weekly or quarterly expirations) | | atmIvM2 | implied volatility for month 2 | | atmFitIvM2 | at-the-money monthly fit volatility for month 2 | | atmFcstIvM2 | forecast of volatility for month 2 | | dtExM2 | days to expiration in month 2 | | atmIvM3 | implied volatility for month 3 | | atmFitIvM3 | at-the-money monthly fit volatility for month 3 | | atmFcstIvM3 | forecast of volatility for month 3 | | dtExM3 | days to expiration in month 3 | | atmIvM4 | implied volatility for month 4 | | atmFitIvM4 | at-the-money monthly fit volatility for month 4 | | atmFcstIvM4 | forecast of volatility for month 4 | | dtExM4 | days to expiration in month 4 | | iRate5wk | short term risk-free interest rate from treasuries | | iRateLt | long term risk-free interest rate from treasuries | | px1kGam | estimated cost of 1000 gamma per day for 30-day options | | volOfVol | annualized standard deviation of daily (1day ORATS intraday vol) statistical volatility for one year | | volOfIvol | annualized standard deviation of the ORATS ex-earnings 30 day implied. | | slope | best-fit regression line through the strike volatilities adjusted to the tangent slope at the 50 delta. The slope is the change in the implied volatility for every 10 delta increase in the call delta | | slopeInf | implied infinite slope | | slopeFcst | ORATS forecast of the slope of implied volatility skew. Could be compared to the actual slope | | slopeFcstInf | slope forecast infinite | | deriv | derivative or curvature of the monthly strikes at 30 day interpolated. The derivative is the change in the slope for every 10 delta increase in the call delta | | derivInf | derivative infinite implied | | derivFcst | forecast derivative at 30 day interpolated | | derivFcstInf | forecast infinite derivative | | mktWidthVol | market width in implied vol points at the interpolated 30 days to expiration | | mktWidthVolInf | market width in implied vol points at the interpolated 2 years to expiration | | cAddPrem | deprecated item. | | pAddPrem | deprecated item. | | rip | dollar amount of options to start ignoring in delta calculation | | ivEarnReturn | average of the volatility day of and day after earnings / implied day before divided by implied day before / implied day after | | fcstR2 | goodness of fit of the 20-day forecast to the 20-day future statistical volatility | | fcstR2Imp | goodness of fit of the implied forecast vs actual implied in 20 days | | hiHedge | deprecated item | | loHedge | deprecated item | | stkVolu | total stock volume for an underlyer | | avgOptVolu20d | average for the last 20 days of total options volume for the symbol | | sector | sector as derived by cusip number | | orHv1d | 1-day historical intraday volatility | | orHv5d | 5-day historical intraday volatility | | orHv10d | 10-day historical intraday volatility | | orHv20d | 20-day historical intraday volatility | | orHv60d | 60-day historical intraday volatility | | orHv90d | 90-day historical intraday volatility | | orHv120d | 120-day historical intraday volatility | | orHv252d | 252-day historical intraday volatility | | orHv500d | 500-day historical intraday volatility | | orHv1000d | 1000-day historical intraday volatility | | clsHv5d | 5-day historical close to close volatility | | clsHv10d | 10-day historical close to close volatility | | clsHv20d | 20-day historical close to close volatility | | clsHv60d | 60-day historical close to close volatility | | clsHv90d | 90-day historical close to close volatility | | clsHv120d | 120-day historical close to close volatility | | clsHv252d | 252-day historical close to close volatility | | clsHv500d | 500-day historical close to close volatility | | clsHv1000d | 1000-day historical close to close volatility | | iv20d | 20 calendar day interpolated implied volatility | | iv30d | 30 calendar day interpolated implied volatility | | iv60d | 60 calendar day interpolated implied volatility | | iv90d | 90 calendar day interpolated implied volatility | | iv6m | 6 month interpolated implied volatility | | clsPx1w | stock price at the prior week (5 trading days ago) | | stkPxChng1wk | stock price change over the prior week (5 trading days) | | clsPx1m | stock price at the prior month (21 trading days ago) | | stkPxChng1m | stock price change over the prior month (21 trading days) | | clsPx6m | stock price at the prior 6 months (252/2) trading days ago | | stkPxChng6m | stock price change over the prior 6 months (252/2) trading days | | clsPx1y | stock price at the prior year (252 trading days ago) | | stkPxChng1y | stock price change over the prior year (252 trading days) | | divFreq | number of dividends per year | | divYield | annualized dividends divided by stock price | | divGrwth | slope of the forecasted dividends annualized | | divDate | next dividend date is available through another subscription | | divAmt | dividend amount. | | nextErn | next earnings date is available through another subscription | | nextErnTod | deprecated item | | lastErn | last earnings date | | lastErnTod | time of day earnings released: Before-2, After-3, During-4, Unknown-1 | | absAvgErnMv | average Earnings Move percentage: an average of the absolute values of the stock price moves corresponding to the time of the next earnings announcement | | impliedIee | market implied earnings effect is found by solving for a term structure equation where the earnings effects adjust the months affected by earnings | | daysToNextErn | deprecated item. | | tkOver | 0 - Not a takeover. 1 - A takeover or rumored takeover stock | | etfIncl | ETFs where the symbol is a component pipe delimited if multiple | | bestEtf | closest SPDR Sector ETF (default to SPY or RUT if none) | | sectorName | short name of the sector | | correlSpy1m | ORATS 30 day implied volatility ex-earnings (orIvXern) correlation with SPY one month | | correlSpy1y | ORATS 30 day implied volatility ex-earnings (orIvXern) correlation with SPY one year | | correlEtf1m | orIvXern correlation with the Best ETF 30 day IV over the last month | | correlEtf1y | orIvXern correlation with the SPDR Sector ETF 30 day IV over the last year | | beta1m | short term price beta with SPY for 30 calendar days | | beta1y | long term price beta, 365 calendar days | | ivPctile1m | percentile of the current orIvXern vs. month range | | ivPctile1y | percentile of the current orIvXern vs. year range | | ivPctileSpy | percentile of the current orIvXern / SPY vs. year range | | ivPctileEtf | percentile of the current ETF orIvXern vs. year range | | ivStdvMean | number of stdevs the orIvXern is away from mean for the year | | ivStdv1y | standard deviation of the orIvXern for the year | | ivSpyRatio | orIvXern divided by SPY 30 day ORATS implied volatility | | ivSpyRatioAvg1m | orIvXern divided by SPY 30 day ORATS implied volatility 30 day average | | ivSpyRatioAvg1y | orIvXern divided by SPY 30 day ORATS implied volatility one year average | | ivSpyRatioStdv1y | orIvXern divided by SPY 30 day ORATS implied volatility one year standard deviation | | ivEtfRatio | orIvXern divided by ETF 30 day ORATS implied volatility | | ivEtfRatioAvg1m | orIvXern divided by ETF 30 day ORATS implied volatility 30 day average | | ivEtfRatioAvg1y | orIvXern divided by ETF 30 day ORATS implied volatility one year average | | ivEtFratioStdv1y | orIvXern divided by ETF 30 day ORATS implied volatility one year standard deviation | | ivHvXernRatio | orIvXern / orHvXern20d Ratio | | ivHvXernRatio1m | orIvXern / orHvXern20d Ratio vs monthly average | | ivHvXernRatio1y | orIvXern / orHvXern20d Ratio vs yearly average | | ivHvXernRatioStdv1y | orIvXern / orHvXern20d Ratio vs yearly range standard deviation | | etfIvHvXernRatio | orIvXern / orHvXern20d Ratio divided by ETF 30day implied / orHv20d ratio. | | etfIvHvXernRatio1m | orIvXern / orHvXern20d Ratio divided by ETF 30day implied / orHv20d ratio month average. | | etfIvHvXernRatio1y | orIvXern / orHvXern20d Ratio divided by ETF 30day implied / orHv20d ratio year average | | etfIvHvXernRatioStdv1y | orIvXern / orHvXern20d Ratio divided by ETF 30day implied / orHv20d ratio year standard deviation | | slopepctile | one-year percentile for the slope | | slopeavg1m | slope average for trailing month | | slopeavg1y | slope average for trailing year | | slopeStdv1y | standard deviation of the Slope | | etfSlopeRatio | slope divided by ETF slope current | | etfSlopeRatioAvg1m | slope divided by ETF slope month average | | etfSlopeRatioAvg1y | slope divided by ETF slope year average | | etfSlopeRatioAvgStdv1y | slope divided by ETF slope year standard deviation | | impliedR2 | regression formula goodness of fit of the 30 day ORATS implied volatility to the 20 day future statistical ex-earnings volatility | | contango | short-term contango of at-the-money implied volatilities ex-earnings | | nextDiv | next dividend amount | | impliedNextDiv | next implied dividend given options prices put call parity | | annActDiv | annual dividend from the next year of expected dividends | | annIdiv | annual implied dividend given options prices put call parity | | borrow30 | implied hard-to-borrow interest rate at 30 days to expiration given options prices put call parity | | borrow2yr | implied hard-to-borrow interest rate at two years to expiration given options prices put call parity | | error | total weighted squared error times the confidence in the monthly implied volatility | | confidence | total weighted confidence from the monthly implied volatilities derived from each month’s number of options and bid ask width of the options markets | | pxCls | underlying price at the last close | | wksNextErn | number of weeks until the next earnings announcement | | nextErnTod | deprecated item | | ernMnth | deprecated item | | avgOptVolu20d | average option volume for all strikes over the last 20 days | | oi | total open interest for all strikes. | | atmIvM1 | at-the-money implied volatility for month 1 interpolated using strikes weighted to at-the-money | | dtExM1 | days to expiration for month 1 | | atmIvM2 | at-the-money implied volatility for month 2 | | dtExm2 | Days to expiration for month 2 | | atmIvM3 | at-the-money implied volatility for month 3 | | dtExM3 | days to expiration for month 3 | | atmIvM4 | at-the-money implied volatility for month 4 | | dtExM4 | days to expiration for month 4 | | straPxM1 | straddle price for month 1 closest to the money strikes | | straPxM2 | straddle price for month 2 | | smoothStraPxM1 | straddle ORATS smooth theo for month 1 based on a smoothed line through all strikes | | smoothStrPxM2 | straddle ORATS smooth theo for month 2 | | fcstStraPxM1 | straddle ORATS Forecast theo for month 1 | | fcstStraPxM2 | straddle ORATS Forecast theo for month 2 | | loStrikeM1 | low strike of the straddle or strangle for month 1 | | hiStrikeM1 | high strike of the straddle or strangle for month 1 | | loStrikeM2 | low strike of the straddle or strangle for month 2 | | hiStrikeM2 | high strike of the straddle or strangle for month 2 | | ernDate1 | historical earnings date back 1 | | ernDate2 | historical earnings date back 2 | | ernDate3 | historical earnings date back 3 | | ernDate4 | historical earnings date back 4 | | ernDate5 | historical earnings date back 5 | | ernDate6 | historical earnings date back 6 | | ernDate7 | historical earnings date back 7 | | ernDate8 | historical earnings date back 8 | | ernDate9 | historical earnings date back 9 | | ernDate10 | historical earnings date back 10 | | ernDate11 | historical earnings date back 11 | | ernDate12 | historical earnings date back 12 | | ernMv1 | percentage move for earnings date back 1 | | ernMv2 | percentage move for earnings date back 2 | | ernMv3 | percentage move for earnings date back 3 | | ernMv4 | percentage move for earnings date back 4 | | ernMv5 | percentage move for earnings date back 5 | | ernMv6 | percentage move for earnings date back 6 | | ernMv7 | percentage move for earnings date back 7 | | ernMv8 | percentage move for earnings date back 8 | | ernMv9 | percentage move for earnings date back 9 | | ernMv10 | percentage move for earnings date back 10 | | ernMv11 | percentage move for earnings date back 11 | | ernMv12 | percentage move for earnings date back 12 | | ernStraPct1 | earn straddle price as a percent of the stock price for earnings date number 1 | | ernStraPct2 | earn straddle price as a percent of the stock price for earnings date number 2 | | ernStraPct3 | earn straddle price as a percent of the stock price for earnings date number 3 | | ernStraPct4 | earn straddle price as a percent of the stock price for earnings date number 4 | | ernStraPct5 | earn straddle price as a percent of the stock price for earnings date number 5 | | ernStraPct6 | earn straddle price as a percent of the stock price for earnings date number 6 | | ernStraPct7 | earn straddle price as a percent of the stock price for earnings date number 7 | | ernStraPct8 | earn straddle price as a percent of the stock price for earnings date number 8 | | ernStraPct9 | earn straddle price as a percent of the stock price for earnings date number 9 | | ernStraPct10 | earn straddle price as a percent of the stock price for earnings date number 10 | | ernStraPct11 | earn straddle price as a percent of the stock price for earnings date number 11 | | ernStraPct12 | earn straddle price as a percent of the stock price for earnings date number 12 | | ernEffct1 | earn effect for earnings date number 1 | | ernEffct2 | earn effect for earnings date number 2 | | ernEffct3 | earn effect for earnings date number 3 | | ernEffct4 | earn effect for earnings date number 4 | | ernEffct5 | earn effect for earnings date number 5 | | ernEffct6 | earn effect for earnings date number 6 | | ernEffct7 | earn effect for earnings date number 7 | | ernEffct8 | earn effect for earnings date number 8 | | ernEffct9 | earn effect for earnings date number 9 | | ernEffct10 | earn effect for earnings date number 10 | | ernEffct11 | earn effect for earnings date number 11 | | ernEffct12 | earn effect for earnings date number 12 | | orHv5d | 5-day historical intraday volatility | | orHv10d | 10-day historical intraday volatility | | orHv20d | 20-day historical intraday volatility | | orHv60d | 60-day historical intraday volatility | | orHv90d | 90-day historical intraday volatility | | orHv120d | 120-day historical intraday volatility | | orHv252d | 252-day historical intraday volatility | | orHv500d | 500-day historical intraday volatility | | orHv1000d | 1000-day historical intraday volatility | | orHvXern5d | 5-day historical intraday volatility excluding day of and after earnings (5 observations less day of or day after earnings if applicable) | | orHvXern10d | 10-day historical intraday volatility excluding day of and after earnings | | orHvXern20d | 20-day historical intraday volatility excluding day of and after earnings | | orHvXern60d | 60-day historical intraday volatility excluding day of and after earnings | | orHvXern90d | 90-day historical intraday volatility excluding day of and after earnings | | orHvXern120d | 120-day historical intraday volatility excluding day of and after earnings | | orHvXern252d | 252-day historical intraday volatility excluding day of and after earnings | | orHvXern500d | 500-day historical intraday volatility excluding day of and after earnings | | orHvXern1000d | 1000-day historical intraday volatility excluding day of and after earnings | | clsHv5d | 5-day historical close to close volatility | | clsHv10d | 10-day historical close to close volatility | | clsHv20d | 20-day historical close to close volatility | | clsHv60d | 60-day historical close to close volatility | | clsHv90d | 90-day historical close to close volatility | | clsHv120d | 120-day historical close to close volatility | | clsHv252d | 252-day historical close to close volatility | | clsHv500d | 500-day historical close to close volatility | | clsHv1000d | 1000-day historical close to close volatility | | clsHvXern5d | 5-day historical close to close volatility excluding day of and after earnings | | clsHvXern10d | 10-day historical close to close volatility excluding day of and after earnings | | clsHvXern20d | 20-day historical close to close volatility excluding day of and after earnings | | clsHvXern60d | 60-day historical close to close volatility excluding day of and after earnings | | clsHvXern90d | 90-day historical close to close volatility excluding day of and after earnings | | clsHvXern120d | 120-day historical close to close volatility excluding day of and after earnings | | clsHvXern252d | 252-day historical close to close volatility excluding day of and after earnings | | clsHvXern500d | 500-day historical close to close volatility excluding day of and after earnings | | clsHvXern1000d | 1000-day historical close to close volatility excluding day of and after earnings | | iv10d | 10 calendar day interpolated implied volatility | | iv20d | 20 calendar day interpolated implied volatility | | iv30d | 30 calendar day interpolated implied volatility | | iv60d | 60 calendar day interpolated implied volatility | | iv90d | 90 calendar day interpolated implied volatility | | iv6m | 6 month interpolated implied volatility | | iv1yr | 1 year interpolated implied volatility | | slope | put call slope at the interpolated 30 calendar days of the tangent at 50 delta | | fcstSlope | ORATS forecasted 30 calendar day put/call slope | | fcstErnEffct | ORATS forecasted earnings effect considers day of and day after earnings, seasonality, recentness, median and average of move divided by expected move | | absAvgErnMv | absolute average percent earnings move 12 observations at the time of the historical earnings announcement | | ernMvStdv | standard deviation of the 12 earnings moves absolute values | | impliedEe | The implied earnings effect (percentage of expected normal move) to make the best-fit term structure of the month implied volatilities | | impErnMv | percentage stock move in the implied earnings effect to make the best-fit term structure of the month implied volatilities | | impMth2ErnMv | percentage stock move in the implied earnings effect to make the best-fit term structure of the month implied volatilities | | fairVol90d | IV of the first earnings month | | fairXieeVol90d | smoothed term structure ex-earnings Ivs at the front earnings month plus the solved earnings effect | | fairMth2XieeVol90d | 30 calendar day interpolated implied volatility with earnings effect out plus the additional IV earnings effect from the first earnings month | | impErnMv90d | additional IV the front earnings month has over its ex-earnings IV | | impErnMvMth290d | additional IV the second earnings month has over its ex-earnings IV | | exErnIv10d | implied 10 calendar day interpolated implied volatility with earnings effect out | | exErnIv20d | implied 20 calendar day interpolated implied volatility with earnings effect out | | exErnIv30d | implied 30 calendar day interpolated implied volatility with earnings effect out | | exErnIv60d | implied 60 calendar day interpolated implied volatility with earnings effect out | | exErnIv90d | implied 90 calendar day interpolated implied volatility with earnings effect out | | exErnIv6m | implied 6 month interpolated implied volatility with earnings effect out | | exErnIv1yr | implied 1 year interpolated implied volatility with earnings effect out | | updatedAt | date and time of data updated | [Daily Price](https://orats.com/docs/definitions#daily-price) -------------------------------------------------------------- | Field | Definition | | --- | --- | | ticker | underlying symbol | | tradeDate | trade date | | clsPx | closing stock price adjusted for splits and dividends | | hiPx | high of day stock price adjusted for splits and dividends | | loPx | low of day stock price adjusted for splits and dividends | | open | opening stock price adjusted for splits and dividends | | stockVolume | total stock volume of the day adjusted for splits and dividends | | unadjClsPx | unadjusted closing stock price | | unadjHiPx | unadjusted high of day stock price | | unadjLoPx | unadjusted low of day stock price | | unadjOpen | unadjusted opening stock price | | unadjStockVolume | unadjusted total stock volume of the day | | updatedAt | date and time of data updated | [Historical Volatility](https://orats.com/docs/definitions#historical-volatility) ---------------------------------------------------------------------------------- | Field | Definition | | --- | --- | | ticker | underlying symbol | | tradeDate | trade date | | orHv1d | 1-day historical intraday volatility | | orHv5d | 5-day historical intraday volatility | | orHv10d | 10-day historical intraday volatility | | orHv20d | 20-day historical intraday volatility | | orHv30d | 30-day historical intraday volatility | | orHv60d | 60-day historical intraday volatility | | orHv90d | 90-day historical intraday volatility | | orHv100d | 100-day historical intraday volatility | | orHv120d | 120-day historical intraday volatility | | orHv252d | 252-day historical intraday volatility | | orHv500d | 500-day historical intraday volatility | | orHv1000d | 1000-day historical intraday volatility | | clsHv5d | 5-day historical close to close volatility | | clsHv10d | 10-day historical close to close volatility | | clsHv20d | 20-day historical close to close volatility | | clsHv30d | 30-day historical close to close volatility | | clsHv60d | 60-day historical close to close volatility | | clsHv90d | 90-day historical close to close volatility | | clsHv100d | 100-day historical close to close volatility | | clsHv120d | 120-day historical close to close volatility | | clsHv252d | 252-day historical close to close volatility | | clsHv500d | 500-day historical close to close volatility | | clsHv1000d | 1000-day historical close to close volatility | | orHvXern5d | 5-day historical intraday volatility excluding day of and after earnings | | orHvXern10d | 10-day historical intraday volatility excluding day of and after earnings | | orHvXern20d | 20-day historical intraday volatility excluding day of and after earnings | | orHvXern30d | 30-day historical intraday volatility excluding day of and after earnings | | orHvXern60d | 460-day historical intraday volatility excluding day of and after earnings | | orHvXern90d | 90-day historical intraday volatility excluding day of and after earnings | | orHvXern100d | 100-day historical intraday volatility excluding day of and after earnings | | orHvXern120d | 120-day historical intraday volatility excluding day of and after earnings | | orHvXern252d | 252-day historical intraday volatility excluding day of and after earnings | | orHvXern500d | 500-day historical intraday volatility excluding day of and after earnings | | orHvXern1000d | 1000-day historical intraday volatility excluding day of and after earnings | | clsHvXern5d | 5-day historical close to close volatility excluding day of and after earnings | | clsHvXern10d | 10-day historical close to close volatility excluding day of and after earnings | | clsHvXern20d | 20-day historical close to close volatility excluding day of and after earnings | | clsHvXern30d | 30-day historical close to close volatility excluding day of and after earnings | | clsHvXern60d | 60-day historical close to close volatility excluding day of and after earnings | | clsHvXern90d | 90-day historical close to close volatility excluding day of and after earnings | | clsHvXern100d | 100-day historical close to close volatility excluding day of and after earnings | | clsHvXern120d | 120-day historical close to close volatility excluding day of and after earnings | | clsHvXern252d | 252-day historical close to close volatility excluding day of and after earnings | | clsHvXern500d | 500-day historical close to close volatility excluding day of and after earnings | | clsHvXern1000d | 1000-day historical close to close volatility excluding day of and after earnings | [Dividend History](https://orats.com/docs/definitions#dividend-history) ------------------------------------------------------------------------ | Field | Definition | | --- | --- | | ticker | underlying symbol | | exDate | ex-dividend date | | divAmt | dividend amount | | divFreq | dividend frequency per year | | declaredDate | declared dividend date | [Earnings History](https://orats.com/docs/definitions#earnings-history) ------------------------------------------------------------------------ | Field | Definition | | --- | --- | | ticker | underlying symbol | | earnDate | earnings date | | anncTod | time of day earnings released: Before=900, After=1630, During=1200, Unknown=2359 | | updatedAt | date and time of data updated | [Stock Split History](https://orats.com/docs/definitions#stock-split-history) ------------------------------------------------------------------------------ | Field | Definition | | --- | --- | | ticker | underlying symbol | | splitDate | stock split date | | divisor | ratio of stock split | [IV Rank](https://orats.com/docs/definitions#iv-rank) ------------------------------------------------------ | Field | Definition | | --- | --- | | ticker | underlying symbol | | tradeDate | trade date | | iv | implied volatility at 30 days interpolated | | ivRank1m | A measure of implied volatility vs its past 1 month values, but it looks only at the highest and lowest values. Formula is (Current IV - 1 month Low IV) / (1 month Max - 1 month Min) | | ivPct1m | A measure of implied volatility vs its past 1 month values. If IV percentile is 36% – It means that current IV value is higher than 36% of previous 1 month values (and lower than 64% of them). | | ivRank1y | A measure of implied volatility vs its 1 year past values, but it looks only at the highest and lowest values. Formula is (Current IV - 1 yr Low IV) / (1 yr Max - 1 yr Min) | | ivPct1y | A measure of implied volatility vs its past 1 year values. If IV percentile is 36% – It means that current IV value is higher than 36% of previous 1 year values (and lower than 64% of them). | | updatedAt | date and time of data updated | Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. 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You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Live Derived Data API - ORATS API Reference [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Live Derived Data API ===================== Get live options data calculated in real-time with less than 10 seconds of market delay. These endpoints are the same as the Live Data API endpoints, except they do not include OPRA data, which means the bid-ask price, size, and volume are null. Note that when querying live data, the stockPrice field is calculated using put-call parity and may not reflect the exact stock price. The stockPrice field is exact after 15 minutes. Data endpoint url: * Name `https://api.orats.io/datav2/live/derived` Description * * * GEThttps://api.orats.io/datav2/live/derived/strikes [Strikes](https://orats.com/docs/live-derived-data-api#strikes) ---------------------------------------------------------------- Retrieves live strikes data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/live/derived/strikes curl "https://api.orats.io/datav2/live/derived/strikes?token=my-token&ticker=AAPL" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2023-11-03",\ "expirDate": "2023-11-17",\ "dte": 15,\ "strike": 142,\ "stockPrice": 176.78,\ "callVolume": null,\ "callOpenInterest": 1,\ "callBidSize": null,\ "callAskSize": null,\ "putVolume": null,\ "putOpenInterest": 11,\ "putBidSize": null,\ "putAskSize": null,\ "callBidPrice": null,\ "callValue": 34.847005,\ "callAskPrice": null,\ "putBidPrice": null,\ "putValue": 0.064241,\ "putAskPrice": null,\ "callBidIv": 0,\ "callMidIv": 0.669167,\ "callAskIv": 0.669167,\ "smvVol": 0.427,\ "putBidIv": 0.467989,\ "putMidIv": 0.474548,\ "putAskIv": 0.481108,\ "residualRate": -0.000407409278413811,\ "delta": 0.9977013824960196,\ "gamma": 0.00026128369956380463,\ "theta": -0.006033209901090589,\ "vega": 0.0011255723343416414,\ "rho": 0.054453503683180964,\ "phi": -0.06780357744864979,\ "driftlessTheta": -0.0015153161530037957,\ "callSmvVol": 0.373175,\ "putSmvVol": 0.429939,\ "extSmvVol": 0.348752,\ "extCallValue": 34.84518,\ "extPutValue": 0.001449,\ "spotPrice": 176.78,\ "quoteDate": "2023-11-03T19:59:44Z",\ "updatedAt": "2023-11-03T19:59:57Z",\ "snapShotEstTime": "1600",\ "snapShotDate": "2023-11-03T20:00:00Z",\ "expiryTod": "pm"\ },\ ...\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/live/derived/strikes/monthly [Strikes by Expiry](https://orats.com/docs/live-derived-data-api#strikes-by-expiry) ------------------------------------------------------------------------------------ Retrieves live strikes data by expiration dates. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL * Name `expiry` Type string Description Comma delimited expiration dates. Ex: 2023-11-10,2023-11-17 ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/live/derived/strikes/monthly curl -L "https://api.orats.io/datav2/live/derived/strikes/monthly?token=my-token&ticker=AAPL&expiry=2023-11-10,2023-11-17" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2023-11-03",\ "expirDate": "2023-11-10",\ "dte": 8,\ "strike": 135,\ "stockPrice": 176.78,\ "callVolume": null,\ "callOpenInterest": 270,\ "callBidSize": null,\ "callAskSize": null,\ "putVolume": null,\ "putOpenInterest": 326,\ "putBidSize": null,\ "putAskSize": null,\ "callBidPrice": null,\ "callValue": 41.78,\ "callAskPrice": null,\ "putBidPrice": null,\ "putValue": 0.01,\ "putAskPrice": null,\ "callBidIv": 0,\ "callMidIv": 1.1551967096013305,\ "callAskIv": 1.1551967096013305,\ "smvVol": 2.912,\ "putBidIv": 0,\ "putMidIv": 0.6867602203706308,\ "putAskIv": 0.6867602203706308,\ "residualRate": 0,\ "delta": 0.9999999999999902,\ "gamma": -5.424555380588343e-16,\ "theta": 0,\ "vega": 0.000019999997526814374,\ "rho": 0,\ "phi": 0,\ "driftlessTheta": 0,\ "callSmvVol": 1.684224682433136,\ "putSmvVol": 2.9702257373060243,\ "extSmvVol": 0.3487517502877988,\ "extCallValue": 41.80084830601278,\ "extPutValue": 6.938238481033761e-9,\ "spotPrice": 176.78,\ "quoteDate": "2023-11-03T19:59:44Z",\ "updatedAt": "2023-11-03T20:00:29Z",\ "expiryTod": "pm"\ },\ ...\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/live/derived/strikes/options [Strikes by OPRA](https://orats.com/docs/live-derived-data-api#strikes-by-opra) -------------------------------------------------------------------------------- Retrieves live strikes data by list of single options. ### Required attributes * Name `tickers` Type string Description Comma delimited OCC option symbols or underlying. The OCC option symbol consists of four parts: 1. Root symbol of the underlying stock or ETF, padded with spaces to 6 characters 2. Expiration date, 6 digits in the format YYMMDD 3. Option type, either P or C, for put or call 4. Strike price, as the price x 1000, front padded with 0s to 8 digits ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/live/derived/strikes/options curl -L "https://api.orats.io/datav2/live/derived/strikes/options?token=my-token&tickers=AAPL230915C00175000,SPXW230317C04000000,VIXW230222P00020000,MSFT,IBM,AMZN" CopyCopied! ### Response { "data": [\ {\ "ticker": "VIX",\ "optionSymbol": "VIXW230222P00020000",\ "tradeDate": "2023-02-03",\ "expirDate": "2023-02-22",\ "dte": 20,\ "strike": 20,\ "optionType": "Put",\ "stockPrice": 20.939351930930865,\ "volume": null,\ "openInterest": 609,\ "bidSize": null,\ "askSize": null,\ "bidPrice": null,\ "optValue": 0.9561060458605364,\ "askPrice": null,\ "bidIv": 0.7186810564051117,\ "midIv": 0.770273439101075,\ "askIv": 0.8218658217970384,\ "smvVol": 0.767,\ "residualRate": 0.0006429682602533522,\ "delta": 0.6445440317377228,\ "gamma": 0.10697872745802872,\ "theta": -0.03807004163269267,\ "vega": 0.017458321670381048,\ "rho": 0.005658583000284636,\ "phi": -0.0065899756567512095,\ "driftlessTheta": -0.03664097826777429,\ "optSmvVol": 0.7680412349659224,\ "extSmvVol": 0.8053869894000583,\ "extOptValue": 1.0212646998232824,\ "spotPrice": 20.01,\ "quoteDate": "2023-02-03T20:45:35Z",\ "updatedAt": "2023-02-03T20:45:47Z",\ "expiryTod": "am"\ },\ {\ "ticker": "SPX",\ "optionSymbol": "SPXW230317C04000000",\ "tradeDate": "2023-02-03",\ "expirDate": "2023-03-17",\ "dte": 43,\ "strike": 4000,\ "optionType": "Call",\ "stockPrice": 4123.9918580692365,\ "volume": null,\ "openInterest": 2241,\ "bidSize": null,\ "askSize": null,\ "bidPrice": null,\ "optValue": 192.9239738811763,\ "askPrice": null,\ "bidIv": 0.18536612689061044,\ "midIv": 0.18833419474509266,\ "askIv": 0.19130226259957492,\ "smvVol": 0.192,\ "residualRate": -0.0035423139470171262,\ "delta": 0.7306021896796264,\ "gamma": 0.0012838355801659208,\ "theta": -1.3983169341672217,\ "vega": 4.4865603321040926,\ "rho": 3.262093346854842,\ "phi": -3.483629713514347,\ "driftlessTheta": -1.0086338012279499,\ "optSmvVol": 0.1883850205351402,\ "extSmvVol": 0.20054964267640804,\ "extOptValue": 198.7022112777489,\ "spotPrice": 4136.78,\ "quoteDate": "2023-02-03T20:45:35Z",\ "updatedAt": "2023-02-03T20:45:44Z",\ "expiryTod": "pm"\ },\ {\ "ticker": "AAPL",\ "optionSymbol": "AAPL230915C00175000",\ "tradeDate": "2023-02-03",\ "expirDate": "2023-09-15",\ "dte": 225,\ "strike": 175,\ "optionType": "Call",\ "stockPrice": 154.93,\ "volume": null,\ "openInterest": 17491,\ "bidSize": null,\ "askSize": null,\ "bidPrice": null,\ "optValue": 6.436764917057624,\ "askPrice": null,\ "bidIv": 0.25166285377728825,\ "midIv": 0.252810042825454,\ "askIv": 0.25395723187361974,\ "smvVol": 0.253,\ "residualRate": -0.001958829998850505,\ "delta": 0.3394409447941169,\ "gamma": 0.012363029369889842,\ "theta": -0.02945496191456257,\ "vega": 0.44072210974017695,\ "rho": 0.2863111037574353,\ "phi": -0.3237916862381646,\ "driftlessTheta": -0.024204274582774528,\ "optSmvVol": 0.2525063799813928,\ "extSmvVol": 0.22819338605196937,\ "extOptValue": 5.362257906361914,\ "spotPrice": 154.93,\ "quoteDate": "2023-02-03T20:45:29Z",\ "updatedAt": "2023-02-03T20:45:39Z",\ "expiryTod": "pm"\ },\ {\ "ticker": "MSFT",\ "stockPrice": 257.7,\ "bid": 257.7,\ "ask": 257.71,\ "bidSize": 1,\ "askSize": 3,\ "volume": 21520794,\ "quoteDate": "2023-02-03T20:45:47Z",\ "updatedAt": "2023-02-03T20:45:47Z"\ },\ {\ "ticker": "IBM",\ "stockPrice": 136.51,\ "bid": 136.5,\ "ask": 136.52,\ "bidSize": 2,\ "askSize": 2,\ "volume": 2598769,\ "quoteDate": "2023-02-03T20:45:39Z",\ "updatedAt": "2023-02-03T20:45:39Z"\ },\ {\ "ticker": "AMZN",\ "stockPrice": 103.21,\ "bid": 103.2,\ "ask": 103.22,\ "bidSize": 2,\ "askSize": 5,\ "volume": 122900739,\ "quoteDate": "2023-02-03T20:45:50Z",\ "updatedAt": "2023-02-03T20:45:50Z"\ },\ ...\ ] } CopyCopied! 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Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Live Data API - ORATS API Reference [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Live Data API ============= Get live options data calculated in real-time with less than 10 seconds of market delay. Note that when querying live data, the stockPrice field is calculated using put-call parity and may not reflect the exact stock price. The stockPrice field is exact after 15 minutes. Data endpoint url: * Name `https://api.orats.io/datav2/live` Description * * * GEThttps://api.orats.io/datav2/live/strikes [Strikes](https://orats.com/docs/live-data-api#strikes) -------------------------------------------------------- Retrieves live strikes data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/live/strikes curl "https://api.orats.io/datav2/live/strikes?token=my-token&ticker=AAPL" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2023-11-03",\ "expirDate": "2023-11-17",\ "dte": 15,\ "strike": 142,\ "stockPrice": 176.78,\ "callVolume": 0,\ "callOpenInterest": 1,\ "callBidSize": 12,\ "callAskSize": 17,\ "putVolume": 0,\ "putOpenInterest": 11,\ "putBidSize": 134,\ "putAskSize": 27,\ "callBidPrice": 34.65,\ "callValue": 34.847005,\ "callAskPrice": 35.2,\ "putBidPrice": 0.06,\ "putValue": 0.064241,\ "putAskPrice": 0.07,\ "callBidIv": 0,\ "callMidIv": 0.669167,\ "callAskIv": 0.669167,\ "smvVol": 0.427,\ "putBidIv": 0.467989,\ "putMidIv": 0.474548,\ "putAskIv": 0.481108,\ "residualRate": -0.000407409278413811,\ "delta": 0.9977013824960196,\ "gamma": 0.00026128369956380463,\ "theta": -0.006033209901090589,\ "vega": 0.0011255723343416414,\ "rho": 0.054453503683180964,\ "phi": -0.06780357744864979,\ "driftlessTheta": -0.0015153161530037957,\ "callSmvVol": 0.373175,\ "putSmvVol": 0.429939,\ "extSmvVol": 0.348752,\ "extCallValue": 34.84518,\ "extPutValue": 0.001449,\ "spotPrice": 176.78,\ "quoteDate": "2023-11-03T19:59:44Z",\ "updatedAt": "2023-11-03T19:59:57Z",\ "snapShotEstTime": "1600",\ "snapShotDate": "2023-11-03T20:00:00Z",\ "expiryTod": "pm"\ },\ ...\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/live/strikes/monthly [Strikes by Expiry](https://orats.com/docs/live-data-api#strikes-by-expiry) ---------------------------------------------------------------------------- Retrieves live strikes data by expiration dates. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL * Name `expiry` Type string Description Comma delimited expiration dates. Ex: 2023-11-10,2023-11-17 ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/live/strikes/monthly curl -L "https://api.orats.io/datav2/live/strikes/monthly?token=my-token&ticker=AAPL&expiry=2023-11-10,2023-11-17" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2023-11-03",\ "expirDate": "2023-11-10",\ "dte": 8,\ "strike": 135,\ "stockPrice": 176.78,\ "callVolume": 0,\ "callOpenInterest": 270,\ "callBidSize": 10,\ "callAskSize": 18,\ "putVolume": 686,\ "putOpenInterest": 326,\ "putBidSize": 84,\ "putAskSize": 195,\ "callBidPrice": 41.65,\ "callValue": 41.78,\ "callAskPrice": 42.2,\ "putBidPrice": 0.02,\ "putValue": 0.01,\ "putAskPrice": 0.03,\ "callBidIv": 0,\ "callMidIv": 1.1551967096013305,\ "callAskIv": 1.1551967096013305,\ "smvVol": 2.912,\ "putBidIv": 0,\ "putMidIv": 0.6867602203706308,\ "putAskIv": 0.6867602203706308,\ "residualRate": 0,\ "delta": 0.9999999999999902,\ "gamma": -5.424555380588343e-16,\ "theta": 0,\ "vega": 0.000019999997526814374,\ "rho": 0,\ "phi": 0,\ "driftlessTheta": 0,\ "callSmvVol": 1.684224682433136,\ "putSmvVol": 2.9702257373060243,\ "extSmvVol": 0.3487517502877988,\ "extCallValue": 41.80084830601278,\ "extPutValue": 6.938238481033761e-9,\ "spotPrice": 176.78,\ "quoteDate": "2023-11-03T19:59:44Z",\ "updatedAt": "2023-11-03T20:00:29Z",\ "expiryTod": "pm"\ },\ ...\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/live/strikes/options [Strikes by OPRA](https://orats.com/docs/live-data-api#strikes-by-opra) ------------------------------------------------------------------------ Retrieves live strikes data by list of single options. ### Required attributes * Name `tickers` Type string Description Comma delimited OCC option symbols or underlying. The OCC option symbol consists of four parts: 1. Root symbol of the underlying stock or ETF, padded with spaces to 6 characters 2. Expiration date, 6 digits in the format YYMMDD 3. Option type, either P or C, for put or call 4. Strike price, as the price x 1000, front padded with 0s to 8 digits ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/live/strikes/options curl -L "https://api.orats.io/datav2/live/strikes/options?token=my-token&tickers=AAPL230915C00175000,SPXW230317C04000000,VIXW230222P00020000,MSFT,IBM,AMZN" CopyCopied! ### Response { "data": [\ {\ "ticker": "VIX",\ "optionSymbol": "VIXW230222P00020000",\ "tradeDate": "2023-02-03",\ "expirDate": "2023-02-22",\ "dte": 20,\ "strike": 20,\ "optionType": "Put",\ "stockPrice": 20.939351930930865,\ "volume": 0,\ "openInterest": 609,\ "bidSize": 57,\ "askSize": 384,\ "bidPrice": 0.87,\ "optValue": 0.9561060458605364,\ "askPrice": 1.05,\ "bidIv": 0.7186810564051117,\ "midIv": 0.770273439101075,\ "askIv": 0.8218658217970384,\ "smvVol": 0.767,\ "residualRate": 0.0006429682602533522,\ "delta": 0.6445440317377228,\ "gamma": 0.10697872745802872,\ "theta": -0.03807004163269267,\ "vega": 0.017458321670381048,\ "rho": 0.005658583000284636,\ "phi": -0.0065899756567512095,\ "driftlessTheta": -0.03664097826777429,\ "optSmvVol": 0.7680412349659224,\ "extSmvVol": 0.8053869894000583,\ "extOptValue": 1.0212646998232824,\ "spotPrice": 20.01,\ "quoteDate": "2023-02-03T20:45:35Z",\ "updatedAt": "2023-02-03T20:45:47Z",\ "expiryTod": "am"\ },\ {\ "ticker": "SPX",\ "optionSymbol": "SPXW230317C04000000",\ "tradeDate": "2023-02-03",\ "expirDate": "2023-03-17",\ "dte": 43,\ "strike": 4000,\ "optionType": "Call",\ "stockPrice": 4123.9918580692365,\ "volume": 36,\ "openInterest": 2241,\ "bidSize": 35,\ "askSize": 35,\ "bidPrice": 191.5,\ "optValue": 192.9239738811763,\ "askPrice": 194.3,\ "bidIv": 0.18536612689061044,\ "midIv": 0.18833419474509266,\ "askIv": 0.19130226259957492,\ "smvVol": 0.192,\ "residualRate": -0.0035423139470171262,\ "delta": 0.7306021896796264,\ "gamma": 0.0012838355801659208,\ "theta": -1.3983169341672217,\ "vega": 4.4865603321040926,\ "rho": 3.262093346854842,\ "phi": -3.483629713514347,\ "driftlessTheta": -1.0086338012279499,\ "optSmvVol": 0.1883850205351402,\ "extSmvVol": 0.20054964267640804,\ "extOptValue": 198.7022112777489,\ "spotPrice": 4136.78,\ "quoteDate": "2023-02-03T20:45:35Z",\ "updatedAt": "2023-02-03T20:45:44Z",\ "expiryTod": "pm"\ },\ {\ "ticker": "AAPL",\ "optionSymbol": "AAPL230915C00175000",\ "tradeDate": "2023-02-03",\ "expirDate": "2023-09-15",\ "dte": 225,\ "strike": 175,\ "optionType": "Call",\ "stockPrice": 154.93,\ "volume": 668,\ "openInterest": 17491,\ "bidSize": 286,\ "askSize": 229,\ "bidPrice": 6.4,\ "optValue": 6.436764917057624,\ "askPrice": 6.5,\ "bidIv": 0.25166285377728825,\ "midIv": 0.252810042825454,\ "askIv": 0.25395723187361974,\ "smvVol": 0.253,\ "residualRate": -0.001958829998850505,\ "delta": 0.3394409447941169,\ "gamma": 0.012363029369889842,\ "theta": -0.02945496191456257,\ "vega": 0.44072210974017695,\ "rho": 0.2863111037574353,\ "phi": -0.3237916862381646,\ "driftlessTheta": -0.024204274582774528,\ "optSmvVol": 0.2525063799813928,\ "extSmvVol": 0.22819338605196937,\ "extOptValue": 5.362257906361914,\ "spotPrice": 154.93,\ "quoteDate": "2023-02-03T20:45:29Z",\ "updatedAt": "2023-02-03T20:45:39Z",\ "expiryTod": "pm"\ },\ {\ "ticker": "MSFT",\ "stockPrice": 257.7,\ "bid": 257.7,\ "ask": 257.71,\ "bidSize": 1,\ "askSize": 3,\ "volume": 21520794,\ "quoteDate": "2023-02-03T20:45:47Z",\ "updatedAt": "2023-02-03T20:45:47Z"\ },\ {\ "ticker": "IBM",\ "stockPrice": 136.51,\ "bid": 136.5,\ "ask": 136.52,\ "bidSize": 2,\ "askSize": 2,\ "volume": 2598769,\ "quoteDate": "2023-02-03T20:45:39Z",\ "updatedAt": "2023-02-03T20:45:39Z"\ },\ {\ "ticker": "AMZN",\ "stockPrice": 103.21,\ "bid": 103.2,\ "ask": 103.22,\ "bidSize": 2,\ "askSize": 5,\ "volume": 122900739,\ "quoteDate": "2023-02-03T20:45:50Z",\ "updatedAt": "2023-02-03T20:45:50Z"\ },\ ...\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/live/expirations [Expiration Dates](https://orats.com/docs/live-data-api#expiration-dates) -------------------------------------------------------------------------- Retrieves expiration dates by ticker. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL ### Optional attributes * Name `include` Type boolean Description Include list of strikes. Ex: true ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/live/expirations curl -L "https://api.orats.io/datav2/live/expirations?token=my-token&ticker=AAPL" CopyCopied! ### Response { "data": [\ "2023-11-03",\ "2023-11-10",\ "2023-11-17",\ "2023-11-24",\ "2023-12-01",\ "2023-12-08",\ "2023-12-15",\ "2023-12-22",\ "2024-01-19",\ "2024-02-16",\ "2024-03-15",\ "2024-04-19",\ "2024-06-21",\ "2024-09-20",\ "2024-12-20",\ "2025-01-17",\ "2025-06-20",\ "2025-09-19",\ "2025-12-19",\ "2026-01-16"\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/live/monies/implied [Implied Monies](https://orats.com/docs/live-data-api#implied-monies) ---------------------------------------------------------------------- Retrieves live monthly implied monies data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/live/monies/implied curl -L "https://api.orats.io/datav2/live/monies/implied?token=my-token&ticker=AAPL" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2023-11-03",\ "expirDate": "2024-02-16",\ "stockPrice": 176.78,\ "riskFreeRate": 0.055,\ "yieldRate": 0.00937239,\ "residualYieldRate": -0.00561693,\ "residualRateSlp": 0.00013357,\ "residualR2": 0.00223249,\ "confidence": 0.99669992,\ "mwVol": 0.0016801,\ "vol100": 0.483677,\ "vol95": 0.368369,\ "vol90": 0.308611,\ "vol85": 0.27481,\ "vol80": 0.257756,\ "vol75": 0.247662,\ "vol70": 0.238129,\ "vol65": 0.232529,\ "vol60": 0.227381,\ "vol55": 0.22083,\ "vol50": 0.218055,\ "vol45": 0.214342,\ "vol40": 0.210068,\ "vol35": 0.205636,\ "vol30": 0.202678,\ "vol25": 0.198088,\ "vol20": 0.196793,\ "vol15": 0.193404,\ "vol10": 0.193064,\ "vol5": 0.199524,\ "vol0": 0.215942,\ "typeFlag": 0,\ "atmiv": 0.217688,\ "slope": 4.5423932204,\ "deriv": 0.082642719,\ "fit": 0.0000049629,\ "spotPrice": 176.78,\ "calVol": 0.210445,\ "unadjVol": 0.20578,\ "earnEffect": 0.004664,\ "quoteDate": "2023-11-03T19:59:44Z",\ "updatedAt": "2023-11-03T20:00:29Z",\ "expiryTod": "pm"\ },\ ...\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/live/monies/forecast [Forecast Monies](https://orats.com/docs/live-data-api#forecast-monies) ------------------------------------------------------------------------ Retrieves live monthly forecast monies data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/live/monies/forecast curl -L "https://api.orats.io/datav2/live/monies/forecast?token=my-token&ticker=AAPL" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2023-11-03",\ "expirDate": "2024-02-16",\ "stockPrice": 176.78,\ "riskFreeRate": 0.055,\ "vol100": 0.355919,\ "vol95": 0.303374,\ "vol90": 0.278266,\ "vol85": 0.261389,\ "vol80": 0.245387,\ "vol75": 0.239014,\ "vol70": 0.232989,\ "vol65": 0.227312,\ "vol60": 0.221982,\ "vol55": 0.217001,\ "vol50": 0.212368,\ "vol45": 0.208082,\ "vol40": 0.204144,\ "vol35": 0.200555,\ "vol30": 0.197313,\ "vol25": 0.194419,\ "vol20": 0.191872,\ "vol15": 0.189674,\ "vol10": 0.187824,\ "vol5": 0.186321,\ "vol0": 0.185167,\ "quoteDate": "2023-11-03T19:59:44Z",\ "updatedAt": "2023-11-03T20:00:29Z",\ "expiryTod": "pm"\ },\ ...\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/live/summaries [Summaries](https://orats.com/docs/live-data-api#summaries) ------------------------------------------------------------ Retrieves live SMV summary data. ### Optional attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/live/summaries curl -L "https://api.orats.io/datav2/live/summaries?token=your-token&ticker=AAPL" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2023-11-03",\ "stockPrice": 176.78,\ "annActDiv": 0.9825736506169328,\ "annIdiv": 0.28751917149796424,\ "borrow30": 0.0537541423792648,\ "borrow2y": 0.04750996884236069,\ "confidence": 0.7108721768212299,\ "exErnIv10d": 0.19564425415164893,\ "exErnIv20d": 0.1888961529014136,\ "exErnIv30d": 0.18583424171238797,\ "exErnIv60d": 0.19221929136796823,\ "exErnIv90d": 0.20357027878182768,\ "exErnIv6m": 0.21776256658774187,\ "exErnIv1y": 0.22801264359254053,\ "ieeEarnEffect": 1.8520083217217462,\ "impliedMove": 0.028576968750561926,\ "impliedNextDiv": 0.20050772080499293,\ "iv10d": 0.19564425415164893,\ "iv20d": 0.1888961529014136,\ "iv30d": 0.18583424171238797,\ "iv60d": 0.19221929136796823,\ "iv90d": 0.20565758083221886,\ "iv6m": 0.22110818368629934,\ "iv1y": 0.2331770285006299,\ "mwAdj30": 0.002342038868808884,\ "mwAdj2y": 0.004672262907091414,\ "nextDiv": 0.24,\ "rDrv30": 0.0777457315869098,\ "rDrv2y": 0.09662854611131641,\ "rSlp30": 3.914655492320444,\ "rSlp2y": 4.491138055437333,\ "rVol30": 0.18311224597620657,\ "rVol2y": 0.2481682128294297,\ "rip": 1.8431936946624932,\ "riskFree30": 0.055331365717306145,\ "riskFree2y": 0.05257682541180498,\ "skewing": -0.18824047984791026,\ "contango": -0.01861092684407437,\ "totalErrorConf": 0.0001284134210455538,\ "dlt5Iv10d": 0.20669137416491334,\ "dlt5Iv20d": 0.20258726035380836,\ "dlt5Iv30d": 0.18962621304573485,\ "dlt5Iv60d": 0.18034388806507004,\ "dlt5Iv90d": 0.18928519167952185,\ "dlt5Iv6m": 0.19693388653142566,\ "dlt5Iv1y": 0.20653151614264825,\ "exErnDlt5Iv10d": 0.20669137416491334,\ "exErnDlt5Iv20d": 0.20258726035380836,\ "exErnDlt5Iv30d": 0.18962621304573485,\ "exErnDlt5Iv60d": 0.18034388806507004,\ "exErnDlt5Iv90d": 0.18719788962913067,\ "exErnDlt5Iv6m": 0.1935882694328682,\ "exErnDlt5Iv1y": 0.20136713123455885,\ "dlt25Iv10d": 0.189584101192458,\ "dlt25Iv20d": 0.17534106176826095,\ "dlt25Iv30d": 0.17308580422935482,\ "dlt25Iv60d": 0.18037752725912404,\ "dlt25Iv90d": 0.18743595902622617,\ "dlt25Iv6m": 0.20019796616148589,\ "dlt25Iv1y": 0.211504964882202,\ "exErnDlt25Iv10d": 0.189584101192458,\ "exErnDlt25Iv20d": 0.17534106176826095,\ "exErnDlt25Iv30d": 0.17308580422935482,\ "exErnDlt25Iv60d": 0.18037752725912404,\ "exErnDlt25Iv90d": 0.185348656975835,\ "exErnDlt25Iv6m": 0.19685234906292842,\ "exErnDlt25Iv1y": 0.2063405799741126,\ "dlt75Iv10d": 0.2228900152175835,\ "dlt75Iv20d": 0.2120067516018278,\ "dlt75Iv30d": 0.20912249667999064,\ "dlt75Iv60d": 0.21961937124540154,\ "dlt75Iv90d": 0.234079989480268,\ "dlt75Iv6m": 0.25175354804163025,\ "dlt75Iv1y": 0.26615689843206447,\ "exErnDlt75Iv10d": 0.2228900152175835,\ "exErnDlt75Iv20d": 0.2120067516018278,\ "exErnDlt75Iv30d": 0.20912249667999064,\ "exErnDlt75Iv60d": 0.21961937124540154,\ "exErnDlt75Iv90d": 0.23199268742987683,\ "exErnDlt75Iv6m": 0.24840793094307279,\ "exErnDlt75Iv1y": 0.26099251352397507,\ "dlt95Iv10d": 0.35040133037887355,\ "dlt95Iv20d": 0.3312029207840635,\ "dlt95Iv30d": 0.3299912470075385,\ "dlt95Iv60d": 0.31690574381729614,\ "dlt95Iv90d": 0.32971507187019283,\ "dlt95Iv6m": 0.35331449249662383,\ "dlt95Iv1y": 0.3534141626043614,\ "exErnDlt95Iv10d": 0.35040133037887355,\ "exErnDlt95Iv20d": 0.3312029207840635,\ "exErnDlt95Iv30d": 0.3299912470075385,\ "exErnDlt95Iv60d": 0.31690574381729614,\ "exErnDlt95Iv90d": 0.3276277698198017,\ "exErnDlt95Iv6m": 0.34996887539806637,\ "exErnDlt95Iv1y": 0.348249777696272,\ "fwd30_20": 0.17955384433797633,\ "fwd60_30": 0.19839895804965685,\ "fwd90_30": 0.214884569325561,\ "fwd90_60": 0.23019254921320578,\ "fwd180_90": 0.23554748402890643,\ "fexErn30_20": 0.17955384433797633,\ "fexErn60_30": 0.19839895804965685,\ "fexErn90_30": 0.211882290219257,\ "fexErn90_60": 0.22455748320179714,\ "fexErn180_90": 0.2310848597603279,\ "ffwd30_20": 0.17336035755347318,\ "ffwd60_30": 0.20836074870556792,\ "ffwd90_30": 0.23367558741507025,\ "ffwd90_60": 0.26779610338931226,\ "ffwd180_90": 0.2607746969915035,\ "ffexErn30_20": 0.17336035755347318,\ "ffexErn60_30": 0.20836074870556792,\ "ffexErn90_30": 0.22862334138541335,\ "ffexErn90_60": 0.2562999124346851,\ "ffexErn180_90": 0.25420965276299173,\ "fbfwd30_20": 0.9655062423901931,\ "fbfwd60_30": 1.050210902082549,\ "fbfwd90_30": 1.0874470333001898,\ "fbfwd90_60": 1.1633569561857444,\ "fbfwd180_90": 1.1071003286942398,\ "fbfexErn30_20": 0.9655062423901931,\ "fbfexErn60_30": 1.050210902082549,\ "fbfexErn90_30": 1.0790110921910114,\ "fbfexErn90_60": 1.1413554729074107,\ "fbfexErn180_90": 1.1000705672654105,\ "impliedEarningsMove": 0.036147902371742265,\ "quoteDate": "2023-11-03T19:59:44Z",\ "updatedAt": "2023-11-03T20:00:29Z"\ }\ ] } CopyCopied! 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Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS - Frequently Asked Questions [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) FAQ === What is an individual (non-professional) user? Where do I cancel? How can I get real-time data? Why do I only see one value for delta in the API? Why do you not offer put and call volatilities? How do I download historical EOD data? Why do index prices not match other data sources? How many API hits do I have? How many comma delimited tickers can I put in an API query? Can I trade through ORATS? Does ORATS offer intraday or 0 DTE backtesting? My backtest is not working, what do I do? Are delisted symbols included in the historical data sets? Do you have options for futures? When does open interest update? How can I get a sample of your data? If I purchase near end-of-day recurring data, at what time can I expect the data to be delivered? Do you offer a free trial? Do you offer student discounts? Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS - About [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) About ===== ### We believe that alpha is a consequence of quality data. That's why we've built an entire ecosystem around hundreds of proprietary indicators, trading tools, APIs, and historical quotes. Since 2001, our products have served thousands of retail traders, hedge funds, and institutional clients. ![ORATS Team](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Fteam.c63343b8.webp&w=3840&q=75) Our Story 1993 Matt Amberson starts as a CBOE market maker and hires statistically minded individuals for market making and options research. Techniques to calculate superior volatility calculations and forecasts are developed. 2001 Option Research & Technology Services (ORATS) is formed to offer options products using procedures developed for a successful market making operation. The Smoothed Market Values (SMV) system is designed to produce the best greeks, implied volatilities and theoretical values in the industry. 2005 Core data based on summarizations from the SMV system including implied earnings and dividends is offered as a product. 2010 Data APIs are offered to access information. Backtesting options strategies for clients are introduced. 2017 The first version of Wheel – our online platform for backtesting – is released to the public. 2019 SMV summarizations are enhanced with forward volatilities, skew granularities, and component calculations. 2020 Optimization services are offered to clients as a way to quickly test thousands of parameters and indicators to find the best-performing investment strategies. 2022 The ORATS Dashboard is launched, adding stock scanning, trade building, earnings analysis, and more to our suite of web tools. 2023 The Dashboard is augmented with new broker integrations and better trading capabilities. The new backtest finder is launched, giving users the ability to search, filter, and sort millions of backtests. More tutorials and an upgraded website compliment the new features. Our Team ![Matt Amberson](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FmattVert.73d10393.webp&w=3840&q=75) Matt Amberson Founder & Principal Matt started ORATS in 2001 and has served thousands of clients in his two decades at the helm. Before ORATS, Matt worked as a market maker on the floor of the CBOE. ![Jon Kong](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FjonVert.152b15ea.webp&w=3840&q=75) Jon Kong Director of Engineering Jon has been with ORATS since 2007, leading the engineering efforts in building out our products, services, and IT infrastructure. ![Tyler Cheves](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FtylerVert.a608f7d9.webp&w=3840&q=75) Tyler Cheves Product Manager Before working at ORATS, Tyler created an options trading platform on iOS. His experience as a developer, trader, and designer helps us improve and expand our product offering. ![Wendy Rauch](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FwendyVert.7eeda162.webp&w=3840&q=75) Wendy Rauch Dividend Analyst Wendy has been our lead dividends researcher since 2009. Prior to ORATS, Wendy worked as a public relations manager for a large mutual fund management company. ![Jonathan Sleeuw](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FjonathanVert.f5ed6875.webp&w=3840&q=75) Jonathan Sleeuw Software Engineer Jonathan has served a variety of roles at ORATS over the years. With decades of experience working within financial firms, Jonathan provides valuable insight and development tips. Learn from an ex-market maker Weekly options education hosted by ORATS founder Matt Amberson. Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS - Videos and Webinars [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Categories All Videos 139 Live Webinars 50 Tutorials 10 Backtesting 4 Product Overviews 8 Indicator Spotlights 2 Daily Earnings Reports 50 Miscellaneous 9 All Videos [![How ORATS Powers Options Research from APIs | The Otto Show](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2F7c1NBedRMSw%2Fmaxresdefault.jpg&w=3840&q=75)\ \ How ORATS Powers Options Research from APIs | The Otto Show\ \ Watch now](https://www.youtube.com/watch?v=7c1NBedRMSw) [![How to Use the ORATS Data API | Driven By Data Ep. 125](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FxsKC7m5Nx9E%2Fmaxresdefault.jpg&w=3840&q=75)\ \ How to Use the ORATS Data API | Driven By Data Ep. 125\ \ Watch now](https://www.youtube.com/watch?v=xsKC7m5Nx9E) [![Autotrade and Optimize Your Backtests Driven By Data Ep 124](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FYH3siuZcqfc%2Fmaxresdefault.jpg&w=3840&q=75)\ \ Autotrade and Optimize Your Backtests Driven By Data Ep 124\ \ Watch now](https://www.youtube.com/watch?v=YH3siuZcqfc) [![IV Surface and Signs of a Market Bottom | Driven By Data Ep. 123](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2Fluc515NrO68%2Fmaxresdefault.jpg&w=3840&q=75)\ \ IV Surface and Signs of a Market Bottom | Driven By Data Ep. 123\ \ Watch now](https://www.youtube.com/watch?v=luc515NrO68) [![AI-Assisted Backtesting in ORATS | Driven By Data Ep. 122](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FpDzz6k6Ki88%2Fmaxresdefault.jpg&w=3840&q=75)\ \ AI-Assisted Backtesting in ORATS | Driven By Data Ep. 122\ \ Watch now](https://www.youtube.com/watch?v=pDzz6k6Ki88) [![Scanning and Backtesting IV Rank and Percentile | Driven By Data Ep. 121](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2F3YlX1nnflZ8%2Fmaxresdefault.jpg&w=3840&q=75)\ \ Scanning and Backtesting IV Rank and Percentile | Driven By Data Ep. 121\ \ Watch now](https://www.youtube.com/watch?v=3YlX1nnflZ8) [![NVDA Earnings Analysis | Driven By Data Ep. 120](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2F2Hz_OkLssYs%2Fmaxresdefault.jpg&w=3840&q=75)\ \ NVDA Earnings Analysis | Driven By Data Ep. 120\ \ Watch now](https://www.youtube.com/watch?v=2Hz_OkLssYs) [![What Is the True Value of an Option? | The Otto Show](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FZcvw1p2C8jQ%2Fmaxresdefault.jpg&w=3840&q=75)\ \ What Is the True Value of an Option? | The Otto Show\ \ Watch now](https://www.youtube.com/watch?v=Zcvw1p2C8jQ) [![Backtesting Double Calendar Spreads | ORATS Driven By Data Ep. 119](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FJGDzbo5qjBY%2Fmaxresdefault.jpg&w=3840&q=75)\ \ Backtesting Double Calendar Spreads | ORATS Driven By Data Ep. 119\ \ Watch now](https://www.youtube.com/watch?v=JGDzbo5qjBY) [![Backtesting a Trade | ORATS Driven By Data Ep. 118](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FOli078EKr64%2Fmaxresdefault.jpg&w=3840&q=75)\ \ Backtesting a Trade | ORATS Driven By Data Ep. 118\ \ Watch now](https://www.youtube.com/watch?v=Oli078EKr64) [![How the Options Market Prices Implied Earnings Moves | The Otto Show](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FuDpRRX0Rxcc%2Fmaxresdefault.jpg&w=3840&q=75)\ \ How the Options Market Prices Implied Earnings Moves | The Otto Show\ \ Watch now](https://www.youtube.com/watch?v=uDpRRX0Rxcc) [![Understanding Volatility Surfaces | The Otto Show](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FKf97BaQckkg%2Fmaxresdefault.jpg&w=3840&q=75)\ \ Understanding Volatility Surfaces | The Otto Show\ \ Watch now](https://www.youtube.com/watch?v=Kf97BaQckkg) [![ORATS Dashboard 3.0: advanced custom backtesting, autotrading, and more | Driven By Data Ep. 117](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FARaeKD7nIt4%2Fmaxresdefault.jpg&w=3840&q=75)\ \ ORATS Dashboard 3.0: advanced custom backtesting, autotrading, and more | Driven By Data Ep. 117\ \ Watch now](https://www.youtube.com/watch?v=ARaeKD7nIt4) [![From Scanning to Risk Management: ORATS Full Trading Workflow | Driven By Data Ep. 114](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FLDnWzPSqmrM%2Fmaxresdefault.jpg&w=3840&q=75)\ \ From Scanning to Risk Management: ORATS Full Trading Workflow | Driven By Data Ep. 114\ \ Watch now](https://www.youtube.com/watch?v=LDnWzPSqmrM) [![Help, My Backtest Isn’t Working | The Otto Show](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2F6dsXjVTXoho%2Fmaxresdefault.jpg&w=3840&q=75)\ \ Help, My Backtest Isn’t Working | The Otto Show\ \ Watch now](https://www.youtube.com/watch?v=6dsXjVTXoho) [![Forward Test Your Options Strategy Automatically | Driven By Data Ep. 113](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2F0QzdVeXjqBM%2Fmaxresdefault.jpg&w=3840&q=75)\ \ Forward Test Your Options Strategy Automatically | Driven By Data Ep. 113\ \ Watch now](https://www.youtube.com/watch?v=0QzdVeXjqBM) [![Meet the new Otto AI from ORATS | Driven By Data Ep. 111](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2F83M85aYpn1g%2Fmaxresdefault.jpg&w=3840&q=75)\ \ Meet the new Otto AI from ORATS | Driven By Data Ep. 111\ \ Watch now](https://www.youtube.com/watch?v=83M85aYpn1g) [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2Fo58bZbo_A_Q%2Fmaxresdefault.jpg&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Watch now](https://www.youtube.com/watch?v=o58bZbo_A_Q) [![How to Get Live and Historical Options Data From ORATS | Driven By Data Ep. 110](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FEZHXcpujXBg%2Fmaxresdefault.jpg&w=3840&q=75)\ \ How to Get Live and Historical Options Data From ORATS | Driven By Data Ep. 110\ \ Watch now](https://www.youtube.com/watch?v=EZHXcpujXBg) [![Using the New Risk Analysis Tool To Chart Portfolio Risk | Driven By Data Ep. 109](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FJ6ji4RDPCOo%2Fmaxresdefault.jpg&w=3840&q=75)\ \ Using the New Risk Analysis Tool To Chart Portfolio Risk | Driven By Data Ep. 109\ \ Watch now](https://www.youtube.com/watch?v=J6ji4RDPCOo) [![What Is the True Value of an Option | Driven By Data Ep. 108](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FsnbUeEAv5QY%2Fmaxresdefault.jpg&w=3840&q=75)\ \ What Is the True Value of an Option | Driven By Data Ep. 108\ \ Watch now](https://www.youtube.com/watch?v=snbUeEAv5QY) [![Understanding Max Gain & Loss and Viewing Trade History | Driven By Data Ep. 105](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FEemFQG8TtnE%2Fmaxresdefault.jpg&w=3840&q=75)\ \ Understanding Max Gain & Loss and Viewing Trade History | Driven By Data Ep. 105\ \ Watch now](https://www.youtube.com/watch?v=EemFQG8TtnE) [![How To Analyze IV Term Structure and Backtesting | Driven By Data Ep. 104](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FVKxNlRLg0EI%2Fmaxresdefault.jpg&w=3840&q=75)\ \ How To Analyze IV Term Structure and Backtesting | Driven By Data Ep. 104\ \ Watch now](https://www.youtube.com/watch?v=VKxNlRLg0EI) [![How To Search, Rank, And Filter Over 300 Million Options Backtests | Driven By Data Ep. 103](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FgWqQcfmCAa0%2Fmaxresdefault.jpg&w=3840&q=75)\ \ How To Search, Rank, And Filter Over 300 Million Options Backtests | Driven By Data Ep. 103\ \ Watch now](https://www.youtube.com/watch?v=gWqQcfmCAa0) [![Using Forward Volatility to Trade Calendar Spreads | Driven By Data Ep. 102](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FWOSGaFMm7y8%2Fmaxresdefault.jpg&w=3840&q=75)\ \ Using Forward Volatility to Trade Calendar Spreads | Driven By Data Ep. 102\ \ Watch now](https://www.youtube.com/watch?v=WOSGaFMm7y8) [![Utilizing Theoretical Edges to Identify the best Trade Opportunities | Driven By Data Ep. 100](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FVW_3hCYVZGU%2Fmaxresdefault.jpg&w=3840&q=75)\ \ Utilizing Theoretical Edges to Identify the best Trade Opportunities | Driven By Data Ep. 100\ \ Watch now](https://www.youtube.com/watch?v=VW_3hCYVZGU) [![Systemic Approach to Generating Trade Ideas | Driven By Data Ep. 98](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2F2VDH2KUwvu0%2Fmaxresdefault.jpg&w=3840&q=75)\ \ Systemic Approach to Generating Trade Ideas | Driven By Data Ep. 98\ \ Watch now](https://www.youtube.com/watch?v=2VDH2KUwvu0) [![How to Manage Your Trades with Alerts | Driven By Data Ep. 96](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FD_zlqhzVSCU%2Fmaxresdefault.jpg&w=3840&q=75)\ \ How to Manage Your Trades with Alerts | Driven By Data Ep. 96\ \ Watch now](https://www.youtube.com/watch?v=D_zlqhzVSCU) [![How To Use AI Otto In ORATS To Help Your Options Trading | Driven By Data Ep. 95](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FtVgrxMZEd0E%2Fmaxresdefault.jpg&w=3840&q=75)\ \ How To Use AI Otto In ORATS To Help Your Options Trading | Driven By Data Ep. 95\ \ Watch now](https://www.youtube.com/watch?v=tVgrxMZEd0E) [![How To Use Optimizer To Enhance Over 300 Million Options 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[![Earnings Season: Options Trading Using ORATS Earn Move Report and Ex-Earnings Implied Volatility](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2FLrS1RPpFdHE%2Fmaxresdefault.jpg&w=3840&q=75)\ \ Earnings Season: Options Trading Using ORATS Earn Move Report and Ex-Earnings Implied Volatility\ \ Watch now](https://www.youtube.com/watch?v=LrS1RPpFdHE) [![Unusual Volume Report | Discover Hidden Trades | BEKE Breakdown | ORATS Earnings Package](https://orats.com/_next/image?url=https%3A%2F%2Fi.ytimg.com%2Fvi%2F_y2qpzMEEwc%2Fmaxresdefault.jpg&w=3840&q=75)\ \ Unusual Volume Report | Discover Hidden Trades | BEKE Breakdown | ORATS Earnings Package\ \ Watch now](https://www.youtube.com/watch?v=_y2qpzMEEwc) Contact Us Questions about the API requirements? 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Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Historical Data API - ORATS API Reference [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Historical Data API =================== Get historical end-of-day options data back to 2007 augmented with hundreds of proprietary indicators. Data endpoint url: * Name `https://api.orats.io/datav2` Description * * * GEThttps://api.orats.io/datav2/hist/strikes [Strikes History](https://orats.com/docs/historical-data-api#strikes-history) ------------------------------------------------------------------------------ Retrieves end of day strikes data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Ex: AAPL,TSLA * Name `tradeDate` Type string Description The trade date to retrieve ### Optional attributes * Name `fields` Type string Description The fields to retrieve. Ex: tradeDate,expirDate,strike * Name `dte` Type string Description Filter by DTE range. Ex: 30,45 * Name `delta` Type string Description Filter by delta range. Ex: .30,.45 ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/strikes curl -L "https://api.orats.io/datav2/hist/strikes?token=my-token&ticker=AAPL&tradeDate=2017-08-28" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2017-08-28",\ "expirDate": "2017-09-01",\ "dte": 5,\ "strike": 95,\ "stockPrice": 161.3827,\ "callVolume": 1,\ "callOpenInterest": 0,\ "callBidSize": 30,\ "callAskSize": 2,\ "putVolume": 1,\ "putOpenInterest": 1,\ "putBidSize": 0,\ "putAskSize": 16,\ "callBidPrice": 66.35,\ "callValue": 66.41551094836527,\ "callAskPrice": 66.45,\ "putBidPrice": 0,\ "putValue": 0,\ "putAskPrice": 0.01,\ "callBidIv": 0,\ "callMidIv": 1.9435290391604259,\ "callAskIv": 1.9435290391604259,\ "smvVol": 0.29255660522135446,\ "putBidIv": 0,\ "putMidIv": 1.7233550807894313,\ "putAskIv": 1.7233550807894313,\ "residualRate": -0.0215447947190231,\ "delta": 1.0000000000000133,\ "gamma": 4.021433382502273e-14,\ "theta": -0.008181463093526515,\ "vega": 2.420462435939163e-13,\ "rho": 0.010432658772747985,\ "phi": -0.017728751942058807,\ "driftlessTheta": -2.8188520395807645e-8,\ "extSmvVol": 0.30678671652162315,\ "extCallValue": 66.41551094836588,\ "extPutValue": 0,\ "spotPrice": 161.3827,\ "updatedAt": "2017-08-28T19:46:00Z"\ },\ ...\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/strikes/options [Strikes History by OPRA](https://orats.com/docs/historical-data-api#strikes-history-by-opra) ---------------------------------------------------------------------------------------------- Retrieves end of day strikes history data by ticker, tradeDate, expiry, and strike. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL * Name `expirDate` Type string Description The expire date to retrieve. Ex: 2022-01-21 * Name `strike` Type string Description The strike price to retrieve. Ex: 280 ### Optional attributes * Name `tradeDate` Type string Description The trade date to retrieve. Ex: 2019-12-20 ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/strikes/options curl -L "https://api.orats.io/datav2/hist/strikes/options?token=my-token&ticker=AAPL&expirDate=2022-01-21&strike=280" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2019-09-16",\ "expirDate": "2022-01-21",\ "dte": 859,\ "strike": 280,\ "stockPrice": 219.89,\ "callVolume": 0,\ "callOpenInterest": 0,\ "callBidSize": 520,\ "callAskSize": 459,\ "putVolume": 0,\ "putOpenInterest": 0,\ "putBidSize": 290,\ "putAskSize": 305,\ "callBidPrice": 13.15,\ "callValue": 15.51,\ "callAskPrice": 17.7,\ "putBidPrice": 69.5,\ "putValue": 71.92,\ "putAskPrice": 74,\ "callBidIv": 0.231313,\ "callMidIv": 0.250226,\ "callAskIv": 0.269139,\ "smvVol": 0.251085,\ "putBidIv": 0.230121,\ "putMidIv": 0.2494,\ "putAskIv": 0.268678,\ "residualRate": -0.002482,\ "delta": 0.33319,\ "gamma": 0.00423848,\ "theta": -0.0179752,\ "vega": 1.19013,\ "rho": 1.29789,\ "phi": -1.62317,\ "driftlessTheta": -0.017109,\ "extSmvVol": 0.251497,\ "extCallValue": 15.5592,\ "extPutValue": 71.9679,\ "spotPrice": 219.89,\ "updatedAt": "2019-09-22T12:25:43Z"\ },\ ...\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/monies/implied [Implied Monies History](https://orats.com/docs/historical-data-api#implied-monies-history) -------------------------------------------------------------------------------------------- Retrieves end of day monthly implied monies history data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Ex: AAPL,TSLA * Name `tradeDate` Type string Description The trade date to retrieve ### Optional attributes * Name `fields` Type string Description The fields to retrieve. Ex: tradeDate,expirDate,calVol ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/monies/implied curl -L "https://api.orats.io/datav2/hist/monies/implied?token=my-token&ticker=AAPL&tradeDate=2019-11-29" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2019-11-29",\ "expirDate": "2020-07-17",\ "stockPrice": 267.65,\ "riskFreeRate": 0.016,\ "yieldRate": 0.00930403,\ "residualYieldRate": -0.00262572,\ "residualRateSlp": -0.00086345,\ "residualR2": 0.00001021,\ "confidence": 0.98959948,\ "mwVol": 0.00301035,\ "vol100": 0.412641,\ "vol95": 0.351561,\ "vol90": 0.31641,\ "vol85": 0.291727,\ "vol80": 0.273611,\ "vol75": 0.260189,\ "vol70": 0.250415,\ "vol65": 0.243444,\ "vol60": 0.23873,\ "vol55": 0.23582,\ "vol50": 0.234329,\ "vol45": 0.233909,\ "vol40": 0.234226,\ "vol35": 0.23494,\ "vol30": 0.235676,\ "vol25": 0.236002,\ "vol20": 0.235339,\ "vol15": 0.232937,\ "vol10": 0.227614,\ "vol5": 0.217252,\ "vol0": 0.207645,\ "typeFlag": 0,\ "atmiv": 0.242681,\ "slope": 3.0936925598,\ "deriv": 0.0754675374,\ "fit": 0.0000239965,\ "spotPrice": 267.65,\ "calVol": 0.24326,\ "unadjVol": 0.217315,\ "earnEffect": 0.025945,\ "quoteDate": "2019-11-29T17:46:01Z",\ "updatedAt": "2019-11-29T17:46:01Z"\ },\ ...\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/monies/forecast [Forecast Monies History](https://orats.com/docs/historical-data-api#forecast-monies-history) ---------------------------------------------------------------------------------------------- Retrieves end of day monthly forecast monies history data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Ex: AAPL,TSLA * Name `tradeDate` Type string Description The trade date to retrieve ### Optional attributes * Name `fields` Type string Description The fields to retrieve. Ex: tradeDate,expirDate,calVol ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/monies/forecast curl -L "https://api.orats.io/datav2/hist/monies/forecast?token=my-token&ticker=AAPL&tradeDate=2019-11-29" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2019-11-29",\ "expirDate": "2020-04-17",\ "stockPrice": 267.65,\ "riskFreeRate": 0.0163,\ "vol100": 0.371587,\ "vol95": 0.327694,\ "vol90": 0.30461,\ "vol85": 0.288032,\ "vol80": 0.272282,\ "vol75": 0.264817,\ "vol70": 0.258009,\ "vol65": 0.251857,\ "vol60": 0.246363,\ "vol55": 0.241525,\ "vol50": 0.237343,\ "vol45": 0.233819,\ "vol40": 0.230951,\ "vol35": 0.22874,\ "vol30": 0.227186,\ "vol25": 0.226289,\ "vol20": 0.226048,\ "vol15": 0.226464,\ "vol10": 0.227537,\ "vol5": 0.229267,\ "vol0": 0.231653,\ "quoteDate": "2019-11-29T17:46:01Z",\ "updatedAt": "2019-11-29T17:46:01Z"\ },\ ...\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/summaries [Summaries History](https://orats.com/docs/historical-data-api#summaries-history) ---------------------------------------------------------------------------------- Retrieves end of day SMV summary history data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Optional if tradeDate is set. Ex: AAPL,TSLA * Name `tradeDate` Type string Description The trade date to retrieve. Optional if ticker is set. Ex: 2019-11-29 ### Optional attributes * Name `fields` Type string Description The fields to retrieve. Ex: tradeDate,exErnIv30d,impliedEarningsMove ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/summaries curl -L "https://api.orats.io/datav2/hist/summaries?token=my-token&ticker=AAPL&tradeDate=2019-11-29" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2019-11-29",\ "stockPrice": 267.65,\ "annActDiv": 3.18088,\ "annIdiv": 2.16866,\ "borrow30": 0.0130476,\ "borrow2y": 0.0130526,\ "confidence": 0.982672,\ "exErnIv10d": 0.17302,\ "exErnIv20d": 0.191041,\ "exErnIv30d": 0.189777,\ "exErnIv60d": 0.203197,\ "exErnIv90d": 0.207576,\ "exErnIv6m": 0.225346,\ "exErnIv1y": 0.219686,\ "ieeEarnEffect": 3.90671,\ "impliedMove": 0.0699168,\ "impliedNextDiv": 0.469247,\ "iv10d": 0.17302,\ "iv20d": 0.191041,\ "iv30d": 0.189777,\ "iv60d": 0.213359,\ "iv90d": 0.23856,\ "iv6m": 0.251482,\ "iv1y": 0.250053,\ "mwAdj30": 0.00263453,\ "mwAdj2y": 0.0058333,\ "nextDiv": 0.77,\ "rDrv30": 0.140255,\ "rDrv2y": 0.0797137,\ "rSlp30": 3.0127,\ "rSlp2y": 3.21896,\ "rVol30": 0.198798,\ "rVol2y": 0.231888,\ "rip": 3.16261,\ "riskFree30": 0.0160534,\ "riskFree2y": 0.0161099,\ "skewing": 0.00991347,\ "contango": 0.5484344903379679,\ "totalErrorConf": 0.0000520262,\ "dlt5Iv10d": 0.179133,\ "dlt5Iv20d": 0.191745,\ "dlt5Iv30d": 0.191127,\ "dlt5Iv60d": 0.210039,\ "dlt5Iv90d": 0.227116,\ "dlt5Iv6m": 0.219043,\ "dlt5Iv1y": 0.22659,\ "exErnDlt5Iv10d": 0.179133,\ "exErnDlt5Iv20d": 0.191745,\ "exErnDlt5Iv30d": 0.191127,\ "exErnDlt5Iv60d": 0.199877,\ "exErnDlt5Iv90d": 0.196132,\ "exErnDlt5Iv6m": 0.192907,\ "exErnDlt5Iv1y": 0.196222,\ "dlt25Iv10d": 0.170224,\ "dlt25Iv20d": 0.185283,\ "dlt25Iv30d": 0.183904,\ "dlt25Iv60d": 0.204507,\ "dlt25Iv90d": 0.225666,\ "dlt25Iv6m": 0.241827,\ "dlt25Iv1y": 0.237379,\ "exErnDlt25Iv10d": 0.170224,\ "exErnDlt25Iv20d": 0.185283,\ "exErnDlt25Iv30d": 0.183904,\ "exErnDlt25Iv60d": 0.194345,\ "exErnDlt25Iv90d": 0.194682,\ "exErnDlt25Iv6m": 0.215691,\ "exErnDlt25Iv1y": 0.207012,\ "dlt75Iv10d": 0.191296,\ "dlt75Iv20d": 0.212173,\ "dlt75Iv30d": 0.212207,\ "dlt75Iv60d": 0.239729,\ "dlt75Iv90d": 0.267796,\ "dlt75Iv6m": 0.265297,\ "dlt75Iv1y": 0.27136,\ "exErnDlt75Iv10d": 0.191296,\ "exErnDlt75Iv20d": 0.212173,\ "exErnDlt75Iv30d": 0.212207,\ "exErnDlt75Iv60d": 0.229566,\ "exErnDlt75Iv90d": 0.236812,\ "exErnDlt75Iv6m": 0.239162,\ "exErnDlt75Iv1y": 0.240992,\ "dlt95Iv10d": 0.217063,\ "dlt95Iv20d": 0.240149,\ "dlt95Iv30d": 0.242073,\ "dlt95Iv60d": 0.273438,\ "dlt95Iv90d": 0.302951,\ "dlt95Iv6m": 0.323779,\ "dlt95Iv1y": 0.349745,\ "exErnDlt95Iv10d": 0.217063,\ "exErnDlt95Iv20d": 0.240149,\ "exErnDlt95Iv30d": 0.242073,\ "exErnDlt95Iv60d": 0.263275,\ "exErnDlt95Iv90d": 0.271967,\ "exErnDlt95Iv6m": 0.297644,\ "exErnDlt95Iv1y": 0.319377,\ "fwd30_20": 0.187224,\ "fwd60_30": 0.234582,\ "fwd90_60": 0.282292,\ "fwd180_90": 0.263771,\ "fwd90_30": 0.259536,\ "fexErn30_20": 0.187224,\ "fexErn60_30": 0.215783,\ "fexErn90_60": 0.21607,\ "fexErn180_90": 0.241813,\ "fexErn90_30": 0.215927,\ "ffwd30_20": 0.184873,\ "ffwd60_30": 0.270233,\ "ffwd90_60": 0.351662,\ "ffwd180_90": 0.283423,\ "ffwd90_30": 0.305744,\ "ffexErn30_20": 0.184873,\ "ffexErn60_30": 0.235405,\ "ffexErn90_60": 0.227656,\ "ffexErn180_90": 0.26926,\ "ffexErn90_30": 0.232192,\ "fbfwd30_20": 0.987445,\ "fbfwd60_30": 1.15198,\ "fbfwd90_60": 1.24574,\ "fbfwd180_90": 1.0745,\ "fbfwd90_30": 1.17804,\ "fbfexErn30_20": 0.987445,\ "fbfexErn60_30": 1.09093,\ "fbfexErn90_60": 1.05362,\ "fbfexErn180_90": 1.11351,\ "fbfexErn90_30": 1.07533,\ "impliedEarningsMove": 0.0440891,\ "updatedAt": "2019-11-29T17:46:01Z"\ }\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/cores [Core Data History](https://orats.com/docs/historical-data-api#core-data-history) ---------------------------------------------------------------------------------- Retrieves end of day core history data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Optional if tradeDate is set. Ex: AAPL,TSLA * Name `tradeDate` Type string Description The trade date to retrieve. Optional if ticker is set. Ex: 2019-11-29 ### Optional attributes * Name `fields` Type string Description The fields to retrieve. Ex: tradeDate,slope,contango ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/cores curl -L "https://api.orats.io/datav2/hist/cores?token=my-token&ticker=AAPL&tradeDate=2019-11-29" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2019-11-29",\ "assetType": 3,\ "priorCls": 267.84,\ "pxAtmIv": 267.65,\ "mktCap": 1189240,\ "cVolu": 164999,\ "cOi": 1831571,\ "pVolu": 94247,\ "pOi": 2030053,\ "orFcst20d": 17.427,\ "orIvFcst20d": 19.2787,\ "orFcstInf": 28.97,\ "orIvXern20d": 19.88,\ "orIvXernInf": 23.19,\ "iv200Ma": 22.68,\ "atmIvM1": 19.4298,\ "atmFitIvM1": 18.7732,\ "atmFcstIvM1": 17.6772,\ "dtExM1": 22,\ "atmIvM2": 20.1687,\ "atmFitIvM2": 20.0496,\ "atmFcstIvM2": 20.2257,\ "dtExM2": 50,\ "atmIvM3": 23.8843,\ "atmFitIvM3": 24.0163,\ "atmFcstIvM3": 22.6817,\ "dtExM3": 85,\ "atmIvM4": 23.7352,\ "atmFitIvM4": 23.6142,\ "atmFcstIvM4": 23.3022,\ "dtExM4": 113,\ "iRate5wk": 1.61,\ "iRateLt": 1.61,\ "px1kGam": 5625.28,\ "volOfVol": 0.0623,\ "volOfIvol": 0.0511,\ "slope": 3.0127,\ "slopeInf": 3.21896,\ "slopeFcst": 3.23128,\ "slopeFcstInf": 3.32071,\ "deriv": 0.1403,\ "derivInf": 0.0797,\ "derivFcst": 0.1363,\ "derivFcstInf": 0.0858,\ "mktWidthVol": 0.26345,\ "mktWidthVolInf": 0.58333,\ "cAddPrem": 0,\ "pAddPrem": 0,\ "rip": 3.16261,\ "ivEarnReturn": 0,\ "fcstR2": 0.3736,\ "fcstR2Imp": 0.2809,\ "hiHedge": 0,\ "loHedge": 0,\ "stkVolu": 23960324,\ "avgOptVolu20d": 513798.5,\ "sector": "XLK Electronic Computer Manufacturing42941",\ "orHv1d": 14.07,\ "orHv5d": 15.34,\ "orHv10d": 15.32,\ "orHv20d": 19.45,\ "orHv60d": 20.3,\ "orHv90d": 24.33,\ "orHv120d": 22.76,\ "orHv252d": 26.9,\ "orHv500d": 26.27,\ "orHv1000d": 23.61,\ "clsHv5d": 14.42,\ "clsHv10d": 14.36,\ "clsHv20d": 15.88,\ "clsHv60d": 19,\ "clsHv90d": 24.38,\ "clsHv120d": 22.82,\ "clsHv252d": 28.68,\ "clsHv500d": 27.47,\ "clsHv1000d": 24.47,\ "iv20d": 19.1,\ "iv30d": 18.98,\ "iv60d": 21.34,\ "iv90d": 23.86,\ "iv6m": 25.15,\ "clsPx1w": 261.78,\ "stkPxChng1wk": 2.31,\ "clsPx1m": 243.26,\ "stkPxChng1m": 10.43,\ "clsPx6m": 175.07,\ "stkPxChng6m": 54.03,\ "clsPx1y": 179.55,\ "stkPxChng1y": 51.41,\ "divFreq": 4,\ "divYield": 1.2,\ "divGrwth": 0,\ "divDate": "2020-02-06",\ "divAmt": 0.77,\ "nextErn": "0000-00-00",\ "nextErnTod": 1630,\ "lastErn": "2019-10-30",\ "lastErnTod": 3,\ "absAvgErnMv": 4.25533,\ "impliedIee": 3.90671,\ "daysToNextErn": 0,\ "tkOver": 0,\ "etfIncl": "",\ "bestEtf": "XLK",\ "sectorName": "Technology Hardware & Equipment",\ "correlSpy1m": 0.14,\ "correlSpy1y": 0.93,\ "correlEtf1m": 0.36,\ "correlEtf1y": 0.95,\ "beta1m": 1.67,\ "beta1y": 1.5,\ "ivPctile1m": 62,\ "ivPctile1y": 18,\ "ivPctileSpy": 51,\ "ivPctileEtf": 73,\ "ivStdvMean": -0.7,\ "ivStdv1y": 4.47,\ "ivSpyRatio": 1.72,\ "ivSpyRatioAvg1m": 1.72,\ "ivSpyRatioAvg1y": 1.5,\ "ivSpyRatioStdv1y": 6,\ "ivEtfRatio": 1.31,\ "ivEtfRatioAvg1m": 1.28,\ "ivEtfRatioAvg1y": 1.09,\ "ivEtFratioStdv1y": 5.14,\ "ivHvXernRatio": 1.23,\ "ivHvXernRatio1m": 1.12,\ "ivHvXernRatio1y": 0.83,\ "ivHvXernRatioStdv1y": 2.32,\ "etfIvHvXernRatio": 0.79,\ "etfIvHvXernRatio1m": 0.86,\ "etfIvHvXernRatio1y": 0.94,\ "etfIvHvXernRatioStdv1y": 0.06,\ "slopepctile": 42.06,\ "slopeavg1m": 2.86,\ "slopeavg1y": 3.12,\ "slopeStdv1y": 0.81,\ "etfSlopeRatio": 0.46,\ "etfSlopeRatioAvg1m": 0.43,\ "etfSlopeRatioAvg1y": 0.47,\ "etfSlopeRatioAvgStdv1y": 0.12,\ "impliedR2": 0.4852,\ "contango": 0.55,\ "nextDiv": 0.77,\ "impliedNextDiv": 0.4692,\ "annActDiv": 3.1809,\ "annIdiv": 2.1687,\ "borrow30": 1.3048,\ "borrow2yr": 1.3053,\ "error": 0.0052,\ "confidence": 98.2672,\ "pxCls": 267.84,\ "wksNextErn": 0,\ "ernMnth": 0,\ "oi": 3861624,\ "straPxM1": 10.07,\ "straPxM2": 15.92,\ "smoothStraPxM1": 10.08,\ "smoothStrPxM2": 15.88,\ "fcstStraPxM1": 9.18,\ "fcstStraPxM2": 15.93,\ "loStrikeM1": 267.5,\ "hiStrikeM1": 267.5,\ "loStrikeM2": 270,\ "hiStrikeM2": 270,\ "ernDate1": "10/30/2019",\ "ernDate2": "7/30/2019",\ "ernDate3": "4/30/2019",\ "ernDate4": "1/29/2019",\ "ernDate5": "11/1/2018",\ "ernDate6": "7/31/2018",\ "ernDate7": "5/1/2018",\ "ernDate8": "2/1/2018",\ "ernDate9": "11/2/2017",\ "ernDate10": "8/1/2017",\ "ernDate11": "5/2/2017",\ "ernDate12": "1/31/2017",\ "ernMv1": 2.261,\ "ernMv2": 2.0404,\ "ernMv3": 4.9086,\ "ernMv4": 6.8335,\ "ernMv5": -6.6331,\ "ernMv6": 5.891,\ "ernMv7": 4.4176,\ "ernMv8": -4.339,\ "ernMv9": 2.6114,\ "ernMv10": 4.7251,\ "ernMv11": -0.3051,\ "ernMv12": 6.0981,\ "ernStraPct1": 5.8314,\ "ernStraPct2": 5.328,\ "ernStraPct3": 5.6526,\ "ernStraPct4": 6.8304,\ "ernStraPct5": 7.074,\ "ernStraPct6": 5.2632,\ "ernStraPct7": 5.9725,\ "ernStraPct8": 6.49,\ "ernStraPct9": 5.8054,\ "ernStraPct10": 4.8463,\ "ernStraPct11": 4.2426,\ "ernStraPct12": 4.2901,\ "ernEffct1": 1.7609,\ "ernEffct2": 1.7325,\ "ernEffct3": 2.1662,\ "ernEffct4": 2.253,\ "ernEffct5": 2.1018,\ "ernEffct6": 2.248,\ "ernEffct7": 1.9564,\ "ernEffct8": 1.6666,\ "ernEffct9": 1.1841,\ "ernEffct10": 1.8609,\ "ernEffct11": 1.157,\ "ernEffct12": 2.8252,\ "orHvXern5d": 15.34,\ "orHvXern10d": 15.32,\ "orHvXern20d": 16.11,\ "orHvXern60d": 19.4,\ "orHvXern90d": 23.59,\ "orHvXern120d": 22.11,\ "orHvXern252d": 26.2,\ "orHvXern500d": 25.45,\ "orHvXern1000d": 22.76,\ "clsHvXern5d": 14.42,\ "clsHvXern10d": 14.36,\ "clsHvXern20d": 14.91,\ "clsHvXern60d": 18.92,\ "clsHvXern90d": 24.49,\ "clsHvXern120d": 22.86,\ "clsHvXern252d": 27.68,\ "clsHvXern500d": 25.92,\ "clsHvXern1000d": 22.65,\ "iv10d": 17.3,\ "iv1yr": 25.01,\ "fcstSlope": 3.2313,\ "fcstErnEffct": 1.6929,\ "ernMvStdv": 1.9631,\ "impliedEe": 3.9067,\ "impErnMv": 6.99,\ "impMth2ErnMv": 6.99,\ "fairVol90d": 23.8843,\ "fairXieeVol90d": 24.0163,\ "fairMth2XieeVol90d": 19.9122,\ "impErnMv90d": 3.24,\ "impErnMvMth290d": 2.51,\ "exErnIv10d": 17.3,\ "exErnIv20d": 19.1,\ "exErnIv30d": 18.98,\ "exErnIv60d": 20.32,\ "exErnIv90d": 20.76,\ "exErnIv6m": 22.53,\ "exErnIv1yr": 21.97,\ "dlt5Iv10d": 17.91,\ "dlt5Iv20d": 19.17,\ "dlt5Iv30d": 19.11,\ "dlt5Iv60d": 21,\ "dlt5Iv90d": 22.71,\ "dlt5Iv6m": 21.9,\ "dlt5Iv1y": 22.66,\ "exErnDlt5Iv10d": 17.91,\ "exErnDlt5Iv20d": 19.17,\ "exErnDlt5Iv30d": 19.11,\ "exErnDlt5Iv60d": 19.99,\ "exErnDlt5Iv90d": 19.61,\ "exErnDlt5Iv6m": 19.29,\ "exErnDlt5Iv1y": 19.62,\ "dlt25Iv10d": 17.02,\ "dlt25Iv20d": 18.53,\ "dlt25Iv30d": 18.39,\ "dlt25Iv60d": 20.45,\ "dlt25Iv90d": 22.57,\ "dlt25Iv6m": 24.18,\ "dlt25Iv1y": 23.74,\ "exErnDlt25Iv10d": 17.02,\ "exErnDlt25Iv20d": 18.53,\ "exErnDlt25Iv30d": 18.39,\ "exErnDlt25Iv60d": 19.43,\ "exErnDlt25Iv90d": 19.47,\ "exErnDlt25Iv6m": 21.57,\ "exErnDlt25Iv1y": 20.7,\ "dlt75Iv10d": 19.13,\ "dlt75Iv20d": 21.22,\ "dlt75Iv30d": 21.22,\ "dlt75Iv60d": 23.97,\ "dlt75Iv90d": 26.78,\ "dlt75Iv6m": 26.53,\ "dlt75Iv1y": 27.14,\ "exErnDlt75Iv10d": 19.13,\ "exErnDlt75Iv20d": 21.22,\ "exErnDlt75Iv30d": 21.22,\ "exErnDlt75Iv60d": 22.96,\ "exErnDlt75Iv90d": 23.68,\ "exErnDlt75Iv6m": 23.92,\ "exErnDlt75Iv1y": 24.1,\ "dlt95Iv10d": 21.71,\ "dlt95Iv20d": 24.01,\ "dlt95Iv30d": 24.21,\ "dlt95Iv60d": 27.34,\ "dlt95Iv90d": 30.3,\ "dlt95Iv6m": 32.38,\ "dlt95Iv1y": 34.97,\ "exErnDlt95Iv10d": 21.71,\ "exErnDlt95Iv20d": 24.01,\ "exErnDlt95Iv30d": 24.21,\ "exErnDlt95Iv60d": 26.33,\ "exErnDlt95Iv90d": 27.2,\ "exErnDlt95Iv6m": 29.76,\ "exErnDlt95Iv1y": 31.94,\ "fwd30_20": 18.72,\ "fwd60_30": 23.46,\ "fwd90_60": 28.23,\ "fwd180_90": 26.38,\ "fwd90_30": 25.95,\ "fexErn30_20": 18.72,\ "fexErn60_30": 21.58,\ "fexErn90_60": 21.61,\ "fexErn180_90": 24.18,\ "fexErn90_30": 21.59,\ "ffwd30_20": 18.49,\ "ffwd60_30": 27.02,\ "ffwd90_60": 35.17,\ "ffwd180_90": 28.34,\ "ffwd90_30": 30.57,\ "ffexErn30_20": 18.49,\ "ffexErn60_30": 23.54,\ "ffexErn90_60": 22.77,\ "ffexErn180_90": 26.93,\ "ffexErn90_30": 23.22,\ "fbfwd30_20": 0.987445,\ "fbfwd60_30": 1.15198,\ "fbfwd90_60": 1.24574,\ "fbfwd180_90": 1.0745,\ "fbfwd90_30": 1.17804,\ "fbfexErn30_20": 0.987445,\ "fbfexErn60_30": 1.09093,\ "fbfexErn90_60": 1.05362,\ "fbfexErn180_90": 1.11351,\ "fbfexErn90_30": 1.07533,\ "impliedEarningsMove": 4.41,\ "updatedAt": "2019-11-29T17:46:01Z"\ }\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/dailies [Daily Price](https://orats.com/docs/historical-data-api#daily-price) ---------------------------------------------------------------------- Retrieves end of day daily stock price data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Optional if tradeDate is set. Ex: AAPL,TSLA * Name `tradeDate` Type string Description The trade date to retrieve. Optional if ticker is set. Ex: 2019-11-29 ### Optional attributes * Name `fields` Type string Description The fields to retrieve. Ex: tradeDate,clsPx,open ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/dailies curl -L "https://api.orats.io/datav2/hist/dailies?token=my-token&ticker=AAPL&tradeDate=2019-11-29" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2019-11-29",\ "clsPx": 65.18,\ "hiPx": 65.36,\ "loPx": 64.85,\ "open": 65.02,\ "stockVolume": 47783092,\ "unadjClsPx": 267.25,\ "unadjHiPx": 268,\ "unadjLoPx": 265.9,\ "unadjOpen": 266.6,\ "unadjStockVolume": 11654300,\ "updatedAt": "2023-08-14T23:24:19Z"\ }\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/hvs [Historical Volatility](https://orats.com/docs/historical-data-api#historical-volatility) ------------------------------------------------------------------------------------------ Retrieves historical volatility data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Optional if tradeDate is set. Ex: AAPL,TSLA * Name `tradeDate` Type string Description The trade date to retrieve. Optional if ticker is set. Ex: 2019-11-29 ### Optional attributes * Name `fields` Type string Description The fields to retrieve. Ex: tradeDate,clsPx,open ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/hvs curl -L "https://api.orats.io/datav2/hist/hvs?token=my-token&ticker=AAPL&tradeDate=2019-11-29" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2019-11-29",\ "orHv1d": 7.79,\ "orHv5d": 14.92,\ "orHv10d": 15.04,\ "orHv20d": 15.8,\ "orHv30d": 19.02,\ "orHv60d": 20.13,\ "orHv90d": 24.32,\ "orHv100d": 23.61,\ "orHv120d": 22.72,\ "orHv252d": 26.72,\ "orHv500d": 26.26,\ "orHv1000d": 23.59,\ "clsHv5d": 13.84,\ "clsHv10d": 13.84,\ "clsHv20d": 14.69,\ "clsHv30d": 16.46,\ "clsHv60d": 18.78,\ "clsHv90d": 24.38,\ "clsHv100d": 23.73,\ "clsHv120d": 22.8,\ "clsHv252d": 28.45,\ "clsHv500d": 27.47,\ "clsHv1000d": 24.44,\ "orHvXern5d": 14.92,\ "orHvXern10d": 15.04,\ "orHvXern20d": 15.8,\ "orHvXern30d": 16.86,\ "orHvXern60d": 19.22,\ "orHvXern90d": 23.58,\ "orHvXern100d": 22.89,\ "orHvXern120d": 22.07,\ "orHvXern252d": 26.01,\ "orHvXern500d": 25.44,\ "orHvXern1000d": 22.74,\ "clsHvXern5d": 13.84,\ "clsHvXern10d": 13.84,\ "clsHvXern20d": 14.69,\ "clsHvXern30d": 16.06,\ "clsHvXern60d": 18.68,\ "clsHvXern90d": 24.49,\ "clsHvXern100d": 23.8,\ "clsHvXern120d": 22.83,\ "clsHvXern252d": 27.42,\ "clsHvXern500d": 25.92,\ "clsHvXern1000d": 22.62,\ "updatedAt": "2020-01-03T02:27:23Z"\ }\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/earnings [Earnings History](https://orats.com/docs/historical-data-api#earnings-history) -------------------------------------------------------------------------------- Retrieves earnings history data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/earnings curl -L "https://api.orats.io/datav2/hist/earnings?token=my-token&ticker=AAPL" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "earnDate": "1987-09-25",\ "anncTod": "1630",\ "updatedAt": "2018-01-12T17:31:59Z"\ },\ {\ "ticker": "AAPL",\ "earnDate": "1988-09-30",\ "anncTod": "1630",\ "updatedAt": "2018-01-12T17:31:59Z"\ },\ {\ "ticker": "AAPL",\ "earnDate": "1989-09-29",\ "anncTod": "1630",\ "updatedAt": "2018-01-12T17:31:59Z"\ },\ ...\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/splits [Stock Split History](https://orats.com/docs/historical-data-api#stock-split-history) -------------------------------------------------------------------------------------- Retrieves stock split history data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/splits curl -L "https://api.orats.io/datav2/hist/splits?token=my-token&ticker=AAPL" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "splitDate": "2014-06-09",\ "divisor": 7\ },\ {\ "ticker": "AAPL",\ "splitDate": "2020-08-31",\ "divisor": 4\ }\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/ivrank [IV Rank History](https://orats.com/docs/historical-data-api#iv-rank-history) ------------------------------------------------------------------------------ Retrieves IV rank history data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Optional if tradeDate is set. Ex: AAPL,TSLA * Name `tradeDate` Type string Description The trade date to retrieve. Optional if ticker is set. Ex: 2019-11-29 ### Optional attributes * Name `fields` Type string Description The fields to retrieve. Ex: tradeDate,ivRank1m ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/ivrank curl -L "https://api.orats.io/datav2/hist/ivrank?token=my-token&ticker=AAPL&tradeDate=2021-01-20" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2021-01-20",\ "iv": 36.195,\ "ivRank1m": 56.44,\ "ivPct1m": 66.67,\ "ivRank1y": 27.62,\ "ivPct1y": 60.71,\ "updatedAt": "2021-01-21T01:09:52Z"\ }\ ] } CopyCopied! Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Delayed Data API - ORATS API Reference [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Delayed Data API ================ Get delayed options data augmented with hundreds of proprietary indicators. Current market data is delayed by 15 minutes. Data endpoint url: * Name `https://api.orats.io/datav2` Description * * * GEThttps://api.orats.io/datav2/tickers [Tickers](https://orats.com/docs/delayed-data-api#tickers) ----------------------------------------------------------- Retrieves min/max available tradeDate for ORATS universe of tickers. ### Optional attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/tickers curl "https://api.orats.io/datav2/tickers?token=my-token" CopyCopied! ### Response { "data": [\ {\ "ticker": "A",\ "min": "2007-01-03",\ "max": "2020-02-14"\ },\ {\ "ticker": "AA",\ "min": "2007-01-03",\ "max": "2020-02-14"\ },\ {\ "ticker": "AAAP",\ "min": "2017-10-12",\ "max": "2018-07-20"\ }\ ...\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/strikes [Strikes](https://orats.com/docs/delayed-data-api#strikes) ----------------------------------------------------------- Retrieves strikes data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Ex: AAPL,TSLA ### Optional attributes * Name `fields` Type string Description The fields to retrieve. Ex: tradeDate,expirDate,strike * Name `dte` Type string Description Filter by DTE range. Ex: 30,45 * Name `delta` Type string Description Filter by delta range. Ex: .30,.45 ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/strikes curl -L "https://api.orats.io/datav2/strikes?token=my-token&ticker=AAPL" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2019-12-23",\ "expirDate": "2019-12-27",\ "dte": 5,\ "strike": 180,\ "stockPrice": 283.8,\ "callVolume": 0,\ "callOpenInterest": 0,\ "callBidSize": 166,\ "callAskSize": 25,\ "putVolume": 1,\ "putOpenInterest": 7,\ "putBidSize": 0,\ "putAskSize": 37,\ "callBidPrice": 103.7,\ "callValue": 103.851,\ "callAskPrice": 103.9,\ "putBidPrice": 0,\ "putValue": 0,\ "putAskPrice": 0.01,\ "callBidIv": 0,\ "callMidIv": 0.837262,\ "callAskIv": 1.67452,\ "smvVol": 0.201089,\ "putBidIv": 0,\ "putMidIv": 0.723295,\ "putAskIv": 1.44659,\ "residualRate": -0.0108285,\ "delta": 1,\ "gamma": -1.29661e-14,\ "theta": -0.0130789,\ "vega": -1.93379e-11,\ "rho": 0.0192188,\ "phi": -0.0303101,\ "driftlessTheta": -3.62868e-8,\ "extSmvVol": 0.288125,\ "extCallValue": 103.741,\ "extPutValue": 0,\ "spotPrice": 283.8,\ "updatedAt": "2019-12-23T18:49:36Z"\ },\ ...\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/strikes/options [Strikes by OPRA](https://orats.com/docs/delayed-data-api#strikes-by-opra) --------------------------------------------------------------------------- Retrieves current strikes data by ticker, expiry, and strike. ### Required attributes * Name `tickers` Type string Description Comma delimited OCC option symbols or underlying. The OCC option symbol consists of four parts: 1. Root symbol of the underlying stock or ETF, padded with spaces to 6 characters 2. Expiration date, 6 digits in the format YYMMDD 3. Option type, either P or C, for put or call 4. Strike price, as the price x 1000, front padded with 0s to 8 digits ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/strikes/options curl -L "https://api.orats.io/datav2/strikes/options?token=my-token&tickers=AAPL230915C00175000,SPXW230317C04000000,VIXW230222P00020000,MSFT,IBM,AMZN" CopyCopied! ### Response { "data": [\ {\ "ticker": "VIX",\ "optionSymbol": "VIXW230222P00020000",\ "tradeDate": "2023-02-03",\ "expirDate": "2023-02-22",\ "dte": 20,\ "strike": 20,\ "optionType": "Put",\ "stockPrice": 21.09,\ "volume": 0,\ "openInterest": 609,\ "bidSize": 57,\ "askSize": 602,\ "bidPrice": 0.82,\ "optValue": 0.91,\ "askPrice": 1.01,\ "bidIv": 0.719702,\ "midIv": 0.775449,\ "askIv": 0.831195,\ "smvVol": 0.776,\ "residualRate": -0.00126964,\ "delta": 0.659823,\ "gamma": 0.101183,\ "theta": -0.0379109,\ "vega": 0.01705,\ "rho": 0.00596109,\ "phi": -0.00699401,\ "driftlessTheta": -0.0363416,\ "optSmvVol": 0.773272,\ "extSmvVol": 0.81083,\ "extOptValue": 0.975286,\ "spotPrice": 20.01,\ "quoteDate": "2023-02-03T20:22:48Z",\ "updatedAt": "2023-02-03T20:22:58Z",\ "expiryTod": "am"\ },\ {\ "ticker": "SPX",\ "optionSymbol": "SPXW230317C04000000",\ "tradeDate": "2023-02-03",\ "expirDate": "2023-03-17",\ "dte": 43,\ "strike": 4000,\ "optionType": "Call",\ "stockPrice": 4126.71,\ "volume": 20,\ "openInterest": 2241,\ "bidSize": 35,\ "askSize": 35,\ "bidPrice": 194.5,\ "optValue": 196.27,\ "askPrice": 197.4,\ "bidIv": 0.191887,\ "midIv": 0.194403,\ "askIv": 0.19692,\ "smvVol": 0.192,\ "residualRate": 0.00236406,\ "delta": 0.733811,\ "gamma": 0.00131768,\ "theta": -1.33656,\ "vega": 4.51142,\ "rho": 3.24908,\ "phi": -3.46435,\ "driftlessTheta": -0.995206,\ "optSmvVol": 0.194419,\ "extSmvVol": 0.199375,\ "extOptValue": 198.301,\ "spotPrice": 4128.73,\ "quoteDate": "2023-02-03T20:22:49Z",\ "updatedAt": "2023-02-03T20:23:00Z",\ "expiryTod": "pm"\ },\ {\ "ticker": "AAPL",\ "optionSymbol": "AAPL230915C00175000",\ "tradeDate": "2023-02-03",\ "expirDate": "2023-09-15",\ "dte": 225,\ "strike": 175,\ "optionType": "Call",\ "stockPrice": 155.01,\ "volume": 667,\ "openInterest": 17491,\ "bidSize": 705,\ "askSize": 287,\ "bidPrice": 6.4,\ "optValue": 6.47,\ "askPrice": 6.55,\ "bidIv": 0.251574,\ "midIv": 0.253287,\ "askIv": 0.255,\ "smvVol": 0.253,\ "residualRate": -0.00110824,\ "delta": 0.342191,\ "gamma": 0.0122149,\ "theta": -0.0295758,\ "vega": 0.439479,\ "rho": 0.284995,\ "phi": -0.322753,\ "driftlessTheta": -0.0244588,\ "optSmvVol": 0.253234,\ "extSmvVol": 0.227986,\ "extOptValue": 5.35791,\ "spotPrice": 155.01,\ "quoteDate": "2023-02-03T20:22:42Z",\ "updatedAt": "2023-02-03T20:22:54Z",\ "expiryTod": "pm"\ },\ {\ "ticker": "AMZN",\ "stockPrice": 103.56,\ "bid": 103.56,\ "ask": 103.57,\ "bidSize": 1,\ "askSize": 4,\ "volume": 116242000,\ "quoteDate": "2023-02-03T20:23:52Z",\ "updatedAt": "2023-02-03T20:24:04Z"\ },\ {\ "ticker": "IBM",\ "stockPrice": 136.38,\ "bid": 136.37,\ "ask": 136.39,\ "bidSize": 2,\ "askSize": 2,\ "volume": 2379740,\ "quoteDate": "2023-02-03T20:23:56Z",\ "updatedAt": "2023-02-03T20:24:04Z"\ },\ {\ "ticker": "MSFT",\ "stockPrice": 258.15,\ "bid": 258.14,\ "ask": 258.16,\ "bidSize": 3,\ "askSize": 2,\ "volume": 19871700,\ "quoteDate": "2023-02-03T20:23:49Z",\ "updatedAt": "2023-02-03T20:24:04Z"\ }\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/monies/implied [Implied Monies](https://orats.com/docs/delayed-data-api#implied-monies) ------------------------------------------------------------------------- Retrieves monthly implied monies data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Ex: AAPL,TSLA ### Optional attributes * Name `fields` Type string Description The fields to retrieve. Ex: tradeDate,expirDate,calVol ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/monies/implied curl -L "https://api.orats.io/datav2/monies/implied?token=my-token&ticker=AAPL" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2023-11-03",\ "expirDate": "2024-06-21",\ "stockPrice": 176.78,\ "riskFreeRate": 0.0538,\ "yieldRate": 0.00644419,\ "residualYieldRate": -0.00429695,\ "residualRateSlp": 0.00184204,\ "residualR2": 0.0005349,\ "confidence": 0.990404,\ "mwVol": 0.00208507,\ "vol100": 0.481632,\ "vol95": 0.372538,\ "vol90": 0.313805,\ "vol85": 0.284469,\ "vol80": 0.269292,\ "vol75": 0.258977,\ "vol70": 0.251434,\ "vol65": 0.244439,\ "vol60": 0.23873,\ "vol55": 0.234208,\ "vol50": 0.228685,\ "vol45": 0.22303,\ "vol40": 0.218509,\ "vol35": 0.214635,\ "vol30": 0.210679,\ "vol25": 0.206676,\ "vol20": 0.203116,\ "vol15": 0.200003,\ "vol10": 0.199472,\ "vol5": 0.204106,\ "vol0": 0.220554,\ "typeFlag": 0,\ "atmiv": 0.228074,\ "slope": 4.50145,\ "deriv": 0.0949864,\ "fit": 0.0000128897,\ "spotPrice": 176.78,\ "calVol": 0.224091,\ "unadjVol": 0.219517,\ "earnEffect": 0.004575,\ "quoteDate": "2023-11-03T19:59:44Z",\ "updatedAt": "2023-11-03T19:59:57Z",\ "snapShotEstTime": "1600",\ "snapShotDate": "2023-11-03T20:00:00Z",\ "expiryTod": "pm"\ },\ ...\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/monies/forecast [Forecast Monies](https://orats.com/docs/delayed-data-api#forecast-monies) --------------------------------------------------------------------------- Retrieves monthly forecast monies data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Ex: AAPL,TSLA ### Optional attributes * Name `fields` Type string Description The fields to retrieve. Ex: tradeDate,expirDate,vol50 ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/monies/forecast curl -L "https://api.orats.io/datav2/monies/forecast?token=my-token&ticker=AAPL" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2023-11-03",\ "expirDate": "2024-02-16",\ "stockPrice": 176.78,\ "riskFreeRate": 0.055,\ "vol100": 0.355919,\ "vol95": 0.303374,\ "vol90": 0.278266,\ "vol85": 0.261389,\ "vol80": 0.245387,\ "vol75": 0.239014,\ "vol70": 0.232989,\ "vol65": 0.227312,\ "vol60": 0.221982,\ "vol55": 0.217001,\ "vol50": 0.212368,\ "vol45": 0.208082,\ "vol40": 0.204144,\ "vol35": 0.200555,\ "vol30": 0.197313,\ "vol25": 0.194419,\ "vol20": 0.191872,\ "vol15": 0.189674,\ "vol10": 0.187824,\ "vol5": 0.186321,\ "vol0": 0.185167,\ "quoteDate": "2023-11-03T19:59:44Z",\ "updatedAt": "2023-11-03T19:59:57Z",\ "snapShotEstTime": "1600",\ "snapShotDate": "2023-11-03T20:00:00Z",\ "expiryTod": "pm"\ },\ ...\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/summaries [Summaries](https://orats.com/docs/delayed-data-api#summaries) --------------------------------------------------------------- Retrieves SMV summary data. ### Optional attributes * Name `ticker` Type string Description The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Ex: AAPL,TSLA * Name `fields` Type string Description The fields to retrieve. Ex: tradeDate,exErnIv30d,impliedEarningsMove ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/summaries curl -L "https://api.orats.io/datav2/summaries?token=my-token&ticker=AAPL" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2023-11-03",\ "stockPrice": 176.78,\ "annActDiv": 0.982574,\ "annIdiv": 0.287519,\ "borrow30": 0.0537541,\ "borrow2y": 0.04751,\ "confidence": 0.710872,\ "exErnIv10d": 0.195644,\ "exErnIv20d": 0.188896,\ "exErnIv30d": 0.185834,\ "exErnIv60d": 0.192219,\ "exErnIv90d": 0.20357,\ "exErnIv6m": 0.217763,\ "exErnIv1y": 0.228013,\ "ieeEarnEffect": 1.85201,\ "impliedMove": 0.028577,\ "impliedNextDiv": 0.200508,\ "iv10d": 0.195644,\ "iv20d": 0.188896,\ "iv30d": 0.185834,\ "iv60d": 0.192219,\ "iv90d": 0.205658,\ "iv6m": 0.221108,\ "iv1y": 0.233177,\ "mwAdj30": 0.002342,\ "mwAdj2y": 0.004672,\ "nextDiv": 0.24,\ "rDrv30": 0.077746,\ "rDrv2y": 0.096629,\ "rSlp30": 3.91465,\ "rSlp2y": 4.49114,\ "rVol30": 0.183112,\ "rVol2y": 0.248168,\ "rip": 1.84319,\ "riskFree30": 0.055331,\ "riskFree2y": 0.052577,\ "skewing": -0.18824,\ "contango": -0.018600000475998968,\ "totalErrorConf": 0.000128,\ "dlt5Iv10d": 0.206691,\ "dlt5Iv20d": 0.202587,\ "dlt5Iv30d": 0.189626,\ "dlt5Iv60d": 0.180344,\ "dlt5Iv90d": 0.189285,\ "dlt5Iv6m": 0.196934,\ "dlt5Iv1y": 0.206532,\ "exErnDlt5Iv10d": 0.206691,\ "exErnDlt5Iv20d": 0.202587,\ "exErnDlt5Iv30d": 0.189626,\ "exErnDlt5Iv60d": 0.180344,\ "exErnDlt5Iv90d": 0.187198,\ "exErnDlt5Iv6m": 0.193588,\ "exErnDlt5Iv1y": 0.201367,\ "dlt25Iv10d": 0.189584,\ "dlt25Iv20d": 0.175341,\ "dlt25Iv30d": 0.173086,\ "dlt25Iv60d": 0.180378,\ "dlt25Iv90d": 0.187436,\ "dlt25Iv6m": 0.200198,\ "dlt25Iv1y": 0.211505,\ "exErnDlt25Iv10d": 0.189584,\ "exErnDlt25Iv20d": 0.175341,\ "exErnDlt25Iv30d": 0.173086,\ "exErnDlt25Iv60d": 0.180378,\ "exErnDlt25Iv90d": 0.185349,\ "exErnDlt25Iv6m": 0.196852,\ "exErnDlt25Iv1y": 0.206341,\ "dlt75Iv10d": 0.22289,\ "dlt75Iv20d": 0.212007,\ "dlt75Iv30d": 0.209122,\ "dlt75Iv60d": 0.219619,\ "dlt75Iv90d": 0.23408,\ "dlt75Iv6m": 0.251754,\ "dlt75Iv1y": 0.266157,\ "exErnDlt75Iv10d": 0.22289,\ "exErnDlt75Iv20d": 0.212007,\ "exErnDlt75Iv30d": 0.209122,\ "exErnDlt75Iv60d": 0.219619,\ "exErnDlt75Iv90d": 0.231993,\ "exErnDlt75Iv6m": 0.248408,\ "exErnDlt75Iv1y": 0.260993,\ "dlt95Iv10d": 0.350401,\ "dlt95Iv20d": 0.331203,\ "dlt95Iv30d": 0.329991,\ "dlt95Iv60d": 0.316906,\ "dlt95Iv90d": 0.329715,\ "dlt95Iv6m": 0.353314,\ "dlt95Iv1y": 0.353414,\ "exErnDlt95Iv10d": 0.350401,\ "exErnDlt95Iv20d": 0.331203,\ "exErnDlt95Iv30d": 0.329991,\ "exErnDlt95Iv60d": 0.316906,\ "exErnDlt95Iv90d": 0.327628,\ "exErnDlt95Iv6m": 0.349969,\ "exErnDlt95Iv1y": 0.34825,\ "fwd30_20": 0.179554,\ "fwd60_30": 0.198399,\ "fwd90_30": 0.214885,\ "fwd90_60": 0.230193,\ "fwd180_90": 0.235547,\ "fexErn30_20": 0.179554,\ "fexErn60_30": 0.198399,\ "fexErn90_30": 0.211882,\ "fexErn90_60": 0.224557,\ "fexErn180_90": 0.231085,\ "ffwd30_20": 0.17336,\ "ffwd60_30": 0.208361,\ "ffwd90_30": 0.233676,\ "ffwd90_60": 0.267796,\ "ffwd180_90": 0.260775,\ "ffexErn30_20": 0.17336,\ "ffexErn60_30": 0.208361,\ "ffexErn90_30": 0.228623,\ "ffexErn90_60": 0.2563,\ "ffexErn180_90": 0.25421,\ "fbfwd30_20": 0.965506,\ "fbfwd60_30": 1.05021,\ "fbfwd90_30": 1.08745,\ "fbfwd90_60": 1.16336,\ "fbfwd180_90": 1.1071,\ "fbfexErn30_20": 0.965506,\ "fbfexErn60_30": 1.05021,\ "fbfexErn90_30": 1.07901,\ "fbfexErn90_60": 1.14136,\ "fbfexErn180_90": 1.10007,\ "impliedEarningsMove": 0.036148,\ "quoteDate": "2023-11-03T19:59:44Z",\ "updatedAt": "2023-11-03T19:59:57Z",\ "snapShotEstTime": "1600",\ "snapShotDate": "2023-11-03T20:00:00Z"\ }\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/cores [Core Data](https://orats.com/docs/delayed-data-api#core-data) --------------------------------------------------------------- Retrieves core data. ### Optional attributes * Name `ticker` Type string Description The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Ex: AAPL,TSLA * Name `fields` Type string Description The fields to retrieve. Ex: tradeDate,slope,contango ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/cores curl -L "https://api.orats.io/datav2/cores?token=my-token&ticker=AAPL" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2023-11-03",\ "assetType": 3,\ "priorCls": 177.57,\ "pxAtmIv": 176.78,\ "mktCap": 2797004,\ "cVolu": 1017362,\ "cOi": 3728326,\ "pVolu": 832833,\ "pOi": 3573850,\ "orFcst20d": 22.104,\ "orIvFcst20d": 21.456,\ "orFcstInf": 19.73,\ "orIvXern20d": 18.31,\ "orIvXernInf": 24.82,\ "iv200Ma": 23.75,\ "atmIvM1": 19.465,\ "atmFitIvM1": 18.364,\ "atmFcstIvM1": 22.104,\ "dtExM1": 15,\ "atmIvM2": 18.958,\ "atmFitIvM2": 18.314,\ "atmFcstIvM2": 21.646,\ "dtExM2": 43,\ "atmIvM3": 19.562,\ "atmFitIvM3": 19.875,\ "atmFcstIvM3": 21.152,\ "dtExM3": 78,\ "atmIvM4": 21.805,\ "atmFitIvM4": 21.044,\ "atmFcstIvM4": 21.236,\ "dtExM4": 106,\ "iRate5wk": 5.53,\ "iRateLt": 5.26,\ "px1kGam": 2837.09,\ "volOfVol": 0.8586,\ "volOfIvol": 0.0325,\ "slope": 3.914655,\ "slopeInf": 4.49114,\ "slopeFcst": 3.93708,\ "slopeFcstInf": 4.47763,\ "deriv": 0.0777,\ "derivInf": 0.0966,\ "derivFcst": 0.0469,\ "derivFcstInf": 0.0852,\ "mktWidthVol": 0.234,\ "mktWidthVolInf": 0.467,\ "cAddPrem": 0,\ "pAddPrem": 0,\ "rip": 1.84319,\ "ivEarnReturn": 0,\ "fcstR2": 0.3304,\ "fcstR2Imp": 0.0874,\ "hiHedge": 0,\ "loHedge": 0,\ "stkVolu": 70672979,\ "avgOptVolu20d": 751195.75,\ "sector": "XLK Electronic Computer Manufacturing42941",\ "orHv1d": 23.2,\ "orHv5d": 20.82,\ "orHv10d": 22.85,\ "orHv20d": 20.82,\ "orHv60d": 21.92,\ "orHv90d": 21.23,\ "orHv120d": 20.26,\ "orHv252d": 25.27,\ "orHv500d": 30.01,\ "orHv1000d": 32.57,\ "clsHv5d": 10.54,\ "clsHv10d": 22.43,\ "clsHv20d": 18.21,\ "clsHv60d": 20.67,\ "clsHv90d": 20.42,\ "clsHv120d": 19.11,\ "clsHv252d": 23.61,\ "clsHv500d": 29.21,\ "clsHv1000d": 33.12,\ "iv20d": 18.89,\ "iv30d": 18.58,\ "iv60d": 19.22,\ "iv90d": 20.57,\ "iv6m": 22.11,\ "clsPx1w": 168.22,\ "stkPxChng1wk": 5.09,\ "clsPx1m": 173.66,\ "stkPxChng1m": 1.8,\ "clsPx6m": 173.0965,\ "stkPxChng6m": 2.13,\ "clsPx1y": 137.8866,\ "stkPxChng1y": 28.21,\ "divFreq": 91,\ "divYield": 0.6,\ "divGrwth": 0,\ "divDate": "2023-11-09",\ "divAmt": 0.24,\ "nextErn": "0000-00-00",\ "nextErnTod": 1630,\ "lastErn": "2023-08-03",\ "lastErnTod": 3,\ "absAvgErnMv": 3.8015,\ "impliedIee": 1.852,\ "daysToNextErn": 0,\ "tkOver": 0,\ "etfIncl": "",\ "bestEtf": "XLK",\ "sectorName": "Technology Hardware & Equipment",\ "correlSpy1m": 0.86,\ "correlSpy1y": -0.07,\ "correlEtf1m": 0.89,\ "correlEtf1y": 0.34,\ "beta1m": 0.94,\ "beta1y": 1.28,\ "ivPctile1m": 45,\ "ivPctile1y": 42,\ "ivPctileSpy": 78,\ "ivPctileEtf": 85,\ "ivStdvMean": -0.08,\ "ivStdv1y": 12.98,\ "ivSpyRatio": 1.56,\ "ivSpyRatioAvg1m": 1.36,\ "ivSpyRatioAvg1y": 1.26,\ "ivSpyRatioStdv1y": 0.82,\ "ivEtfRatio": 1.16,\ "ivEtfRatioAvg1m": 1.01,\ "ivEtfRatioAvg1y": 1,\ "ivEtFratioStdv1y": 5.57,\ "ivHvXernRatio": 1.03,\ "ivHvXernRatio1m": 1.05,\ "ivHvXernRatio1y": 0.96,\ "ivHvXernRatioStdv1y": 2.86,\ "etfIvHvXernRatio": 1.17,\ "etfIvHvXernRatio1m": 0.99,\ "etfIvHvXernRatio1y": 1,\ "etfIvHvXernRatioStdv1y": 0.08,\ "slopepctile": 70.63,\ "slopeavg1m": 4.15,\ "slopeavg1y": 3.53,\ "slopeStdv1y": 0.8,\ "etfSlopeRatio": 0.88,\ "etfSlopeRatioAvg1m": 0.92,\ "etfSlopeRatioAvg1y": 0.78,\ "etfSlopeRatioAvgStdv1y": 0.18,\ "impliedR2": 0.2473,\ "contango": -0.02,\ "nextDiv": 0.24,\ "impliedNextDiv": 0.2005,\ "annActDiv": 0.9826,\ "annIdiv": 0.2875,\ "borrow30": 5.3754,\ "borrow2yr": 4.751,\ "error": 0.0128,\ "confidence": 71.0872,\ "pxCls": 177.57,\ "wksNextErn": 12,\ "ernMnth": 2,\ "oi": 7302176,\ "straPxM1": 0.73,\ "straPxM2": 3.93,\ "smoothStraPxM1": 0.72,\ "smoothStrPxM2": 3.89,\ "fcstStraPxM1": 0.72,\ "fcstStraPxM2": 4.27,\ "loStrikeM1": 177.5,\ "hiStrikeM1": 177.5,\ "loStrikeM2": 177.5,\ "hiStrikeM2": 177.5,\ "ernDate1": "8/3/2023",\ "ernDate2": "5/4/2023",\ "ernDate3": "2/2/2023",\ "ernDate4": "10/27/2022",\ "ernDate5": "7/28/2022",\ "ernDate6": "4/28/2022",\ "ernDate7": "1/27/2022",\ "ernDate8": "10/28/2021",\ "ernDate9": "7/27/2021",\ "ernDate10": "4/28/2021",\ "ernDate11": "1/27/2021",\ "ernDate12": "10/29/2020",\ "ernMv1": -4.802,\ "ernMv2": 4.6927,\ "ernMv3": 2.44,\ "ernMv4": 7.5552,\ "ernMv5": 3.2793,\ "ernMv6": -3.6605,\ "ernMv7": 6.9777,\ "ernMv8": -1.8156,\ "ernMv9": -1.2196,\ "ernMv10": -0.0748,\ "ernMv11": -3.4985,\ "ernMv12": -5.6018,\ "ernStraPct1": 3.5538,\ "ernStraPct2": 4.0539,\ "ernStraPct3": 4.0071,\ "ernStraPct4": 4.6755,\ "ernStraPct5": 3.8751,\ "ernStraPct6": 5.5266,\ "ernStraPct7": 4.7299,\ "ernStraPct8": 3.0612,\ "ernStraPct9": 4.0046,\ "ernStraPct10": 3.9117,\ "ernStraPct11": 6.7393,\ "ernStraPct12": 5.3071,\ "ernEffct1": 1.8555,\ "ernEffct2": 1.5834,\ "ernEffct3": 1.9683,\ "ernEffct4": 2.1944,\ "ernEffct5": 1.2184,\ "ernEffct6": 1.8229,\ "ernEffct7": 1.8325,\ "ernEffct8": 1.5029,\ "ernEffct9": 1.3024,\ "ernEffct10": 1.0663,\ "ernEffct11": 0.9568,\ "ernEffct12": 1.5103,\ "orHvXern5d": 20.18,\ "orHvXern10d": 22.81,\ "orHvXern20d": 20.69,\ "orHvXern60d": 21.9,\ "orHvXern90d": 20.6,\ "orHvXern120d": 19.75,\ "orHvXern252d": 24.66,\ "orHvXern500d": 29.15,\ "orHvXern1000d": 31.99,\ "clsHvXern5d": 9.27,\ "clsHvXern10d": 21.02,\ "clsHvXern20d": 17.14,\ "clsHvXern60d": 20.4,\ "clsHvXern90d": 18.74,\ "clsHvXern120d": 17.72,\ "clsHvXern252d": 22.4,\ "clsHvXern500d": 27.58,\ "clsHvXern1000d": 31.96,\ "iv10d": 19.56,\ "iv1yr": 23.32,\ "fcstSlope": 3.9371,\ "fcstErnEffct": 1.5678,\ "ernMvStdv": 2.1593,\ "impliedEe": 1.852,\ "impErnMv": 2.86,\ "impMth2ErnMv": 2.86,\ "fairVol90d": 21.8055,\ "fairXieeVol90d": 21.0445,\ "fairMth2XieeVol90d": 18.3159,\ "impErnMv90d": 0.47,\ "impErnMvMth290d": 0.38,\ "exErnIv10d": 19.56,\ "exErnIv20d": 18.89,\ "exErnIv30d": 18.58,\ "exErnIv60d": 19.22,\ "exErnIv90d": 20.36,\ "exErnIv6m": 21.78,\ "exErnIv1yr": 22.8,\ "dlt5Iv10d": 20.67,\ "dlt5Iv20d": 20.26,\ "dlt5Iv30d": 18.96,\ "dlt5Iv60d": 18.03,\ "dlt5Iv90d": 18.93,\ "dlt5Iv6m": 19.69,\ "dlt5Iv1y": 20.65,\ "exErnDlt5Iv10d": 20.67,\ "exErnDlt5Iv20d": 20.26,\ "exErnDlt5Iv30d": 18.96,\ "exErnDlt5Iv60d": 18.03,\ "exErnDlt5Iv90d": 18.72,\ "exErnDlt5Iv6m": 19.36,\ "exErnDlt5Iv1y": 20.14,\ "dlt25Iv10d": 18.96,\ "dlt25Iv20d": 17.53,\ "dlt25Iv30d": 17.31,\ "dlt25Iv60d": 18.04,\ "dlt25Iv90d": 18.74,\ "dlt25Iv6m": 20.02,\ "dlt25Iv1y": 21.15,\ "exErnDlt25Iv10d": 18.96,\ "exErnDlt25Iv20d": 17.53,\ "exErnDlt25Iv30d": 17.31,\ "exErnDlt25Iv60d": 18.04,\ "exErnDlt25Iv90d": 18.53,\ "exErnDlt25Iv6m": 19.69,\ "exErnDlt25Iv1y": 20.63,\ "dlt75Iv10d": 22.29,\ "dlt75Iv20d": 21.2,\ "dlt75Iv30d": 20.91,\ "dlt75Iv60d": 21.96,\ "dlt75Iv90d": 23.41,\ "dlt75Iv6m": 25.18,\ "dlt75Iv1y": 26.62,\ "exErnDlt75Iv10d": 22.29,\ "exErnDlt75Iv20d": 21.2,\ "exErnDlt75Iv30d": 20.91,\ "exErnDlt75Iv60d": 21.96,\ "exErnDlt75Iv90d": 23.2,\ "exErnDlt75Iv6m": 24.84,\ "exErnDlt75Iv1y": 26.1,\ "dlt95Iv10d": 35.04,\ "dlt95Iv20d": 33.12,\ "dlt95Iv30d": 33,\ "dlt95Iv60d": 31.69,\ "dlt95Iv90d": 32.97,\ "dlt95Iv6m": 35.33,\ "dlt95Iv1y": 35.34,\ "exErnDlt95Iv10d": 35.04,\ "exErnDlt95Iv20d": 33.12,\ "exErnDlt95Iv30d": 33,\ "exErnDlt95Iv60d": 31.69,\ "exErnDlt95Iv90d": 32.76,\ "exErnDlt95Iv6m": 34.83,\ "exErnDlt95Iv1y": 34.83,\ "fwd30_20": 17.96,\ "fwd60_30": 19.84,\ "fwd90_60": 23.02,\ "fwd180_90": 23.55,\ "fwd90_30": 21.49,\ "fexErn30_20": 17.96,\ "fexErn60_30": 19.84,\ "fexErn90_60": 22.46,\ "fexErn180_90": 23.11,\ "fexErn90_30": 21.19,\ "ffwd30_20": 17.34,\ "ffwd60_30": 20.84,\ "ffwd90_60": 26.78,\ "ffwd180_90": 26.08,\ "ffwd90_30": 23.37,\ "ffexErn30_20": 17.34,\ "ffexErn60_30": 20.84,\ "ffexErn90_60": 25.63,\ "ffexErn180_90": 25.42,\ "ffexErn90_30": 22.86,\ "fbfwd30_20": 0.965506,\ "fbfwd60_30": 1.05021,\ "fbfwd90_60": 1.16336,\ "fbfwd180_90": 1.1071,\ "fbfwd90_30": 1.08745,\ "fbfexErn30_20": 0.965506,\ "fbfexErn60_30": 1.05021,\ "fbfexErn90_60": 1.14136,\ "fbfexErn180_90": 1.10007,\ "fbfexErn90_30": 1.07901,\ "impliedEarningsMove": 3.61,\ "updatedAt": "2023-11-03 20:55:07"\ }\ ] } CopyCopied! * * * GEThttps://api.orats.io/datav2/ivrank [IV Rank](https://orats.com/docs/delayed-data-api#iv-rank) ----------------------------------------------------------- Retrieves current IV rank data. ### Optional attributes * Name `ticker` Type string Description The ticker to retrieve (multiple tickers should be comma delimited - max of 10 allowed). Ex: AAPL,TSLA * Name `fields` Type string Description The fields to retrieve. Ex: tradeDate,ivRank1m ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/ivrank curl -L "https://api.orats.io/datav2/ivrank?token=my-token&ticker=AAPL" CopyCopied! ### Response { "data": [\ {\ "ticker": "AAPL",\ "tradeDate": "2023-11-03",\ "iv": 18.311,\ "ivRank1m": 0,\ "ivPct1m": 0,\ "ivRank1y": 17.49,\ "ivPct1y": 12.75,\ "updatedAt": "2023-11-03T20:55:02Z"\ }\ ] } CopyCopied! Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Live Intraday API - ORATS API Reference [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Live Intraday API ================= Get live one-minute options data for over 5,000 symbols, calculated in real-time with less than 10 seconds of market delay. History can be queried from August 2020 up to 1 minute ago. Note that when querying live data, the stockPrice field is calculated using put-call parity and may not reflect the exact stock price. The stockPrice field is exact after 15 minutes. We cover dates going back to January 2022 for Strikes by OPRA. You can find the list of symbols we cover [here](https://s3.amazonaws.com/assets.orats.com/oneMinuteOpraTickers.json) . If you see any missing symbols or want to see a symbol listed, please email us at [support@orats.com](mailto:support@orats.com) . All responses are in CSV format. Data endpoint url: * Name `https://api.orats.io/datav2` Description * * * GEThttps://api.orats.io/datav2/live/one-minute/strikes/chain [Strikes Chain](https://orats.com/docs/live-intraday-api#strikes-chain) ------------------------------------------------------------------------ Retrieves latest one-minute strikes chain data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/live/one-minute/strikes/chain curl "https://api.orats.io/datav2/live/one-minute/strikes/chain?token=my-token&ticker=AAPL" CopyCopied! ### Response ticker,tradeDate,expirDate,dte,strike,stockPrice,callVolume,callOpenInterest,callBidSize,callAskSize,putVolume,putOpenInterest,putBidSize,putAskSize,callBidPrice,callValue,callAskPrice,putBidPrice,putValue,putAskPrice,callBidIv,callMidIv,callAskIv,smvVol,putBidIv,putMidIv,putAskIv,residualRate,delta,gamma,theta,vega,rho,phi,driftlessTheta,callSmvVol,putSmvVol,extSmvVol,extCallValue,extPutValue,spotPrice,quoteDate,updatedAt,snapShotEstTime,snapShotDate,expiryTod,tickerId,monthId AAPL,2022-08-08,2022-08-12,5,70,164.97,7,0,32,32,1,0,0,1062,94.9,94.99735594956346,95.05,0,0,0.01,0,3.416073471729017,3.416073471729017,0.507,0,2.7071465082165136,2.7071465082165136,-0.013350250803700149,0.9999999999999952,-9.736143458842675e-15,-0.0067960477493707455,0.00001999999630239624,0.007715207338436186,-0.018189631703080522,-2.6434056979250683e-8,0.42357461242031014,0.5114633136520604,0.4454086022576971,94.99735594956285,0,164.97,2022-08-08T19:27:41Z,2022-08-08T19:27:52Z,1528,2022-08-08T19:28:01Z,pm,101594,1 AAPL,2022-08-08,2022-08-12,5,75,164.97,1,0,66,32,0,10,0,1057,89.9,89.99930994596083,90.05,0,0,0.01,0,3.150934070395639,3.150934070395639,0.507,0,2.500483852993156,2.500483852993156,-0.013350250803700149,0.9999999999999859,-9.74511381879308e-15,-0.007281479731492617,0.00001999999630239624,0.008266293581908528,-0.018189631418863428,-2.8317812454145743e-8,0.42357461242031014,0.5114633136520604,0.4454086022576971,89.99930994596026,0,164.97,2022-08-08T19:27:41Z,2022-08-08T19:27:52Z,1528,2022-08-08T19:28:01Z,pm,101594,1 CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/live/one-minute/strikes/chain [Strikes Chain History](https://orats.com/docs/live-intraday-api#strikes-chain-history) ---------------------------------------------------------------------------------------- Retrieves historical one-minute strikes chain data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL * Name `tradeDate` Type string Description The trade date to retrieve, formatted by YYYYMMDDHHMM (in EST). Ex: 202206071100 ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/live/one-minute/strikes/chain curl -L "https://api.orats.io/datav2/hist/live/one-minute/strikes/chain?token=my-token&ticker=AAPL&tradeDate=202206071100" CopyCopied! ### Response ticker,tradeDate,expirDate,dte,strike,stockPrice,callVolume,callOpenInterest,callBidSize,callAskSize,putVolume,putOpenInterest,putBidSize,putAskSize,callBidPrice,callValue,callAskPrice,putBidPrice,putValue,putAskPrice,callBidIv,callMidIv,callAskIv,smvVol,putBidIv,putMidIv,putAskIv,residualRate,delta,gamma,theta,vega,rho,phi,driftlessTheta,callSmvVol,putSmvVol,extSmvVol,extCallValue,extPutValue,spotPrice,quoteDate,updatedAt,snapShotEstTime,snapShotDate,expiryTod,tickerId,monthId AAPL,2022-06-07,2022-06-10,4,95,147.76,0,2,1,1,0,336,0,586,52.7,52.76710955986101,52.85,0,0,0.01,0,2.084174177089487,2.084174177089487,0.648,0,1.6377716355668939,1.6377716355668939,-0.002010611708955635,0.9999999999999994,-8.847388963482095e-15,-0.002214926596611274,0.000019999998193297865,0.008353445283981194,-0.012988378941258816,-1.929555505329921e-9,0.5605747284419511,0.6517013469914322,0.5670216551072182,52.767109559860835,-1.3215709583605508e-17,147.76,2022-06-07T14:59:53Z,2022-06-07T14:59:54Z,1100,2022-06-07T15:00:01Z,pm,101594,1 AAPL,2022-06-07,2022-06-10,4,100,147.76,0,16,1,1,0,3274,0,590,47.7,47.767483747222116,47.85,0,4.203770523998158e-14,0.01,0,1.864781840275735,1.864781840275735,0.648,0,1.4595764595205079,1.4595764595205079,-0.002010611708955635,0.9999999999999672,2.8894598065378106e-14,-0.002331501680987543,0.000019999998193297865,0.008793100367150072,-0.012988379296530184,-2.013365888316701e-9,0.560574728441489,0.6517013469909696,0.5670216551072182,47.76748374722192,1.9833801904247632e-15,147.76,2022-06-07T14:59:53Z,2022-06-07T14:59:54Z,1100,2022-06-07T15:00:01Z,pm,101594,1 CopyCopied! * * * GEThttps://api.orats.io/datav2/live/one-minute/strikes/option [Strikes by OPRA](https://orats.com/docs/live-intraday-api#strikes-by-opra) ---------------------------------------------------------------------------- Retrieves latest one-minute strikes by OPRA symbol without call/put distinction. Each row of the output has both calls and puts. OPRA symbol uses the format Underlying Symbol + Expiration Date (YYMMDD) + Strike (5 whole numbers and 3 decimals). ### Required attributes * Name `ticker` Type string Description OPRA symbol using format Ticker + Expiry (YYMMDD) + strike (5 whole numbers and 3 decimals). Ex: AAPL24062100160000 ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/live/one-minute/strikes/option curl -L "https://api.orats.io/datav2/live/one-minute/strikes/option?token=my-token&ticker=AAPL24062100160000" CopyCopied! ### Response ticker,tradeDate,expirDate,dte,strike,stockPrice,callVolume,callOpenInterest,callBidSize,callAskSize,putVolume,putOpenInterest,putBidSize,putAskSize,callBidPrice,callValue,callAskPrice,putBidPrice,putValue,putAskPrice,callBidIv,callMidIv,callAskIv,smvVol,putBidIv,putMidIv,putAskIv,residualRate,delta,gamma,theta,vega,rho,phi,driftlessTheta,callSmvVol,putSmvVol,extSmvVol,extCallValue,extPutValue,spotPrice,quoteDate,updatedAt,snapShotEstTime,snapShotDate,expiryTod,tickerId,monthId AAPL,2022-08-08,2024-06-21,684,160,164.93,28,4685,537,26,5,3486,14,24,32.8,34.1585,34.6,21.05,21.283,21.5,0.296369,0.307393,0.318417,0.315,0.313132,0.315868,0.318604,-0.0047467,0.658228,0.00507431,-0.0250176,0.816399,1.38544,-2.02985,-0.0188118,0.313009,0.315965,0.316357,34.4318,21.3147,164.93,2022-08-08T20:14:38Z,2022-08-08T20:14:47Z,1615,2022-08-08T20:15:01Z,pm,101594,18 CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/live/one-minute/strikes/option [Strikes by OPRA History](https://orats.com/docs/live-intraday-api#strikes-by-opra-history) -------------------------------------------------------------------------------------------- Retrieves historical one-minute strikes by OPRA symbol without call/put distinction. Each row of the output has both calls and puts. OPRA symbol uses the format Underlying Symbol + Expiration Date (YYMMDD) + Strike (5 whole numbers and 3 decimals). If specifying a range, there is a 40 trading day max. ### Required attributes * Name `ticker` Type string Description OPRA symbol using format Ticker + Expiry (YYMMDD) + strike (5 whole numbers and 3 decimals). Ex: AAPL22091600160000 * Name `tradeDate` Type string Description The trade date to retrieve, formatted by YYYYMMDDHHMM (in EST). You may specify a range by doing YYYYMMDDHHMM,YYYYMMDDHHMM. Ex: 202206081000,202207201300 ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/live/one-minute/strikes/option curl -L "https://api.orats.io/datav2/hist/live/one-minute/strikes/option?token=my-token&ticker=AAPL22091600160000&tradeDate=202206081000,202207201300" CopyCopied! ### Response ticker,tradeDate,expirDate,dte,strike,stockPrice,callVolume,callOpenInterest,callBidSize,callAskSize,putVolume,putOpenInterest,putBidSize,putAskSize,callBidPrice,callValue,callAskPrice,putBidPrice,putValue,putAskPrice,callBidIv,callMidIv,callAskIv,smvVol,putBidIv,putMidIv,putAskIv,residualRate,delta,gamma,theta,vega,rho,phi,driftlessTheta,callSmvVol,putSmvVol,extSmvVol,extCallValue,extPutValue,spotPrice,quoteDate,updatedAt,snapShotEstTime,snapShotDate,expiryTod,tickerId,monthId AAPL,2022-06-08,2022-09-16,101,160,149.67,150,28206,253,510,7,18438,124,104,5.8,5.860204002795059,5.9,15.55,15.641054396787531,15.7,0.3063158772183223,0.30801686256479954,0.3097178479112768,0.308,0.3038649107227709,0.3064286008767878,0.3089922910308047,-0.008209120374803128,0.38161255239927655,0.015355889799308844,-0.047622767388992515,0.2939141986686304,0.13545210863618393,-0.15118639086979158,-0.0459052133276907,0.3083639997493957,0.3069773808630928,0.3215480409289392,6.247634998832532,16.067895502105014,149.67,2022-06-08T13:59:50Z,2022-06-08T13:59:51Z,1000,2022-06-08T14:00:01Z,pm,101594,9 AAPL,2022-06-08,2022-09-16,101,160,149.45,158,28206,1,215,7,18438,229,102,5.75,5.78583812885739,5.8,15.7,15.782968253643883,15.85,0.30745849466065145,0.3083088916342891,0.3091592886079268,0.308,0.30432705746682837,0.30689074762084534,0.3094544377748623,-0.008209120374803128,0.37823425664342863,0.015355889799308844,-0.047622767388992515,0.2939141986686304,0.13545210863618393,-0.15118639086979158,-0.0459052133276907,0.3086775601134979,0.3071631227329991,0.3215480409289392,6.1640518498378345,16.204312353110314,149.45,2022-06-08T14:00:55Z,2022-06-08T14:00:56Z,1001,2022-06-08T14:01:01Z,pm,101594,9 AAPL,2022-06-08,2022-09-16,101,160,149.12,159,28206,152,1299,13,18438,234,132,5.6,5.66120101953646,5.7,15.9,15.991901944264272,16.05,0.3065732423106423,0.30827422765711954,0.3099752130035968,0.308,0.3041222758150914,0.30668596596910835,0.3092496561231253,-0.008209120374803128,0.37316681300965693,0.015355889799308844,-0.047622767388992515,0.2939141986686304,0.13545210863618393,-0.15118639086979158,-0.0459052133276907,0.30865528305906204,0.3072637172770291,0.3215480409289392,6.040070673345081,16.410331176617547,149.12,2022-06-08T14:02:00Z,2022-06-08T14:02:01Z,1002,2022-06-08T14:02:02Z,pm,101594,9 CopyCopied! * * * GEThttps://api.orats.io/datav2/live/one-minute/monies/implied [Implied Monies](https://orats.com/docs/live-intraday-api#implied-monies) -------------------------------------------------------------------------- Retrieves latest one-minute implied monies data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/live/one-minute/monies/implied curl -L "https://api.orats.io/datav2/live/one-minute/monies/implied?token=my-token&ticker=AAPL" CopyCopied! ### Response ticker,tradeDate,expirDate,stockPrice,riskFreeRate,yieldRate,residualYieldRate,residualRateSlp,residualR2,confidence,mwVol,vol100,vol95,vol90,vol85,vol80,vol75,vol70,vol65,vol60,vol55,vol50,vol45,vol40,vol35,vol30,vol25,vol20,vol15,vol10,vol5,vol0,typeFlag,atmiv,slope,deriv,fit,spotPrice,calVol,unadjVol,earnEffect,quoteDate,updatedAt,snapShotEstTime,snapShotDate,expiryTod,tickerId,monthId,dte,dtePct AAPL,2022-08-08,2022-08-12,164.93,0.0221,0,-0.00477966,0,0.0422086,0.690502,0.00232159,0.455375,0.406893,0.358718,0.338995,0.320028,0.30949,0.299404,0.299098,0.290908,0.282892,0.282696,0.282531,0.271703,0.271468,0.271394,0.270453,0.265814,0.265862,0.270007,0.273219,0.277525,0,0.286222,2.79442,0.0330865,0.000002554,164.93,0.24758,0.24758,0,2022-08-08T20:14:38Z,2022-08-08T20:14:47Z,1615,2022-08-08T20:15:01Z,pm,101594,1,5,0.0109516 AAPL,2022-08-08,2022-08-19,164.93,0.0221,0,-0.00586294,-0.00593799,0.00215375,0.882744,0.00187249,0.417163,0.369472,0.33087,0.305389,0.296216,0.282685,0.275066,0.268592,0.267276,0.256348,0.25576,0.253948,0.245183,0.245044,0.241405,0.237919,0.233579,0.231799,0.229693,0.231226,0.240688,0,0.257664,3.71799,0.0551566,0.0000037646,164.93,0.251782,0.251782,0,2022-08-08T20:14:38Z,2022-08-08T20:14:47Z,1615,2022-08-08T20:15:01Z,pm,101594,2,12,0.030117 AAPL,2022-08-08,2022-08-26,164.93,0.0221,0,-0.00511246,0.00247764,0.00261598,0.978687,0.00260103,0.436008,0.380188,0.340414,0.312732,0.296872,0.287487,0.279312,0.269199,0.267639,0.258127,0.256451,0.248687,0.245942,0.241257,0.237451,0.231226,0.22942,0.224211,0.221337,0.221803,0.233307,0,0.256676,4.37982,0.0599438,0.0000066342,164.93,0.254843,0.254843,0,2022-08-08T20:14:38Z,2022-08-08T20:14:47Z,1615,2022-08-08T20:15:01Z,pm,101594,3,19,0.0492824 CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/live/one-minute/monies/implied [Implied Monies History](https://orats.com/docs/live-intraday-api#implied-monies-history) ------------------------------------------------------------------------------------------ Retrieves historical one-minute implied monies data. If specifying a range, there is a 20 trading day max. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL * Name `tradeDate` Type string Description The trade date to retrieve, formatted by YYYYMMDD or YYYYMMDDHHMM (in EST). You may specify a range by doing YYYYMMDD,YYYYMMDD or YYYYMMDDHHMM,YYYYMMDDHHMM. Ex: 202202110945,202202140945 ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/live/one-minute/monies/implied curl -L "https://api.orats.io/datav2/hist/live/one-minute/monies/implied?token=my-token&ticker=AAPL&tradeDate=202202110945,202202140945" CopyCopied! ### Response ticker,tradeDate,expirDate,stockPrice,riskFreeRate,yieldRate,residualYieldRate,residualRateSlp,residualR2,confidence,mwVol,vol100,vol95,vol90,vol85,vol80,vol75,vol70,vol65,vol60,vol55,vol50,vol45,vol40,vol35,vol30,vol25,vol20,vol15,vol10,vol5,vol0,typeFlag,atmiv,slope,deriv,fit,spotPrice,calVol,unadjVol,earnEffect,quoteDate,updatedAt,snapShotEstTime,snapShotDate,expiryTod,tickerId,monthId,dte,dtePct AAPL,2022-02-11,2022-02-11,171.82,0.0005,0,-0.34491491,0,0,0.40237183,0.00736961,0.822626,0.766027,0.704537,0.676419,0.579262,0.578043,0.577021,0.528118,0.512375,0.513479,0.504008,0.496072,0.495923,0.495848,0.495715,0.486394,0.480684,0.499007,0.499536,0.500076,0.500632,0,0.532444,4.5524789509,0,1000000000,171.82,0.248586,0.248586,0,2022-02-11T14:44:48Z,2022-02-11T14:44:50Z,0945,2022-02-11T14:45:01Z,pm AAPL,2022-02-11,2022-02-18,171.82,0.0005,0,-0.02027274,0,0.00896472,0.83407075,0.00233148,0.471737,0.417083,0.374581,0.347646,0.331594,0.311237,0.308427,0.28652,0.28534,0.281656,0.264572,0.264296,0.261586,0.248669,0.248482,0.244334,0.240234,0.240019,0.239488,0.24666,0.259266,0,0.272248,5.1761439917,0.1205850741,0.0000104429,171.82,0.25334,0.25334,0,2022-02-11T14:44:48Z,2022-02-11T14:44:50Z,0945,2022-02-11T14:45:01Z,pm CopyCopied! * * * GEThttps://api.orats.io/datav2/live/one-minute/summaries [Summaries](https://orats.com/docs/live-intraday-api#summaries) ---------------------------------------------------------------- Retrieves latest one-minute summaries data. ### Optional attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/live/one-minute/summaries curl -L "https://api.orats.io/datav2/live/one-minute/summaries?token=my-token&ticker=AAPL" CopyCopied! ### Response ticker,tradeDate,stockPrice,annActDiv,annIdiv,borrow30,borrow2y,confidence,exErnIv10d,exErnIv20d,exErnIv30d,exErnIv60d,exErnIv90d,exErnIv6m,exErnIv1y,ieeEarnEffect,impliedMove,impliedNextDiv,iv10d,iv20d,iv30d,iv60d,iv90d,iv6m,iv1y,mwAdj30,mwAdj2y,nextDiv,rDrv30,rDrv2y,rSlp30,rSlp2y,rVol30,rVol2y,rip,riskFree30,riskFree2y,skewing,contango,totalErrorConf,dlt5Iv10d,dlt5Iv20d,dlt5Iv30d,dlt5Iv60d,dlt5Iv90d,dlt5Iv6m,dlt5Iv1y,exErnDlt5Iv10d,exErnDlt5Iv20d,exErnDlt5Iv30d,exErnDlt5Iv60d,exErnDlt5Iv90d,exErnDlt5Iv6m,exErnDlt5Iv1y,dlt25Iv10d,dlt25Iv20d,dlt25Iv30d,dlt25Iv60d,dlt25Iv90d,dlt25Iv6m,dlt25Iv1y,exErnDlt25Iv10d,exErnDlt25Iv20d,exErnDlt25Iv30d,exErnDlt25Iv60d,exErnDlt25Iv90d,exErnDlt25Iv6m,exErnDlt25Iv1y,dlt75Iv10d,dlt75Iv20d,dlt75Iv30d,dlt75Iv60d,dlt75Iv90d,dlt75Iv6m,dlt75Iv1y,exErnDlt75Iv10d,exErnDlt75Iv20d,exErnDlt75Iv30d,exErnDlt75Iv60d,exErnDlt75Iv90d,exErnDlt75Iv6m,exErnDlt75Iv1y,dlt95Iv10d,dlt95Iv20d,dlt95Iv30d,dlt95Iv60d,dlt95Iv90d,dlt95Iv6m,dlt95Iv1y,exErnDlt95Iv10d,exErnDlt95Iv20d,exErnDlt95Iv30d,exErnDlt95Iv60d,exErnDlt95Iv90d,exErnDlt95Iv6m,exErnDlt95Iv1y,fwd30_20,fwd60_30,fwd90_30,fwd90_60,fwd180_90,fexErn30_20,fexErn60_30,fexErn90_30,fexErn90_60,fexErn180_90,ffwd30_20,ffwd60_30,ffwd90_30,ffwd90_60,ffwd180_90,ffexErn30_20,ffexErn60_30,ffexErn90_30,ffexErn90_60,ffexErn180_90,fbfwd30_20,fbfwd60_30,fbfwd90_30,fbfwd90_60,fbfwd180_90,fbfexErn30_20,fbfexErn60_30,fbfexErn90_30,fbfexErn90_60,fbfexErn180_90,impliedEarningsMove,quoteDate,updatedAt,snapShotEstTime,snapShotDate,tickerId AAPL,2022-08-10,168.13,0.92,0.577168,0.0240989,0.0308661,0.94163,0.236456,0.2345,0.230674,0.251319,0.260055,0.266576,0.275669,2.73106,0.0588134,0.25396,0.236456,0.2345,0.230674,0.251319,0.270143,0.281245,0.291765,0.00302124,0.00334558,0.23,0.0870727,0.0914997,5.35288,4.53795,0.242958,0.293518,2.55231,0.0250187,0.0323364,-0.0456458,0.00381095,0.000047697,0.208995,0.204869,0.207791,0.221464,0.237138,0.252617,0.263561,0.208995,0.204869,0.207791,0.221464,0.22705,0.237948,0.247466,0.211323,0.213402,0.211431,0.226892,0.24233,0.25523,0.268807,0.211323,0.213402,0.211431,0.226892,0.232242,0.240562,0.252712,0.267137,0.270875,0.272603,0.294429,0.313032,0.324079,0.329559,0.267137,0.270875,0.272603,0.294429,0.302944,0.309411,0.313463,0.367262,0.373425,0.36008,0.397318,0.429794,0.438355,0.421883,0.367262,0.373425,0.36008,0.397318,0.419706,0.423687,0.405788,0.222824,0.270393,0.287855,0.304318,0.291924,0.222824,0.270393,0.273565,0.276701,0.272942,0.214888,0.302163,0.324348,0.355608,0.308735,0.214888,0.302163,0.300941,0.300146,0.28243,0.964385,1.1175,1.12677,1.16854,1.05759,0.964385,1.1175,1.10007,1.08473,1.03476,0.0458452,2022-08-10T16:52:46Z,2022-08-10T16:52:57Z,1253,2022-08-10T16:53:02Z,101594 CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/live/one-minute/summaries [Summaries History](https://orats.com/docs/live-intraday-api#summaries-history) -------------------------------------------------------------------------------- Retrieves historical one-minute summaries data. If specifying a range, there is a 40 trading day max. ### Required attributes * Name `tradeDate` Type string Description The trade date to retrieve, formatted by YYYYMMDD or YYYYMMDDHHMM (in EST). You may specify a range by doing YYYYMMDD,YYYYMMDD or YYYYMMDDHHMM,YYYYMMDDHHMM. Ex: 202203211200,202204201300 ### Optional attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/live/one-minute/summaries curl -L "https://api.orats.io/datav2/hist/live/one-minute/summaries?token=my-token&ticker=AAPL&tradeDate=202203211200,202204201300" CopyCopied! ### Response ticker,tradeDate,stockPrice,annActDiv,annIdiv,borrow30,borrow2y,confidence,exErnIv10d,exErnIv20d,exErnIv30d,exErnIv60d,exErnIv90d,exErnIv6m,exErnIv1y,ieeEarnEffect,impliedMove,impliedNextDiv,iv10d,iv20d,iv30d,iv60d,iv90d,iv6m,iv1y,mwAdj30,mwAdj2y,nextDiv,rDrv30,rDrv2y,rSlp30,rSlp2y,rVol30,rVol2y,rip,riskFree30,riskFree2y,skewing,contango,totalErrorConf,dlt5Iv10d,dlt5Iv20d,dlt5Iv30d,dlt5Iv60d,dlt5Iv90d,dlt5Iv6m,dlt5Iv1y,exErnDlt5Iv10d,exErnDlt5Iv20d,exErnDlt5Iv30d,exErnDlt5Iv60d,exErnDlt5Iv90d,exErnDlt5Iv6m,exErnDlt5Iv1y,dlt25Iv10d,dlt25Iv20d,dlt25Iv30d,dlt25Iv60d,dlt25Iv90d,dlt25Iv6m,dlt25Iv1y,exErnDlt25Iv10d,exErnDlt25Iv20d,exErnDlt25Iv30d,exErnDlt25Iv60d,exErnDlt25Iv90d,exErnDlt25Iv6m,exErnDlt25Iv1y,dlt75Iv10d,dlt75Iv20d,dlt75Iv30d,dlt75Iv60d,dlt75Iv90d,dlt75Iv6m,dlt75Iv1y,exErnDlt75Iv10d,exErnDlt75Iv20d,exErnDlt75Iv30d,exErnDlt75Iv60d,exErnDlt75Iv90d,exErnDlt75Iv6m,exErnDlt75Iv1y,dlt95Iv10d,dlt95Iv20d,dlt95Iv30d,dlt95Iv60d,dlt95Iv90d,dlt95Iv6m,dlt95Iv1y,exErnDlt95Iv10d,exErnDlt95Iv20d,exErnDlt95Iv30d,exErnDlt95Iv60d,exErnDlt95Iv90d,exErnDlt95Iv6m,exErnDlt95Iv1y,fwd30_20,fwd60_30,fwd90_30,fwd90_60,fwd180_90,fexErn30_20,fexErn60_30,fexErn90_30,fexErn90_60,fexErn180_90,ffwd30_20,ffwd60_30,ffwd90_30,ffwd90_60,ffwd180_90,ffexErn30_20,ffexErn60_30,ffexErn90_30,ffexErn90_60,ffexErn180_90,fbfwd30_20,fbfwd60_30,fbfwd90_30,fbfwd90_60,fbfwd180_90,fbfexErn30_20,fbfexErn60_30,fbfexErn90_30,fbfexErn90_60,fbfexErn180_90,impliedEarningsMove,quoteDate,updatedAt,snapShotEstTime,snapShotDate,tickerId AAPL,2022-03-21,166.22,0.88,-0.030501700497891755,0.0012335342067922616,0.005967010812264116,0.9062976215870175,0.2691076243180253,0.25002115858659046,0.24953515493735406,0.2570358680647452,0.25776065924064673,0.2673295309370509,0.2760664141229448,2.76252676507744,0.058162225999935806,0.11814462105949879,0.2691076243180253,0.25002115858659046,0.24953515493735406,0.2842672561905017,0.27651871018897006,0.2868625714862618,0.2960151628577885,0.0030798477320329396,0.0042004712766090585,0.22,0.11989266226151267,0.10402264522928982,5.068172461202872,4.112135441403901,0.253705182488262,0.28607228023223447,2.6001404736617646,0.0035399298671328822,0.010882978439027111,0.06894718786252692,0.0004729395420282725,0.00007697163724165882,0.2498937741387534,0.23383584732275753,0.23358049650676932,0.26678379901877136,0.2605747047521941,0.2649723137372702,0.27496767030856595,0.2498937741387534,0.23383584732275753,0.23358049650676932,0.23955241089301488,0.2418166538038707,0.2454392731880593,0.25501892157372225,0.2474237319063058,0.22953830776360723,0.22588195485074342,0.25764830738467026,0.2539892717239932,0.262664362006187,0.27774677237928774,0.2474237319063058,0.22953830776360723,0.22588195485074342,0.23041691925891378,0.23523122077566985,0.24313132145697608,0.25779802364444404,0.30977601886195805,0.29241020276003077,0.2953804042390964,0.33394832860961615,0.3301261466668506,0.3306590819770428,0.3326692154774713,0.30977601886195805,0.29241020276003077,0.2953804042390964,0.30671694048385967,0.3113680957185272,0.3111260414278319,0.3127204667426276,0.40525419190022194,0.4381512697658906,0.4330114434409884,0.48352048523799196,0.4712197374732397,0.441915638181247,0.43374780635542876,0.40525419190022194,0.4381512697658906,0.4330114434409884,0.4562890971122355,0.45246168652491636,0.4223825976320361,0.41379905762058505,0.2485602968433733,0.3151951020154713,0.28906746418795176,0.26033064623582486,0.2968462106122457,0.2485602968433733,0.2643238191952911,0.26177650659189133,0.25920416164275634,0.27656753021617436,0.2485602968433733,0.3689625060367343,0.3139428419756396,0.24246296548506868,0.312409313637213,0.2485602968433733,0.27573233638865524,0.26909219726698463,0.26029952529970174,0.29106745917682225,1,1.1705845163121344,1.0860538831568878,0.9313654346535504,1.0524281680836296,1,1.0431611393483051,1.0279463224960002,1.004225872185089,1.0524281680836296,0.041638993768723404,2022-03-21T15:59:56Z,2022-03-21T15:59:57Z,1200,2022-03-21T16:00:01Z,101594 AAPL,2022-03-21,166.13,0.88,-0.030007401392111235,0.0012335342067922616,0.005967010812264116,0.9062976215870175,0.27100089712038916,0.25103123698566093,0.24937717118740227,0.25906754302840723,0.2590133812852985,0.26736024686101917,0.276226744520322,2.76252676507744,0.05813846830692143,0.11820116441584169,0.27100089712038916,0.25103123698566093,0.24937717118740227,0.28629824139077886,0.27777143223362183,0.28689328741023007,0.2961754932551657,0.0030798477320329396,0.0042004712766090585,0.22,0.11989266226151267,0.10402264522928982,5.068172461202872,4.112135441403901,0.253705182488262,0.28607228023223447,2.5987326247709697,0.0035399298671328822,0.010882978439027111,0.06894718786252692,0.0007428677354005823,0.00007334019683873803,0.25132433413141475,0.2340972186431129,0.23366060715700673,0.2670751582342546,0.26113509285969727,0.2652292431002576,0.2751648748072449,0.25132433413141475,0.2340972186431129,0.23366060715700673,0.23984445987188294,0.2423770419113739,0.24569620255104668,0.2552161260724012,0.24748686653097274,0.22970873345624676,0.2256061183446325,0.2575265910600556,0.2541358571749943,0.26276036525449603,0.277742661372113,0.24748686653097274,0.22970873345624676,0.2256061183446325,0.23029589269768394,0.23537780622667095,0.24322732470528513,0.2577939126372693,0.3098084706671589,0.29319897102616793,0.2962193012892055,0.33427209620689197,0.33055236537335847,0.33048450466242546,0.3325517426475745,0.3098084706671589,0.29319897102616793,0.2962193012892055,0.30704139784452034,0.31179431442503514,0.31095146411321456,0.3126029939127308,0.4053586096816214,0.4384588311067795,0.43315032526661,0.4835047003558075,0.4711655794623729,0.4417919475532985,0.4335916583269727,0.4053586096816214,0.4384588311067795,0.43315032526661,0.4562740019934359,0.45240752851404953,0.4222589070040876,0.413642909592129,0.2460356816463634,0.31897396843233844,0.29093120508628995,0.25987985618059617,0.2957339144517926,0.2460356816463634,0.26840829009574263,0.2636994705579624,0.2589050238079188,0.2754543002356775,0.24339119015313487,0.3762349558045318,0.31679843311776507,0.23883903536091833,0.3094478051777454,0.24339119015313487,0.28313805317833823,0.27189799306019424,0.2589050238079188,0.2879925827581049,0.9892515936081597,1.1795161769896583,1.0889118375040001,0.9190363534561289,1.0463723978069086,0.9892515936081597,1.0548781972320656,1.031090401830859,1,1.0455185579302981,0.041652905569824504,2022-03-21T16:00:45Z,2022-03-21T16:00:45Z,1201,2022-03-21T16:01:02Z,101594 AAPL,2022-03-21,166.07,0.88,-0.02967625934112468,0.0012335342067922616,0.005967010812264116,0.9062976215870175,0.2706436465006128,0.25264214882394964,0.2497544151836513,0.26007847320550065,0.2598775746996468,0.2677378828959053,0.27634476965237065,2.76252676507744,0.058135515510218366,0.11823986506390423,0.2706436465006128,0.25264214882394964,0.2497544151836513,0.28730908583854464,0.2786356256479701,0.2872709234451162,0.29629351838721435,0.0030798477320329396,0.0042004712766090585,0.22,0.11989266226151267,0.10402264522928982,5.068172461202872,4.112135441403901,0.253705182488262,0.28607228023223447,2.5977940588437587,0.0035399298671328822,0.010882978439027111,0.06894718786252692,0.0007764165769891998,0.00007560886538548018,0.25258299221462205,0.23410016167042041,0.2340288973681411,0.2673904223110831,0.26121508863873455,0.2652964765816571,0.2753448786727461,0.25258299221462205,0.23410016167042041,0.2340288973681411,0.24015980967803913,0.2424570376904112,0.24576343603244621,0.2553961299379024,0.24684797896539198,0.22949605798604233,0.22606581657420838,0.2579547002419973,0.2544919864770816,0.26282626147027893,0.27802174314472194,0.24684797896539198,0.22949605798604233,0.22606581657420838,0.2307240876089533,0.23573393552875824,0.24329322092106803,0.25807299440987824,0.3093643416264815,0.2936432538129189,0.29635139188482895,0.3346263512338079,0.33066632460779044,0.3304247140964938,0.3328926271087523,0.3093643416264815,0.2936432538129189,0.29635139188482895,0.3073957386007639,0.31190827365946705,0.3108916735472829,0.3129438783739086,0.404944449914212,0.43853675318464214,0.4330230779494575,0.48415461860278586,0.4714032217538906,0.44180111433353686,0.4336909791197836,0.404944449914212,0.43853675318464214,0.4330230779494575,0.45692400596974186,0.4526451708055672,0.42226807378432596,0.4137422303849399,0.24387638874318598,0.3204929854256295,0.2920069928417636,0.2604235281804369,0.29565411384552703,0.24387638874318598,0.27000806755739903,0.2647940648802233,0.25947531105194355,0.27537391678115136,0.23670642291413632,0.3780266609212408,0.3179698711393422,0.23900710072856404,0.3086380646093939,0.23670642291413632,0.28555702611966605,0.27354582606934424,0.25947531105194355,0.28725936877623126,0.9706,1.1795161769896585,1.0889118375040001,0.917763085380541,1.0439160158977214,0.9706,1.05758701472489,1.0330511984589976,1,1.0431611393483053,0.04165443844259033,2022-03-21T16:01:49Z,2022-03-21T16:01:50Z,1202,2022-03-21T16:02:01Z,101594 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Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Live Derived Intraday API - ORATS API Reference [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Live Derived Intraday API ========================= Get live one-minute options data for over 5,000 symbols, calculated in real-time with less than 10 seconds of market delay. These endpoints are the same as the Live Intraday API endpoints, except they do not include OPRA data, which means the bid-ask price, size, and volume are null. History can be queried from August 2020 up to 1 minute ago. Note that when querying live data, the stockPrice field is calculated using put-call parity and may not reflect the exact stock price. The stockPrice field is exact after 15 minutes. We cover dates going back to January 2022 for Strikes by OPRA. You can find the list of symbols we cover [here](https://s3.amazonaws.com/assets.orats.com/oneMinuteOpraTickers.json) . If you see any missing symbols or want to see a symbol listed, please email us at [support@orats.com](mailto:support@orats.com) . All responses are in CSV format. Data endpoint url: * Name `https://api.orats.io/datav2` Description * * * GEThttps://api.orats.io/datav2/live/derived/one-minute/strikes/chain [Strikes Chain](https://orats.com/docs/live-derived-intraday-api#strikes-chain) -------------------------------------------------------------------------------- Retrieves latest one-minute strikes chain data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/live/derived/one-minute/strikes/chain curl "https://api.orats.io/datav2/live/derived/one-minute/strikes/chain?token=my-token&ticker=AAPL" CopyCopied! ### Response ticker,tradeDate,expirDate,dte,strike,stockPrice,callVolume,callOpenInterest,callBidSize,callAskSize,putVolume,putOpenInterest,putBidSize,putAskSize,callBidPrice,callValue,callAskPrice,putBidPrice,putValue,putAskPrice,callBidIv,callMidIv,callAskIv,smvVol,putBidIv,putMidIv,putAskIv,residualRate,delta,gamma,theta,vega,rho,phi,driftlessTheta,callSmvVol,putSmvVol,extSmvVol,extCallValue,extPutValue,spotPrice,quoteDate,updatedAt,snapShotEstTime,snapShotDate,expiryTod,tickerId,monthId AAPL,2022-08-08,2022-08-12,5,70,164.97,null,0,null,null,null,0,null,null,null,94.99735594956346,null,null,0,null,0,3.416073471729017,3.416073471729017,0.507,0,2.7071465082165136,2.7071465082165136,-0.013350250803700149,0.9999999999999952,-9.736143458842675e-15,-0.0067960477493707455,0.00001999999630239624,0.007715207338436186,-0.018189631703080522,-2.6434056979250683e-8,0.42357461242031014,0.5114633136520604,0.4454086022576971,94.99735594956285,0,164.97,2022-08-08T19:27:41Z,2022-08-08T19:27:52Z,1528,2022-08-08T19:28:01Z,pm,101594,1 AAPL,2022-08-08,2022-08-12,5,75,164.97,null,0,null,null,null,10,null,null,null,89.99930994596083,null,null,0,null,0,3.150934070395639,3.150934070395639,0.507,0,2.500483852993156,2.500483852993156,-0.013350250803700149,0.9999999999999859,-9.74511381879308e-15,-0.007281479731492617,0.00001999999630239624,0.008266293581908528,-0.018189631418863428,-2.8317812454145743e-8,0.42357461242031014,0.5114633136520604,0.4454086022576971,89.99930994596026,0,164.97,2022-08-08T19:27:41Z,2022-08-08T19:27:52Z,1528,2022-08-08T19:28:01Z,pm,101594,1 CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/live/derived/one-minute/strikes/chain [Strikes Chain History](https://orats.com/docs/live-derived-intraday-api#strikes-chain-history) ------------------------------------------------------------------------------------------------ Retrieves historical one-minute strikes chain data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL * Name `tradeDate` Type string Description The trade date to retrieve, formatted by YYYYMMDDHHMM (in EST). Ex: 202206071100 ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/live/derived/one-minute/strikes/chain curl -L "https://api.orats.io/datav2/hist/live/derived/one-minute/strikes/chain?token=my-token&ticker=AAPL&tradeDate=202206071100" CopyCopied! ### Response ticker,tradeDate,expirDate,dte,strike,stockPrice,callVolume,callOpenInterest,callBidSize,callAskSize,putVolume,putOpenInterest,putBidSize,putAskSize,callBidPrice,callValue,callAskPrice,putBidPrice,putValue,putAskPrice,callBidIv,callMidIv,callAskIv,smvVol,putBidIv,putMidIv,putAskIv,residualRate,delta,gamma,theta,vega,rho,phi,driftlessTheta,callSmvVol,putSmvVol,extSmvVol,extCallValue,extPutValue,spotPrice,quoteDate,updatedAt,snapShotEstTime,snapShotDate,expiryTod,tickerId,monthId AAPL,2022-06-07,2022-06-10,4,95,147.76,null,2,null,null,null,336,null,null,null,52.76710955986100,null,null,0,null,0,2.084174177089490,2.084174177089490,0.648,0,1.6377716355668900,1.6377716355668900,-0.002010611708955640,0.9999999999999990,-8.8473889634821E-15,-0.002214926596611270,0.000019999998193297900,0.008353445283981190,-0.012988378941258800,-1.92955550532992E-09,0.5605747284419510,0.6517013469914320,0.5670216551072180,52.767109559860800,-1.32157095836055E-17,147.76,2022-06-07T14:59:53Z,2022-06-07T14:59:54Z,1100,2022-06-07T15:00:01Z,pm,101594,1 AAPL,2022-06-07,2022-06-10,4,100,147.76,null,16,null,null,null,3274,null,null,null,47.767483747222100,null,null,4.20377052399816E-14,null,0,1.864781840275740,1.864781840275740,0.648,0,1.4595764595205100,1.4595764595205100,-0.002010611708955640,0.9999999999999670,2.88945980653781E-14,-0.002331501680987540,0.000019999998193297900,0.008793100367150070,-0.012988379296530200,-2.0133658883167E-09,0.560574728441489,0.6517013469909700,0.5670216551072180,47.76748374722190,1.98338019042476E-15,147.76,2022-06-07T14:59:53Z,2022-06-07T14:59:54Z,1100,2022-06-07T15:00:01Z,pm,101594,1 CopyCopied! * * * GEThttps://api.orats.io/datav2/live/derived/one-minute/strikes/option [Strikes by OPRA](https://orats.com/docs/live-derived-intraday-api#strikes-by-opra) ------------------------------------------------------------------------------------ Retrieves latest one-minute strikes by OPRA symbol without call/put distinction. Each row of the output has both calls and puts. OPRA symbol uses the format Underlying Symbol + Expiration Date (YYMMDD) + Strike (5 whole numbers and 3 decimals). ### Required attributes * Name `ticker` Type string Description OPRA symbol using format Ticker + Expiry (YYMMDD) + strike (5 whole numbers and 3 decimals). Ex: AAPL24062100160000 ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/live/derived/one-minute/strikes/option curl -L "https://api.orats.io/datav2/live/derived/one-minute/strikes/option?token=my-token&ticker=AAPL24062100160000" CopyCopied! ### Response ticker,tradeDate,expirDate,dte,strike,stockPrice,callVolume,callOpenInterest,callBidSize,callAskSize,putVolume,putOpenInterest,putBidSize,putAskSize,callBidPrice,callValue,callAskPrice,putBidPrice,putValue,putAskPrice,callBidIv,callMidIv,callAskIv,smvVol,putBidIv,putMidIv,putAskIv,residualRate,delta,gamma,theta,vega,rho,phi,driftlessTheta,callSmvVol,putSmvVol,extSmvVol,extCallValue,extPutValue,spotPrice,quoteDate,updatedAt,snapShotEstTime,snapShotDate,expiryTod,tickerId,monthId AAPL,2022-08-08,2024-06-21,684,160,164.93,null,4685,null,null,null,3486,null,null,null,34.1585,null,null,21.283,null,0.296369,0.307393,0.318417,0.315,0.313132,0.315868,0.318604,-0.0047467,0.658228,0.00507431,-0.0250176,0.816399,1.38544,-2.02985,-0.0188118,0.313009,0.315965,0.316357,34.4318,21.3147,164.93,2022-08-08T20:14:38Z,2022-08-08T20:14:47Z,1615,2022-08-08T20:15:01Z,pm,101594,18 CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/live/derived/one-minute/strikes/option [Strikes by OPRA History](https://orats.com/docs/live-derived-intraday-api#strikes-by-opra-history) ---------------------------------------------------------------------------------------------------- Retrieves historical one-minute strikes by OPRA symbol without call/put distinction. Each row of the output has both calls and puts. OPRA symbol uses the format Underlying Symbol + Expiration Date (YYMMDD) + Strike (5 whole numbers and 3 decimals). If specifying a range, there is a 40 trading day max. ### Required attributes * Name `ticker` Type string Description OPRA symbol using format Ticker + Expiry (YYMMDD) + strike (5 whole numbers and 3 decimals). Ex: AAPL22091600160000 * Name `tradeDate` Type string Description The trade date to retrieve, formatted by YYYYMMDDHHMM (in EST). You may specify a range by doing YYYYMMDDHHMM,YYYYMMDDHHMM. Ex: 202206081000,202207201300 ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/live/derived/one-minute/strikes/option curl -L "https://api.orats.io/datav2/hist/live/derived/one-minute/strikes/option?token=my-token&ticker=AAPL22091600160000&tradeDate=202206081000,202207201300" CopyCopied! ### Response ticker,tradeDate,expirDate,dte,strike,stockPrice,callVolume,callOpenInterest,callBidSize,callAskSize,putVolume,putOpenInterest,putBidSize,putAskSize,callBidPrice,callValue,callAskPrice,putBidPrice,putValue,putAskPrice,callBidIv,callMidIv,callAskIv,smvVol,putBidIv,putMidIv,putAskIv,residualRate,delta,gamma,theta,vega,rho,phi,driftlessTheta,callSmvVol,putSmvVol,extSmvVol,extCallValue,extPutValue,spotPrice,quoteDate,updatedAt,snapShotEstTime,snapShotDate,expiryTod,tickerId,monthId AAPL,2022-06-08,2022-09-16,101,160,149.67,null,28206,null,null,null,18438,null,null,null,5.860204002795060,null,null,15.641054396787500,null,0.3063158772183220,0.30801686256480000,0.3097178479112770,0.308,0.3038649107227710,0.3064286008767880,0.3089922910308050,-0.008209120374803130,0.38161255239927700,0.015355889799308800,-0.047622767388992500,0.2939141986686300,0.13545210863618400,-0.15118639086979200,-0.0459052133276907,0.3083639997493960,0.3069773808630930,0.3215480409289390,6.247634998832530,16.067895502105000,149.67,2022-06-08T13:59:50Z,2022-06-08T13:59:51Z,1000,2022-06-08T14:00:01Z,pm,101594,9 AAPL,2022-06-08,2022-09-16,101,160,149.45,null,28206,null,null,null,18438,null,null,null,5.78583812885739,null,null,15.782968253643900,null,0.30745849466065100,0.3083088916342890,0.3091592886079270,0.308,0.30432705746682800,0.30689074762084500,0.3094544377748620,-0.008209120374803130,0.37823425664342900,0.015355889799308800,-0.047622767388992500,0.2939141986686300,0.13545210863618400,-0.15118639086979200,-0.0459052133276907,0.3086775601134980,0.3071631227329990,0.3215480409289390,6.1640518498378300,16.204312353110300,149.45,2022-06-08T14:00:55Z,2022-06-08T14:00:56Z,1001,2022-06-08T14:01:01Z,pm,101594,9 AAPL,2022-06-08,2022-09-16,101,160,149.12,null,28206,null,null,null,18438,null,null,null,5.66120101953646,null,null,15.991901944264300,null,0.3065732423106420,0.30827422765712000,0.3099752130035970,0.308,0.3041222758150910,0.30668596596910800,0.3092496561231250,-0.008209120374803130,0.37316681300965700,0.015355889799308800,-0.047622767388992500,0.2939141986686300,0.13545210863618400,-0.15118639086979200,-0.0459052133276907,0.30865528305906200,0.3072637172770290,0.3215480409289390,6.040070673345080,16.410331176617500,149.12,2022-06-08T14:02:00Z,2022-06-08T14:02:01Z,1002,2022-06-08T14:02:02Z,pm,101594,9 CopyCopied! Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS University - Quiz [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Quiz Test your knowledge of options trading concepts and ORATS methodologies. Why do calls and puts have different implied volatilities? A Varied interest rate assumptions B Dividend risk C Liquidity concerns D All of the above Which of the following is NOT a theoretical edge that ORATS calculates? A Distribution edge (D%) B Volatility edge (V%) C Forecast edge (F%) D Smoothed edge (S%) What does SMV stand for? A Smoothing Market Volatility B Smoothing Market Vega C Smoothed Market Values D Smoothed Market Volatilities Which of the following is a common pitfall traders experience when backtesting? A Overfitting B Path dependency C Unrealistic prices D All of the above According to ORATS, when is the closest you can get to the market close (4pm EST) without experiencing deterioration in the quality of the options prices? A 1 minute before B 7 minutes before C 14 minutes before D 28 minutes before What term refers to the volatility for all options across all strikes and all expirations for a single symbol? A Term structure B IV skew C Contango D Volatility surface Which of the following is NOT an assumption of the original Black-Scholes model? A The movement of the underlying stock is random and normally distributed B The option can be exercised at any time C The volatility of the underlying stock is known and constant D The risk-free rate is known and constant What does slope measure? A The steepness of the term structure B The curvature of the term structure C The steepness of the skew D The curvature of the skew ORATS interpolates IVs across different deltas to simplify the term structure. Which deltas do ORATS present? A 10, 25, 50, 75, 90 B 25, 50, 75 C 5, 25, 50, 75, 95 D 20, 40, 60, 80 What is the significance of the \_C tickers in ORATS? A They represent the average of all calls for a given expiration B They represent the slope of the term structure C They represent correlations between IV and stock price D They represent component weighted averages of ETFs Why is it important to calculate the earnings effect? A To determine the implied earnings move B To compare IV across different symbols and history C To calculate the residual rate based on put-call parity D The earnings effect is not important Backtesting is part of which pillar of the ORATS methodology? A Research B Implementation C Risk D Review Notional returns are used in the backtester to help standardize and normalize performance across all different types of strategies and symbols. A True B False Submit quiz Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS University - The true price of an option [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) What is the true price of an option? ORATS has spent the last 20 years fine tuning calculations and methodologies to answer this question. * * * The standard model ------------------ To understand our approach, let’s first look at the five components of a standard options pricing model. 1. Strike price 2. Time to expiration 3. Underlying stock price 4. Interest and dividend rates 5. Implied volatility Out of these five components, implied volatility is the most important. ### Implied volatility Implied volatility is the least known, but also the most impactful component of the option price. In a perfect world, all of the options at all strikes and expirations for an underlying would have the same implied volatility, even though the options prices are different. This is the “constant volatility” that Black and Scholes assumed to be true in their original equation. However, in the real world, implied volatility is different for almost every strike and expiration. You might be wondering, doesn’t the option chain already tell me the volatility? Well, you’re not wrong. Most standard options chains include the call and put implied volatility, calculated using the mid price or the last traded price as the “plug”. So instead of solving for price, you make implied volatility the unknown value, and solve for it using the market price. However, this is a rather crude way of calculating implied volatility. There are some common pitfalls when using this approach. ### Pitfalls 1. You usually end up with different call and put implied volatilities for the same strike. 2. As you drift further away from the at-the-money strike, the smaller delta calls and puts have lower premium, and the implied volatility becomes less realistic. 3. Illiquid securities or options with a wide bid-ask spread can have unreliable mid or last prices, causing the implied volatility to be off. Why are these pitfalls important? They might seem unimportant right now, but they make a big difference in the long run. Have you ever heard of the adage, “The flapping of the wings of a butterfly can be felt on the other side of the world”? Because implied volatility is the primary component of option pricing, an incorrect calculation can lead to poor quality backtests, inaccurate Greeks, and inefficient risk management, culminating in a negative effect on your bottom line. * * * The ORATS solution ------------------ Enter the ORATS Smoothed Market Values (SMV) process - a meticulously crafted series of equations that calculates accurate implied volatilities for each option, laying the foundation for accurate backtesting, scanning, execution, and risk management. Instead of simply deriving volatility from the market price, we look at several other contributing factors. ### Interest rate assumptions Interest rate assumptions can vary over stocks, expirations and even strikes. Stocks can be hard-to-borrow and instead of receiving interest for being short shares, interest is paid for the privilege of shorting these stocks. Since the hard-to-borrow-ness of a stock can change and usually fade over time, farther out expirations will have a lower hard to borrow rate than near months. ### Dividend assumptions We source our dividend information from Wall Street Horizon, a popular and reliable source of dividend information. We also employ an in-house dividend consultant for special cases and quality control. Whether or not there is a dividend paid during the options lifecycle will impact the volatility and price. ### Liquidity Market makers will often have wider spreads on a high absolute delta option than the low one. For example, an in-the-money, low strike, high delta call, will likely have a wider spread than its partner put. Market makers will have to hedge the buying or selling of this call and that hedge usually involves buying or selling the underlying. The call will have more deltas to hedge and more risk to the market maker and this will often cause a wide bid-ask spread. Moreover, the market maker may determine that selling the deltas are harder than buying deltas. * * * Technical details ----------------- In options trading, calls and puts should have the same implied volatility, which describes the portion of the options price attributable to the movement in the stock. Imbalances in implied volatility are caused by the factors above. ORATS works to isolate these factors and solve for the residual yield that lines up call and put implied volatilities. By doing so, call and put implied volatilities can be made equal. ### Drawing a smooth curve With the call and put implied volatilities lined up, we have a single measurement of implied volatility for every strike. This allows us to fit a non-arbitrageable smooth curve through these values. To make it non-arbitrageable, we… 1. Use a proprietary skew generator using bounded flexible spline bands. 2. Adjust the skews with another process to account for wings that may be slightly off put-call parity. 3. liminate calendar or butterfly arbitrage in our theoretical values. If this is too technical, don’t worry. All you need to know is that we’ve now built a single, smooth curve that accurately represents implied volatility across all strikes and expirations, opening us up to a world of better options analysis. The pitfalls described earlier have been avoided, and we can finally answer the question, “What is the true value of an option”? ### Implementation Using the SMV implied volatility value for each option, we can plug it into the pricing model defined at the beginning of the lesson, and solve for a theoretical options price. This price can can then be compared to market bid-ask quotes to see if the options are under or overpriced. While this is a great achievement, the SMV process we just discussed has many more applications. In the coming lessons, we will discuss why this is just the tip of the iceberg, and how the SMV process creates hundreds of new indicators that you can use to make smarter trading decisions. Previous [102 - Option pricing models](https://orats.com/university/option-pricing-models) Next [201 - Volatility surface](https://orats.com/university/volatility-surface) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS University - Option pricing models [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) What is the Black-Scholes Options Pricing model, and why is it wrong? * * * Option pricing history ---------------------- To understand where we’re at today, we first have to travel back to 1973. Fischer Black and Myron Scholes had just published [The Pricing of Options and Corporate Liabilities](https://www.cs.princeton.edu/courses/archive/fall09/cos323/papers/black_scholes73.pdf) , and it was taking the options industry by storm. ### Pricing assumptions They had published an equation that claimed to price any European call option fairly, according to the following assumptions: 1. The movement of the underlying stock is random, normally distributed, and follows a pattern that resemble a random walk. 2. The option can only be exercised at expiration (otherwise known as a European option). Options that you see today when you log in to your broker are American options - they can be exercised at any time. 3. The volatility of the underlying stock is known and constant. 4. The risk-free rate is known and constant. 5. No dividends are paid out during the life of the option. ### Navigating a changing environment At the time, this was a groundbreaking formula. 24 years later, Black and Scholes would win the Nobel Prize for their work on this exact equation. It was used, and continues to be used, as the standard option pricing model in many copies of software around the world. However in recent years, its reliability and accuracy in determining the true value of an option has been called into question. This is because in the real world of trading, the assumptions stated in the Black-Scholes model no longer hold true. In 1973, the options market was very illiquid, and it was only in that same year that the Chicago Board Options Exchange (CBOE) became the first U.S. exchange to offer listed stock options. Since then, the popularity and accessibility of options trading has skyrocketed, and in turn, so has volatility, with GameStop recently reaching an unprecedented [1000% implied volatility](https://orats.com/blog/1000-implied-volatility-in-gamestop.-what-does-it-mean) . With volatility swinging between 10% and 1000% in a one-week span, it’s no wonder that assumption #3 has gone out the window. * * * A new set of assumptions ------------------------ To say that an increase in volatility is the only reason the Black-Scholes model no longer works would be a dramatic oversimplification. There are several other factors that we will touch on throughout these lessons: ### The recent availability of weekly and daily expirations Before the 2010s, most listed options expired at the end of the month. That was just all that was offered - there simply wasn’t enough liquidity and volume in the market to trade at a higher frequency. The retail options trading boom over the last several years has set in motion a pattern for more and more listings. How soon will it be before we see hourly expirations? ### A worldwide shift in how investors approach risk Black Swan events, a term popularized by former options trader Nassim Nicholas Taleb in his book _The Black Swan: The Impact of the Highly Improbable_, are highly unlikely, unpredictable outlier events that can often lead to devastating losses. The housing crisis in 2007 and COVID-19 are both examples of Black Swan events. Thus, the approach of using options to hedge your risk against these events has gained traction. This in turn has led to call and put options having different volatilities, a phenomenon we will cover in another lesson. ### Increased trading around earnings dates It is well documented today that implied volatility increases leading up to earnings, and then falls back sharply to normal levels after earnings are reported. The quick changes in implied volatility certainly don’t meet assumption #3 in the Black-Scholes model. When Black and Scholes published their pricing model in 1973, they had no idea what the next several decades would hold. Now, 50 years later, we face a much different world, but the question remains: how do we determine the true price of an option? Previous [101 - Master the art of options](https://orats.com/university) Next [103 - The true price of an option](https://orats.com/university/the-true-price-of-an-option) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Historical Intraday API - ORATS API Reference [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Historical Intraday API ======================= Get historical one-minute options data for over 5,000 symbols. History can be queried from August 2020 up to yesterday's close. We cover dates going back to January 2022 for Strikes by OPRA. You can find the list of symbols we cover [here](https://s3.amazonaws.com/assets.orats.com/oneMinuteOpraTickers.json) . If you see any missing symbols or want to see a symbol listed, please email us at [support@orats.com](mailto:support@orats.com) . All responses are in CSV format. Data endpoint url: * Name `https://api.orats.io/datav2` Description * * * GEThttps://api.orats.io/datav2/historical/one-minute/strikes/chain [Strikes Chain History](https://orats.com/docs/historical-intraday-api#strikes-chain-history) ---------------------------------------------------------------------------------------------- Retrieves historical one-minute strikes chain data. If the trade date is the current day, you can only fetch history up until the last 15 minutes. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL * Name `tradeDate` Type string Description The trade date to retrieve, formatted by YYYYMMDDHHMM (in EST). Ex: 202206071100 ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/historical/one-minute/strikes/chain curl -L "https://api.orats.io/datav2/historical/one-minute/strikes/chain?token=my-token&ticker=AAPL&tradeDate=202206071100" CopyCopied! ### Response ticker,tradeDate,expirDate,dte,strike,stockPrice,callVolume,callOpenInterest,callBidSize,callAskSize,putVolume,putOpenInterest,putBidSize,putAskSize,callBidPrice,callValue,callAskPrice,putBidPrice,putValue,putAskPrice,callBidIv,callMidIv,callAskIv,smvVol,putBidIv,putMidIv,putAskIv,residualRate,delta,gamma,theta,vega,rho,phi,driftlessTheta,callSmvVol,putSmvVol,extSmvVol,extCallValue,extPutValue,spotPrice,quoteDate,updatedAt,snapShotEstTime,snapShotDate,expiryTod,tickerId,monthId AAPL,2022-06-07,2022-06-10,4,95,147.76,0,2,1,1,0,336,0,586,52.7,52.76710955986101,52.85,0,0,0.01,0,2.084174177089487,2.084174177089487,0.648,0,1.6377716355668939,1.6377716355668939,-0.002010611708955635,0.9999999999999994,-8.847388963482095e-15,-0.002214926596611274,0.000019999998193297865,0.008353445283981194,-0.012988378941258816,-1.929555505329921e-9,0.5605747284419511,0.6517013469914322,0.5670216551072182,52.767109559860835,-1.3215709583605508e-17,147.76,2022-06-07T14:59:53Z,2022-06-07T14:59:54Z,1100,2022-06-07T15:00:01Z,pm,101594,1 AAPL,2022-06-07,2022-06-10,4,100,147.76,0,16,1,1,0,3274,0,590,47.7,47.767483747222116,47.85,0,4.203770523998158e-14,0.01,0,1.864781840275735,1.864781840275735,0.648,0,1.4595764595205079,1.4595764595205079,-0.002010611708955635,0.9999999999999672,2.8894598065378106e-14,-0.002331501680987543,0.000019999998193297865,0.008793100367150072,-0.012988379296530184,-2.013365888316701e-9,0.560574728441489,0.6517013469909696,0.5670216551072182,47.76748374722192,1.9833801904247632e-15,147.76,2022-06-07T14:59:53Z,2022-06-07T14:59:54Z,1100,2022-06-07T15:00:01Z,pm,101594,1 CopyCopied! * * * GEThttps://api.orats.io/datav2/historical/one-minute/strikes/option [Strikes by OPRA History](https://orats.com/docs/historical-intraday-api#strikes-by-opra-history) -------------------------------------------------------------------------------------------------- Retrieves historical one-minute strikes by OPRA symbol without call/put distinction. Each row of the output has both calls and puts. OPRA symbol uses the format Underlying Symbol + Expiration Date (YYMMDD) + Strike (5 whole numbers and 3 decimals). If the trade date is the current day, you can only fetch history up until the last 15 minutes. If specifying a range, there is a 40 trading day max. ### Required attributes * Name `ticker` Type string Description OPRA symbol using format Ticker + Expiry (YYMMDD) + strike (5 whole numbers and 3 decimals). Ex: AAPL22091600160000 * Name `tradeDate` Type string Description The trade date to retrieve, formatted by YYYYMMDDHHMM (in EST). You may specify a range by doing YYYYMMDDHHMM,YYYYMMDDHHMM. Ex: 202206081000,202207201300 ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/historical/one-minute/strikes/option curl -L "https://api.orats.io/datav2/historical/one-minute/strikes/option?token=my-token&ticker=AAPL22091600160000&tradeDate=202206081000,202207201300" CopyCopied! ### Response ticker,tradeDate,expirDate,dte,strike,stockPrice,callVolume,callOpenInterest,callBidSize,callAskSize,putVolume,putOpenInterest,putBidSize,putAskSize,callBidPrice,callValue,callAskPrice,putBidPrice,putValue,putAskPrice,callBidIv,callMidIv,callAskIv,smvVol,putBidIv,putMidIv,putAskIv,residualRate,delta,gamma,theta,vega,rho,phi,driftlessTheta,callSmvVol,putSmvVol,extSmvVol,extCallValue,extPutValue,spotPrice,quoteDate,updatedAt,snapShotEstTime,snapShotDate,expiryTod,tickerId,monthId AAPL,2022-06-08,2022-09-16,101,160,149.67,150,28206,253,510,7,18438,124,104,5.8,5.860204002795059,5.9,15.55,15.641054396787531,15.7,0.3063158772183223,0.30801686256479954,0.3097178479112768,0.308,0.3038649107227709,0.3064286008767878,0.3089922910308047,-0.008209120374803128,0.38161255239927655,0.015355889799308844,-0.047622767388992515,0.2939141986686304,0.13545210863618393,-0.15118639086979158,-0.0459052133276907,0.3083639997493957,0.3069773808630928,0.3215480409289392,6.247634998832532,16.067895502105014,149.67,2022-06-08T13:59:50Z,2022-06-08T13:59:51Z,1000,2022-06-08T14:00:01Z,pm,101594,9 AAPL,2022-06-08,2022-09-16,101,160,149.45,158,28206,1,215,7,18438,229,102,5.75,5.78583812885739,5.8,15.7,15.782968253643883,15.85,0.30745849466065145,0.3083088916342891,0.3091592886079268,0.308,0.30432705746682837,0.30689074762084534,0.3094544377748623,-0.008209120374803128,0.37823425664342863,0.015355889799308844,-0.047622767388992515,0.2939141986686304,0.13545210863618393,-0.15118639086979158,-0.0459052133276907,0.3086775601134979,0.3071631227329991,0.3215480409289392,6.1640518498378345,16.204312353110314,149.45,2022-06-08T14:00:55Z,2022-06-08T14:00:56Z,1001,2022-06-08T14:01:01Z,pm,101594,9 AAPL,2022-06-08,2022-09-16,101,160,149.12,159,28206,152,1299,13,18438,234,132,5.6,5.66120101953646,5.7,15.9,15.991901944264272,16.05,0.3065732423106423,0.30827422765711954,0.3099752130035968,0.308,0.3041222758150914,0.30668596596910835,0.3092496561231253,-0.008209120374803128,0.37316681300965693,0.015355889799308844,-0.047622767388992515,0.2939141986686304,0.13545210863618393,-0.15118639086979158,-0.0459052133276907,0.30865528305906204,0.3072637172770291,0.3215480409289392,6.040070673345081,16.410331176617547,149.12,2022-06-08T14:02:00Z,2022-06-08T14:02:01Z,1002,2022-06-08T14:02:02Z,pm,101594,9 CopyCopied! Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS University - Volatility surface [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Before we dive into all the indicators, it's important to go over the volatility surface - what it is and how we measure it. * * * What is the volatility surface? ------------------------------- Volatility surface is the term options traders use to describe the volatility of all options across all strikes and all expirations for a single symbol. As you can imagine, this is a lot of data points, and thus is often visualized through a 3d graph, with time to maturity on the x-axis, moneyness on the y-axis, and implied volatility on the z-axis. ### 3d Graph ![3d Volatility Surface](https://orats.com/university/volatilitySurface3d.png) If this picture looks daunting, you’re not alone. 3d graphs are notoriously hard to interpret and understand. It’s much better to present this in a 2d graph, as shown below. ### 2d Graph ![2d Volatility Surface](https://orats.com/university/volatilitySurface2d.png) Do you notice the difference between the two pictures? Instead of plotting three variables onto one graph, we separate it out into a bunch of mini-graphs. In the above, you can see 4 mini-graphs, each plotting the weekly strikes on the x-axis against the implied volatility on the y-axis. This gives us a clearer view of the IV skew for each expiration, while still allowing us to view future expirations. * * * Term structure of IV -------------------- We can simplify the volatility surface by only looking at the at-the-money (50 delta) implied volatility for each expiration. This perspective of the volatility surface is called the term structure, and yields a graph that looks like the following: ### Graph ![Term structure of IV](https://orats.com/university/termStructureOfIv.png) ### Measuring term structure We're going to analyze the term structure a lot in the coming lessons, so it's important to know how we measure it. We measure the short-term implied volatilities relative to the long-term implied volatilities. Contango is when the short-term IVs are lower than the long-term IVs, while backwardation indicates the opposite. Contango is the normal state of affairs for the options market. The term structure is heavily effected by earnings. In the next lesson, we'll uncover why this occurs and how we create new indicators to measure this phenomenon. * * * Volatility skew --------------- If the term structure describes what the volatility looks like across all expirations, then how do we describe what the volatility looks like for only one expiration? This is what options traders call volatility _skew_, a term you’ll hear a lot by the end of these lessons. The volatility skew describes what it looks like when we zoom in to one of the expirations in the graph above. ![Volatility Skew](https://orats.com/university/volatilitySkew.png) There are technically 3 different volatility skews presented here, so let’s go over each one. Remember that the x-axis is strikes and the y-axis is implied volatility. ### The call skew The cyan dots resemble the call implied volatility for each strike. If you were to draw a line connected all of the cyan dots, it would look like a flattened J. You might be wondering, why are the dots on the right higher than the ones on the left? This is a common phenomenon in options trading, where the out-of-the-money calls (higher strikes) have greater implied volatility than the in-the-money calls (lower strikes). This can be due to a variety of factors we described in previous lessons: hard-to-borrowness, liquidity, investor hype, etc. ### The put skew The purple dots resemble the put implied volatility for each strike. Similar to the call skew, it appears slightly lopsided, with the out-of-the-money puts (lower strikes) having greater implied volatility than the in-the-money puts (higher strikes). This is attributed to the fact that underlying equity prices tend to fall faster than they rise and options investors are willing to pay more for lower strike puts. ### SMV skew Do you see the orange line in the graph? That is the SMV curve, which we discussed in the previous lesson. Because we lined up the put and call IVs, and accounted for arbitrage, we were able to draw the true volatility skew, instead of having to pick between the call and put skews. This lays the ground for more accurate analysis of the skew. The skew often looks like a U-shaped curve that is commonly referred to as the volatility “smile.” This is because of the tendency for the at-the-money implied volatility to be lower than the further delta strikes. The graph below shows an example SMV skew, with strike deltas (0-100) on the x-axis and implied volatility on the y-axis. ![SMV Skew](https://orats.com/university/smvSkew.png) ### Measuring skew The _slope_ is the measure of the steepness of the skew, or how lopsided it is. To calculate this value, we draw a tangent line at the 50 delta, and measure the direction and magnitude of the line. In the example above, the tangent line is sloping downward, but because we drew the strikes from 100 (left) to 0 (right), we would say the skew slope is positive. This is not always the case - some skews slope negatively, others are flat. So what’s the significance of all this? Why is it important that we analyze the contango and slope? That’s a question we’ll answer in the coming lessons. Previous [103 - The true price of an option](https://orats.com/university/the-true-price-of-an-option) Next [202 - Volatility around earnings](https://orats.com/university/volatility-around-earnings) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS University - Predictive indicators [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) In the last lesson, we touched on some of the forecasted parameters we calculated using our methods of summarizing and manipulating the volatility surface. Let's dive into detail on some of these indicators, and how we can compare them across time and related equities. * * * Ex-earnings IV -------------- IV is negatively correlated to stock performance, meaning that high IV is usually a bearish signal for the stock. We isolate the IV related to the stock by taking out the earnings effect to get an ex-earnings measure of IV. We interpolate the time to expiration to get a 30-day ex-earnings IV, which we can compare across time and related equities. In the MSFT example below, we are comparing this value to XLK, to our forecast, and to its percentile reading over the last year. ![Ex-earnings IV](https://orats.com/university/outlookIV.png) 1. Vs. XLK\_C: XLK is the technology sector, which is the closest SPDR sector ETF to MSFT. We offer a special ticker, XLK\_C, that is a weighted average of all of the components in the ETF. We calculate the 30-day ex-earnings IV of XLK\_C and compare it to MSFT to see if the IV trending up or down. If the ratio to XLK\_C is below its 10-day moving average, then we say that this is a bullish signal, because IV is trending lower than the weighted average of components in the similar ETF. 2. Vs. Forecast: We compute the forecast of the 30-day ex-earnings IV by combining our vast historical data set with our advanced volatility surface summarization techniques. We compare this forecast of IV to the current IV to determine if it is over or undervalued. If our forecast is greater than the current IV, we say that the IV is undervalued. 3. Vs. Percentile: We look at the IV percentile of MSFT for the last year. This tracks the current IV relative to the values over the last year and ranks it accordingly. A low IV percentile indicates that IV is undervalued relative to its history. * * * Slope ----- Slope measures the steepness of the skew. Alone, it's not a very predictive, because it's just a reflection of how the IVs look from 0-100 delta. One way we find if the slope is under or overvalued is to look at how the slope has changed recently. If the slope is higher than recent levels, lower strike puts are more expensive and the higher strike calls are cheaper than usual. If the slope is lower than recent levels, the lower strike puts are cheaper and the higher strike calls are more expensive than usual. Thus, we can say that an overvalued skew is generally best for risk reversal strategies, and an undervalued skew is best for collar strategies. In the example for IWM below, we observe how the slope compares to the best ETF, to its forecast, and to its percentile ranking: ![Slope](https://orats.com/university/outlookSlope.png) 1. Vs. IWM\_C. Since IWM is an ETF itself, we are comparing the slope to the weighted average of its own components' slopes. If we look at the ratio and compare it to the 10-day moving average, we can see that the ratio is trending higher, which indicates that the slope for IWM is overvalued. 2. Vs. Forecast: ORATS computes both a 30-day forecast of slope and an infinite forecast of slope using our historical data set and volatility summarization techniques. Comparing the current slope value to the forecast of slope can help determine if the slope is over or undervalued. If our forecast is less than the current slope, we say that the slope is overvalued. 3. Vs. Percentile. We measure the slope percentile for IWM over the last year. A high slope percentile indicates that slope is overvalued relative to its history. * * * Contango -------- Contango is positively related to stock performance. It measures the slope of the at-the-money ex-earnings IVs from the shorter-term expirations (<45 days out). We've found that the term structure for 45 days out is an important signal because traders get more leverage using shorter term options. When contango is positive, this indicates the shorter term IVs are lower than the longer term. This is the normal state of affairs for the options market. When it's negative, we call this backwardation. We see that when contango flips to backwardation, this can be a bad sign for the market. Below is an example graph of contango for SPY, where we compare it to the 10-day moving average. ![Contango](https://orats.com/university/outlookContango.png) * * * Forward vs. Flat Forward IV --------------------------- We offer two additional measurements of IV for both the regular IV and the ex-earnings IV. These are the forward and flat forward calculations. Forward volatility measures future implied volatility based on close observations of the term structure. These calculations help normalize calendar pricing, which can in turn expose anomalies in the term structure. Let's look at an example calculation: 1. Assume the 20d IV is 9.1% and the 30d IV is 9.6%. 2. Logically, if the volatility was 9.1% for 20 days, in order for the 30 days to be worth 9.6%, for the 10 days after the 20 days and before the 30 days the stock would have to move more than 9.6% in order to move the average up to that number. 3. The calculation for the standard forward volatility finds this ten-day forward volatility to be 10.5%. We measure forward volatility for five different time periods: 1. 20d and 30d 2. 30d and 60d 3. 30d and 90d 4. 60d and 90d 5. 90d and 180d We also calculate a second measurement called flat forward. The calculation is a bit more involved, so we won't discuss it here. But, we've found the ratio of flat forward to forward to be a good signal for foreshadowing movement in the underlying instrument. In our studies, extremes in the ratio of the flat forward and regular forward led to extremes in the underlying stock movement. Let's look at two very different scenarios, the quiet 2017 and the volatile February 2018. The quietest month of 2017 was October (ironically) with a historical volatility of 5.4%. Oct 2017 was also the high of the forward ratio. The volatile February 2018 was preceded by a drop in the forward ratio. And so was the volatile October 2018 and December 2018. ![Forward vs. Flat Forward](https://orats.com/university/forwards.webp) * * * Other Indicators ---------------- We measure several other important indicators like historical volatility, confidence, borrow rate, and deriv. The ratios of these indicators to other indicators also hold predictive value, and are used in tools like our backtester, stock scanner, option scanner, and signal builder to help you make better trades. Our proprietary indicators are rooted in our vast set of historical options data. In the next lesson, we'll go over the different types of historical data available to you. Previous [202 - Volatility around earnings](https://orats.com/university/volatility-around-earnings) Next [204 - Historical data](https://orats.com/university/historical-data) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS University - Volatility around earnings [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Now that we've discussed term structure, skew, and the SMV process for calculating accurate IVs, it's time to discuss how we can utilize these factors to produce an effective forecasted volatility surface. * * * How earnings affects IV ----------------------- You can't talk about implied volatility without also talking about earnings. Since an earnings announcement can send a stock soaring up or crashing down, this expected movement is reflected in the term structure. Let's talk about why this happens. ### How it works There is a technical explanation as to why implied volatility rises before earnings. Let's look at an example. If we have a stock trading at $100 with a 25% implied volatility, this means that there is a 68% chance that the stock will be trading between $75 and $125 exactly one year from now. Why 68%? That's the probability encompassed by 1 standard deviation of movement. Now, imagine that the same stock had an earnings announcent in 11 months. There is a chance that it outperforms or underperforms expectations, which would lead to a larger than normal movement in the stock price. So, instead of the range being between $75 and $125, it might be between $70 and $130. Now, the implied volatility should be measured at 30% instead of 25%. Keep in mind that this example is describing stock volatility, but the same principle applies to volatility in options pricing. ### Why it's important The phenomenon described above is called the _earnings effect_, or the tendency for implied volatility to increase heading into earnings. This is very important to recognize when creating a forecasted volatility surface. If we don't account for earnings, the valuable information baked into the IV may be lost. Just as importantly, we wouldn't be able to compare the volatility surface to ETFs (which don't have earnings) or to its own history (because earnings dates can be inconsistent). So, how do we measure the earnings effect? * * * Calculating ex-earnings IV -------------------------- We measure both the earnings effect and the resulting ex-earnings IV (the residual IV after taking out the earnings effect). We've spent years fine tuning methods to calculate these indicators. ### Calculating the earnings effect To calculate the earnings effect for each expiration, we follow these steps: 1. Make accurate implied volatility calculations by using inputs like interest, dividends and residual rates (this is our SMV process described in earlier lessons). 2. Apply accurate earnings announcement dates to determine how many earnings apply to each expiration. 3. Solve for an implied earnings effect that makes the most rational resultant monthly implied volatility relationships. For example, consider a stock that announces earnings 8/30/2018 after the close. Presented below is the method for extracting earnings from IV. See the at-the-money IVs for each expiration, post removal of earnings effect IV, and the portion of the IV that is applicable to the earnings announcement move: ![Calculating the earnings effect](https://orats.com/university/earningsEffectCalc.webp) The 8/24/2018 expiry does not have an earnings effect. 8/31/2018 has the largest earnings effect (since the earnings effect will have a greater percentage of days relative to the number of days to expiration). Notice how the method solves for a new IV term structure. This new IV term structure is then summarized using interpolation described below. ### Interpolating days After calculating the earnings effect, we simplify the term structure down to a smooth surface across time. It's much easier to compare the IV of different expirations when they are boiled down to a digestable number. We use an interpolation process to calculate the 10, 20, 30, 60, 90, 180 and 365 day constant implied volatility. For example, if we were looking at the 30-day implied volatility, we might use a 26 day and a 33 day expiration and weight the 33 day slightly more because it is 3 days away from target of 30 and the 26 is 4 away. Moreover, if the earnings announcement is in 28 days, the portion of the IV attributable to earnings will be removed from the IV of the 33 day expiration (the 26 day expiration would not have an earnings effect). ### Interpolating deltas Just as with expiration dates, we also interpolate the IVs across different deltas to further simplify the term structure. We present the 5, 25, 50, 75, and 95 delta IVs for each of the constant maturity expirations. ### Implied earnings move Note that the implied earnings effect is different than the implied earnings move. The implied move is a common term in options trading, and references the percentage move of the stock price implied by the at-the-money IV relationships. It is commonly used to help determine the viability of straddle and strangle strategies. In the example below, we are looking at the implied earnings move (lighter bar) vs. the actual earn move (solid dot). When the actual move is outside the implied range, long straddles were profitable. When the actual move is inside the implied range, that is more profitable for short straddles. ![earningsGraph](https://orats.com/university/earningsGraph.png) ### Inter-earnings IV and HV When analyzing earnings in the graphic above, we can also consider inter-earnings IV and HV. This relationship looks at the last three calendar months and compares the historical volatility (inter-earnings HV) to the IV for the upcoming quarter (inter-earnings IV). Both are measured directly after the announcement. The goal of this calculation is to see if the upcoming IV is overshooting the HV for the period leading up to an announcement. * * * Forecasting the volatility surface ---------------------------------- Now that we've accounted for the earnings effect and defined a smooth surface across time to expiration and delta, we are now ready to integrate historical data into our model to help produce a forecasted volatility surface. ### Using historical data ORATS stands out from its competitors because of our tremendous asset coverage for US equity options. We've been gathering end-of-day options data for over 5,000 tickers since the beginning of 2007, and one-minute options data since August 2020. We use all of this data to fine-tune our forecasts of the IV surface. ### Forecast parameters We produce an effective forecasted volatility surface using the following parameters: 1. 20 business day (~1 month calendar) forecast of future statistical volatility - This forecast is based on observations often back to 2007 of historical volatility using a modified Parkinson method. 2. Infinite forecast of implied volatility - This forecast is based on observations of the IV term structure. 3. Earnings forecast - We considers day of and day after earnings, seasonality, recentness, median and average of move divided by expected move. 4. The steepness of the IV skew (slope) 5. The curvature of the IV skew (deriv) Given the at-the-money implied volatility, the slope and the deriv, an implied volatility can be calculated for each strike. We do this for different days to expiration by interpolating between the at-the-money values and the infinite values. We also produce metrics on the accuracy of these forecasts. ### Bringing it all together To find an edge, it's useful to compare theoretical values to market values to determine what is overvalued and undervalued. Our method of producing a forecast can be summarized into three steps that we've covered throughout our lessons so far: 1. Use the SMV process to calculate accurate implied volatilites across all strikes and expirations. 2. Calculate and omit the earnings effect and use interpolation to create a smooth surface across time to expiration and delta. 3. Summarize the volatility surface into digestible indicators like slope, deriv, and contango. By following these steps, we're finally ready to use the power of the indicators we've created to help develop a trading thesis. Previous [201 - Volatility surface](https://orats.com/university/volatility-surface) Next [203 - Predictive indicators](https://orats.com/university/predictive-indicators) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS University - Backtesting methodology [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Our accurate historical options data and volatility summaries lay the groundwork for tackling a critial step in the research process - Backtesting. * * * Why backtesting? ---------------- A robust options trading strategy depends on accurate backtesting practices. A backtest shows you how the strategy performed historically, and gives you an idea of what to expect. You can learn a lot about a strategy with a backtest. While historical performance is not an indicator of future performance, a backtest can help you identify things like: 1. The risk and reward potential of a strategy 2. The relative performance of different entry criteria like days to expiration and strike deltas 3. The impact of market conditions on strategy performance 4. The importance of exit criteria like stop losses and profit targets These are benefits, but there are also complications with backtesting. Let’s look at some of the common issues traders face when backtesting options. * * * Common pitfalls of options backtesting -------------------------------------- Having been in the backtesting business for over a decade, we see many traders fall into the same traps. The complexity of backtesting options makes it easy to: 1. Use inaccurate or unrealistic trade execution prices 2. Overfit the data to create unrealistic returns 3. Accidentally follow path dependency 4. Misunderstand notional vs. marginal return We’ve carefully designed our new backtester to solve each of these issues. ### Using inaccurate or unrealistic trade execution prices Traders often gravitate to the end-of-day closing price of the option as the correct price to use for a backtest. However, we’ve found that these closing prices are not the best representation of the true value of the end-of-day price. Rather, our data shows that 14 minutes before the close is the closest you can get without experiencing deterioration in the quality of the quote. Our backtester uses quotes from 14 minutes before the close data to simulate trades. Slippage assumptions are key for a realistic backtest and ours are based on years of experience. We use a slippage of 75% of bid ask width for single legs all the way to 56% for four leg spreads. Traveling past the mid-price to trade is a reasonable assumption, however, for multi-legged strategies the percent traveled is not as much. ### Overfitting the data to create unrealistic returns When running multiple backtests on the same data set, there are risks of overfitting. An example would be testing 10 different days to expiration for the same symbol and strategy while varying no other parameters, and then choosing the best performing backtest to trade. Instead, you should look at the other similar backtests to see if they also performed well. Backtests with similar inputs but a wide variety of results is a bad sign. That’s why in our new backtester, we’ve added a “find similar” button to help do this automatically: ![Overfitting the data to create unrealistic returns](https://orats.com/university/findSimilar.png) ### Accidentally following path dependency Path dependency refers to how the order and timing of trades can significantly affect a strategy's performance. Ignoring this aspect can lead to misleading results and unrealistic expectations. Our backtester tool takes into account path dependency in a unique way, by only putting on one trade per day, every day it meets the entry criteria. This means you can have 10 trades on at the same time, all entered one day after the previous one. While this isn’t how most people trade in real life, it provides more accurate performance metrics because it eliminates any statistical bias that would occur if you only entered one trade at a time. For example, starting a backtest on the first day of the year might have very different results than starting the backtest a few weeks later. ### Misunderstanding notional vs. marginal return Notional and margin returns are both crucial elements for assessing the profitability and efficiency of a strategy. By understanding how these returns work, investors and traders can make informed decisions when it comes to selecting the strategies that are right for them. In options trading, the notional value of an option refers to the value of the shares controlled if the option were to either expire or be exercised or assigned. For example, if I buy a $5 call option on a $100 stock, because this option controls 100 shares of the underlying, the notional value of the trade would be 100 \* $100 = $10,000. However, I would only need to pay $5 \* 100 = $500 to open this trade. Thus, the notional return measure the performance relative to the $10,000, while the margin return measures the performance relative to the $500. It’s easy to see that notional returns are much lower than margin returns. We use notional returns in the backtester because it helps standardize and normalize performance across all different types of strategies and symbols. We show the margin return to highlight how efficiently the strategy used the capital at its disposal. However, you have to be careful with margin returns, as sometimes they are not the most accurate reflection of a real-world trading environment. Generally, if an investor is using options and stocks, or if you want to normalize and compare disparate trading strategies, the notional calculation is best. If you want to see how much you would make on the amount at risk from a brokerage firms perspective the margin returns are best to use. Brokerage firm’s margin do not always present the actual risk, so care needs to be used. For example, a short put may require 20% margin in portfolio margined accounts or 100% margin in cash accounts. The margin returns would be significantly different in either approaches. At ORATS, we show margin returns but have more data on notional returns because they are more conservative and consistent and allow better comparisons between backtests. * * * Creating a database of 300 million+ backtests --------------------------------------------- The pitfalls listed above are only a brief selection of some of the most common situations we see traders deal with when backtesting options. ORATS was inspired to create an even easier, faster, and more effective way to backtest that incorporates not only solutions to the above, but changes how you think about backtesting entirely. Our original custom backtester has been around for over five years. We threw in every feature we could dream of, which made for a highly functional but overly complex product. We wanted to build a new backtester that was ultra-fast, easy to use, and still provided traders with just as much value as the original. While at a team retreat in Florida in early 2023, we had an idea. What if instead of requiring you to input a bunch of parameters and run your own backtest, we did it for you. You would simply query a database of backtests (that already exist) for one that meets your investment objective. This would get you to the same result as before, but without the hassle, time commitment, and inevitable errors that were a part of creating your own backtest. After crunching the numbers, we determined this would mean running millions - if not billions - of backtests, before you even touched the software. This presented a difficult challenge from an engineering standpoint, because we had to figure out how to efficiently store and access all of this data. After a few months, we were ready to launch with a few million backtests for SPY. Now we have over 100 symbols, 15 strategies, and more than 300 million backtests. ![Creating a database of 300 million+ backtests](https://orats.com/university/allBacktests.png) Previous [204 - Historical data](https://orats.com/university/historical-data) Next [302 - Input parameters](https://orats.com/university/input-parameters) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS University - Input Parameters [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) To run millions upon millions of combinations, we needed to choose only the most important entry criteria - days to expiration, strike deltas, and spread / stock % (spread yield), along with five different technical indicators. For exit criteria, this meant testing four different stop losses and seven different profit targets. * * * Entry criteria -------------- ### Days to expiration Days to expiration (DTE) indicates the remaining time until an option contract expires. Our backtesting tool analyzes strategy performance over a diverse range of DTEs, from as little as 2 days to over 300 days. By evaluating the strategy's performance across different time horizons, traders can gain insights into the ideal periods for executing specific strategies. In the backtester, you can filter down the table of results by specifying DTE min/max for each leg. ### Strike deltas The strike delta is a measurement of how much an option's price is likely to move with each $1 move in the underlying security. To provide you with a comprehensive view, our backtester tests strategies across a variety of absolute deltas, including in-the-money and out-of-the-money strikes. In addition to single leg strategies, we also test a variety of multi-leg strategies with more complex strike deltas such as vertical spreads and iron condors. Like DTE, you can use the filters in the backtest table to narrow down backtests by the strike delta min/max for each leg of the strategy. ![Strike Deltas](https://orats.com/university/strikeDeltas.webp) ### Spread yield Spread yield is a measure of the price paid for the options spread relative to the price of the underlying stock. It's calculated by dividing the price paid for the spread by the stock price. Our backtester categorizes the spread yield target for each backtest as low, moderate, or high, relative to other backtests with comparable DTE and strike deltas. This additional context allows for more informed analysis. It’s interesting to explore the relationships between different backtest entry criteria and their performance. For example, if you filter down SPY Short Put Spreads by a low VIX entry trigger, and rank them by best overall performance, you’ll see that the spread / stock is almost always low. This shows that in a low volatility environment, this strategy performed better as you targeted a lower spread yield. ![Spread Yield](https://orats.com/university/spreadYield.webp) ### Technical indicators Technical indicators can provide guidance on when to enter a trade. We’ve added five different technical indicators to be used as entry triggers in the backtester: **VIX price:** The VIX, or volatility index, reflects the market's expectation of 30-day forward-looking volatility. Low VIX levels (<15) suggest a calm market, moderate levels (15-20) indicate normal volatility, while high levels (>20) imply increased uncertainty. **Simple moving average (SMA):** SMA is a commonly used technical indicator that smoothes out price data to capture trends over specific periods. Our backtester tests if the price is above or below the 50 or 200-day SMA. **14d RSI:** The 14-day Relative Strength Index (RSI) is a momentum oscillator that measures the speed and change of price movements. A reading of less than 40 indicates oversold conditions, 40-60 suggests moderate momentum, and above 60 signals overbought conditions. **IV percentile 1 Year:** The IV percentile shows where the current implied volatility of the underlying stands relative to its 1-year range. It's categorized as low (<33), moderate (33-66), or high (>66). **Slope percentile 1 Year:** This trigger shows where the current slope of the implied volatility skew stands relative to its 1-year range, categorized as low (<33), moderate (33-66), or high (>66). For each of these entry triggers, one of the levels is always the “current environment”. This is denoted by the orange “C” next to the corresponding level. For example, if the 14d RSI is currently overbought, an orange “C” will appear next to the overbought trigger. This information is very helpful when trying to find a trade to put on immediately, because you can filter down the backtests that performed well in the current environment. You can also toggle on “Select each current environment of \[ticker\]” and the table will only show backtests that have been tested with any combination of the current environment entry triggers. ![Current Environment](https://orats.com/university/currentEnvironment.webp) * * * Exit criteria ------------- Exit triggers play a crucial role in risk management and profit protection. We test stop loss levels of -25%, -50%, and -75% to protect from excessive losses. For locking in profits, we test profit targets of +25%, +50%, +75%, +100% (if debit strategy), +150% (if debit strategy), and +300% (if debit strategy). Like all other entry criteria and triggers, you can filter the table down to backtests that only test a specific stop loss or profit target. ![Exit Criteria](https://orats.com/university/exitCriteria.webp) Previous [301 - Backtesting methodology](https://orats.com/university/backtesting-methodology) Next [303 - Measuring performance](https://orats.com/university/measuring-performance) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Earnings Straddles Are Having Their Moment [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) In the Media Thursday, February 12th 2026 Earnings Straddles Are Having Their Moment ========================================== Strong realized moves and shifting volatility expectations have produced one of the most favorable earnings seasons for straddle buyers in years. Summary This earnings season has been notably favorable for straddle buyers, with options straddles generating an average return of about 45%, a significant shift from the previous quarters. Factors contributing to this include greater dispersion in company performance, increased sensitivity to guidance, and macro uncertainty. The performance of straddles is measured by comparing implied earnings moves to actual stock moves, revealing that actual moves have consistently exceeded expectations. This shift in earnings volatility suggests a change in market conditions, benefiting straddle buyers significantly. This earnings season has been unusually favorable for straddle buyers. Over the past four weeks, options straddles on U.S. companies reporting earnings have generated an average return of approximately 45%. That compares with an average return of roughly negative 2% across the last twelve quarters. That is a meaningful shift. So what changed? ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F305d72f7-e2b3-8069-b26a-e2fbfba2a694.png&w=3840&q=75) As Matt Amberson noted in comments to [Reuters](https://www.reuters.com/business/options-bets-earnings-fueled-stock-swings-reap-big-gains-2026-02-12/) : Straddles benefit when actual stock moves exceed what options markets priced in ahead of earnings. In recent years, implied earnings moves often overstated realized volatility. Traders paid up for event risk, and the moves frequently fell short. This quarter has looked different. Actual earnings moves have been consistently larger than the implied move embedded in the pre-earnings straddle. That gap between implied and realized volatility is what has driven the strong returns. Several factors appear to be contributing: * Greater dispersion in company performance * Increased sensitivity to forward guidance * Macro uncertainty translating into sharper single-name reactions In short, earnings are moving stocks in a way that resembles earlier high-uncertainty environments. ORATS tracks earnings straddle performance by comparing the implied earnings move, derived from the at-the-money straddle minus residual time value, against the actual absolute stock move following the announcement. This methodology isolates the earnings event itself from broader term structure effects. Earnings season starts approximately two weeks after quarter-end, beginning in mid-January, April, July, or October, and runs for six weeks. ORATS reports the number of firms yet to announce during each period, tracks implied earnings percentage moves estimated from options straddles, and compares them against the trailing 12-quarter average of actual absolute earnings moves. A straddle is considered a “winner” when the actual stock move exceeds the implied move priced into the options, meaning the position would have been profitable at expiration. For firms announcing over the past four weeks, filtered for stock prices above $10, daily option volume exceeding 300 contracts, and meeting additional liquidity thresholds, the win rate for straddle buyers has meaningfully exceeded the 12-quarter historical average. The ratio of implied earnings moves to the trailing 12-quarter average of actual moves provides a gauge of market expectations. When this ratio runs high, options are pricing in elevated risk relative to history. When it runs low, options may be underpricing the event. This season, even with implied moves reflecting heightened uncertainty, realized moves have outpaced them. That combination has rewarded straddle buyers in a way that has not been common in recent quarters. Historically, actual earnings moves tend to increase as the season progresses. Early reporters, often larger and more predictable companies, tend to produce smaller surprises. Later in the cycle, smaller and mid-cap names with less analyst coverage can generate outsized moves. This quarter has followed that pattern, but with amplified magnitude across multiple weeks. Earnings seasons rotate between regimes. There are periods when implied volatility consistently overprices earnings risk, and straddle sellers collect premium. There are periods, like the current one, when realized dispersion surprises to the upside and straddle buyers profit. For traders and funds that systematically evaluate event risk, the key question is whether implied pricing is aligned with historical earnings behavior and current macro conditions. This quarter, that alignment has clearly shifted. ORATS publishes weekly earnings season summaries tracking the number of firms yet to report, implied versus actual moves, and straddle win rates. Monitoring these metrics helps identify when earnings volatility regimes begin to change. The recent data is a reminder that earnings volatility can reprice quickly, and when it does, the performance profile of common event strategies can change just as fast. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![On Risk Management and Path-Dependent Trades: Lessons from Captain Condor](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-8031-a4ec-e1530763f5c8.png&w=3840&q=75)\ \ On Risk Management and Path-Dependent Trades: Lessons from Captain Condor\ \ ORATS cited by Bloomberg on an options market loss](https://orats.com/blog/lessons-from-captain-condor-risk-management-path-dependent-trades) [![Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b4d72f7-e2b3-80ea-80dc-e7f2a2885f33.png&w=3840&q=75)\ \ Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)\ \ Why financial media, trading desks, and quant researchers depend on ORATS data every day](https://orats.com/blog/trusted-options-data) [![Wall Street Journal Leverages ORATS Tools to Analyze Congressional Trades During Tariff Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F214d72f7-e2b3-8096-b407-fe712376f281.png&w=3840&q=75)\ \ Wall Street Journal Leverages ORATS Tools to Analyze Congressional Trades During Tariff Volatility\ \ WSJ uses ORATS data to analyze Congressional trades.](https://orats.com/blog/wsj-uses-orats-to-analyze-congressional-options-trades) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS University - Measuring performance [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) It’s important to measure the right performance metrics when backtesting, otherwise you’ll end up with a lot of data and no idea what to do with it. Before diving into the specifics, let's outline the four categories of performance metrics you'll see in the backtest finder: Return, Risk, Profit & Loss, and Others. * * * Performance metrics ------------------- **Return:** Metrics such as annual returns (overall, 1 year, 5 years, bearish and bullish markets), annual margin return, and best/worst monthly and annual returns. **Risk:** Quantitative measurements such as Sharpe Ratio, Sortino Ratio, Annual Volatility, Max Drawdown %, Drawdown Days, and Reward to Risk Average.å **Profit & loss:** Comprehensive data like average P&L % per day, best and worst trade P&L (both in dollar and percentage), average P&L per trade and per day, and total strategy P&L. **Others:** Metrics including % of time in the market, strategy win rate, average days in trade, total strategy trades, credit/debit per trade average, margin per trade average, and margin to stock %. Let's dive deeper into some critical metrics. ![Performance Metrics](https://orats.com/university/performanceMetrics.webp) ### Notional vs. margin return As mentioned earlier, it’s important to look at both notional and margin return because they are useful for different purposes. Notional return helps standardize performance when comparing across different symbols and strategies, while margin return helps you identify how efficiently your capital was used. Both are available in the performance metrics. ### Sharpe vs. Sortino ratio Our backtester also shows both Sharpe and Sortino ratios for each strategy. While they might seem similar at first, each ratio offers a distinct perspective on risk and should be understood separately. The Sharpe ratio gauges how much excess return a strategy provides relative to the risk taken, using standard deviation as a proxy for risk. It's excellent for understanding a strategy's overall risk-adjusted return, but it falls short in one critical area – it doesn't distinguish between upside and downside volatility. That's where the Sortino ratio comes in. The Sortino ratio, like the Sharpe ratio, evaluates risk-adjusted return, but it only considers downside volatility. In doing so, it addresses an important asymmetry in trading – traders generally welcome upside volatility while fearing its downside counterpart. A high Sortino ratio signals that a strategy minimizes damaging losses while potentially capitalizing on desirable volatility. By providing both these ratios, our backtester allows traders to examine a strategy's return through multiple risk perspectives. ### Filtering percent of time in market Filtering by the percent of time in market is an important feature of our backtester, mainly to reduce overfitting. By setting a minimum filter, you can focus on backtests with a statistically sound number of market days. Imagine two strategies: Strategy A has been in the market for 300 days, and Strategy B for only 30 days. While Strategy B might show an impressive return for its short time, its performance metrics might be unreliable due to the small sample size. Our tool allows you to filter out such strategies, preventing overfitting and enabling a more robust evaluation of the strategies' true performance. Like percent of time in market, you can apply filters to other metrics such as drawdown days, total strategy trades, and margin to stock % to fine-tune your risk tolerance and trading preferences. ### Profit and loss metrics We calculate various measures of profit and loss to provide a comprehensive view of a strategy's performance. The best and worst trade p&l metrics make it easy to quantify your upside potential versus the downside risk of the strategy. Sometimes it’s good to filter the table based on p&l percent per day, as that can be a good baseline for an effective strategy. Below you can see the trade log for a short put strategy on SPY. The trades are ordered chronologically depending on when they were entered. The total profit is shown on the right, with a breakdown of the entry price and exit price included. You can see how the total dollar profit for each trade is calculated, assuming $0.01 slippage on both the entry and exit. This value is used in many of the calculations related to profit and loss. ![Trade Log](https://orats.com/university/tradeLog.png) * * * Ranking algorithms ------------------ At this point, we’ve covered most of the concepts, tools, and techniques in the backtest finder. To recap, we first examined some of the common pitfalls traders face when doing their own backtest, which inspired us to create the new backtest finder. With over 300 million backtests across 100+ symbols and 15 strategies, filtering these backtests to meet your investment criteria is critical, which is why we paid close attention to the entry and exit criteria along with the 37 different performance metrics. Finally, let’s look at the three unique ranking algorithms that bring it all together—Best overall performance, Best conservative winner, and Best return on risk or individual sorts on P&L average daily profit, Sharp, Sortino and the like. Whether you're searching for a consistent winner, a risk-adjusted return champion, or an all-rounder, our ranking algorithms can cater to your unique preferences, offering a targeted understanding of each strategy's potential effectiveness. Here’s a breakdown of each of the custom ranking algorithms: **Best overall performance:** This ranking looks at the following metrics and applies the following weights: Annual Return (Overall) (33.3%), P&L % Per Day Avg. (16.6%), Sharpe Ratio (33.3%), and Sortino Ratio (16.6%). **Best conservative winner:** This ranking looks at the following metrics and applies the following weights: Annual Return (Overall) (18.2%), Max Drawdown % (9%), Strategy Win Rate (9%), P&L % Per Day Avg. (18.2%), Worst Annual Return (9%), Worst Monthly Return (9%), Sharpe Ratio (9%), and Annual Sortino (18.2%). **Best return on risk:** This ranking calculates the following metric: P&L % Per Day Avg. / (-1 \* Average (Worst Monthly Return, Worst Annual Return, Max Drawdown %)) To find the strategy that meets your investment objectives, sort the table of backtests by any performance column instead of a ranking algorithm and filter the results based on your needs. * * * Where this goes next -------------------- The metrics in this lesson are the language for everything else in the ORATS workflow. In the next lesson we’ll show how to configure custom backtests around your favorite symbols, and then the Strategy Optimizer steps in to iterate on those ideas without leaving the platform. Our north star is a frictionless, end-to-end experience where you can research, forward test, and deploy the same strategy playbook inside one system. As we expand symbols, strategies, and broker integrations, that workflow will only get tighter. Previous [302 - Input parameters](https://orats.com/university/input-parameters) Next [304 - Custom backtesting](https://orats.com/university/custom-backtesting) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # What Is the True Value of an Option? [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Indicators Thursday, February 19th 2026 What Is the True Value of an Option? ==================================== Understanding Structural, Statistical, and Forward Value in Options Summary Option valuation can be assessed through three perspectives: Structural Value (S%), which compares current pricing to today's market structure; Statistical Value (D%), which evaluates alignment with historical outcomes; and Forward Value (F%), which considers consistency with expected future volatility. Each measure provides different insights, and discrepancies among them can indicate market shifts. Understanding these benchmarks helps traders make informed decisions about whether an option is truly cheap or expensive. Two traders look at the same option. One calls it cheap. The other calls it expensive. Same price. Opposite conclusions. Who’s right? Before you can decide whether an option has value, you have to define what you are comparing it to. Without a reference point, words like “cheap” and “expensive” do not mean anything. Most option pricing models attempt to estimate fair value. But fair value depends entirely on the benchmark you choose. In options markets, there is no single true value. At ORATS, we frame option valuation using three distinct reference perspectives: * S% (sPct) — StructuralD% (dPct) — StatisticalF% (fPct) — Forward-looking Each answers a different question. Structural Value: Is the Option Mispriced Relative to Today’s Market? The first question is about internal consistency. Raw implied volatility can be noisy. Wide bid-ask spreads, put-call parity deviations, and microstructure effects can distort the surface. ORATS constructs a smoothed volatility surface using its proprietary SMV (Smoothed Market Value) process. SMV fits implied volatilities across strikes and expirations to produce a consistent, arbitrage-free surface reflecting the market’s underlying risk structure. S% (Smoothed Edge) compares the current option quote to that cleaned surface. * A positive S% indicates the option is trading cheap relative to the smoothed surface. * A negative S% indicates it is trading rich relative to that structure. This is not about history. It is not about forecasting. It is about whether the option is aligned with today’s market structure. That is structural value. Statistical Value: Is the Option Misaligned with Historical Outcomes? The second benchmark shifts from structure to behavior. If implied volatility is pricing a certain level of risk, how does that compare to what the stock has actually delivered in the past? This comparison is distributional. Stocks do not move in neat averages. They have skew. They have fat tails. They have asymmetry. D% (Distribution Edge) compares the market’s implied distribution to the stock’s historical distribution of realized outcomes. This includes: * The frequency of tail events * The skew of returns * How often realized moves exceeded implied expectations * A positive D% indicates options are statistically cheap relative to historical outcomes. * A negative D% indicates they are statistically rich. That is statistical value. Forward Value: Is the Option Consistent with Expected Volatility Conditions? Markets evolve. Volatility regimes shift between low and high volatility periods. Earnings cycles and macro conditions change. F% (Forecast Edge) compares current implied volatility to ORATS’ forward volatility estimate. That forecast incorporates multiple inputs, including historical realized volatility, term structure dynamics, and earnings-related adjustments. * A positive F% indicates options are cheap relative to expected future volatility conditions. * A negative F% indicates they are rich relative to forecast expectations. That is expectation-relative value. When the Edges Disagree These three measures do not compete. They describe different definitions of value. * S% asks whether the option is mispriced relative to today’s structure. * D% asks whether it is misaligned with historical behavior. * F% asks whether it is inconsistent with forward expectations. Sometimes they align. Sometimes they conflict. When they conflict, that disagreement is information. For example, an option may show: * Positive D% (statistically cheap versus history) * Negative F% (rich relative to forward forecast) That may suggest the market is pricing in a regime shift not captured in historical distributions. The signal isn’t the number alone. It’s the context. A Concrete Example Consider a 30-day at-the-money put on XYZ trading at 28% implied volatility. The three edge measures show: * S% = +2% — slightly cheap relative to the smoothed surface * D% = -3% — rich relative to the stock’s historical distribution * F% = +1% — slightly cheap relative to forecast expectations Three benchmarks. Three different answers. What does this combination suggest? The positive S% indicates a minor structural discount relative to today’s surface. The negative D% suggests implied risk exceeds what historical outcomes would justify. The slightly positive F% implies forward expectations may support somewhat higher volatility. The modest magnitudes suggest a market that is broadly fairly priced. Disagreement exists, but it is not extreme. True value depends on which comparison you care about. Summary of the Three Benchmarks ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F30cd72f7-e2b3-80c8-a624-d8b54cc4bdb5.png&w=3840&q=75) From Price Reaction to Value Measurement Most traders react to price. They see a volatility level and form an opinion. A more disciplined approach defines the reference first. * Are you trading short-term structural dislocations? Structural value may matter most. * Are you focused on long-run probability edges? Statistical value may dominate. * Are you positioning for regime change? Forward value may be decisive. In the ORATS Dashboard, S%, D%, and F% are displayed together in several places, including the Risk Profile page and the Positions view, allowing you to evaluate all three comparisons as part of your trade analysis. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F30cd72f7-e2b3-800d-9a76-c27ac228ab8d.png&w=3840&q=75) Price is a quote. Value is a comparison. The next time someone tells you an option is cheap, ask the only question that matters: Cheap compared to what? For detailed field definitions, see the ORATS API documentation or contact support@orats.com. Edge metrics are analytical comparison tools. They do not constitute trade recommendations or guarantees of future performance. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![How ORATS Uses Historical Volatility Forecasts to Improve Options Trading Decisions](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2abd72f7-e2b3-800e-b102-f070ad02d97f.png&w=3840&q=75)\ \ How ORATS Uses Historical Volatility Forecasts to Improve Options Trading Decisions\ \ How ORATS combines historical data, earnings patterns, and sector signals to forecast volatility.](https://orats.com/blog/how-to-use-hv-forecasts) [![Options 101: Implied Volatility Calculation And Uses](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fe3fd2333-07ed-421d-ac5d-feaeb6b973be.png&w=3840&q=75)\ \ Options 101: Implied Volatility Calculation And Uses\ \ Options pricing models produce theoretical values for options and implied volatilities. Here we show common methods for calculating IV and how to interpret them.](https://orats.com/blog/options-101-implied-volatility-calculation-and-uses) [![Market Looks To Firm Up According To Implied Volatility Indicators](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F170add4c-da19-4070-88bd-8722590325ec.png&w=3840&q=75)\ \ Market Looks To Firm Up According To Implied Volatility Indicators\ \ Implied volatility, contango, and forward volatility can be used to predict underlying movement. Ex-earnings IV for stocks is explained. Backwardation is described as is the flat volatility method.](https://orats.com/blog/market-looks-to-firm-up-according-to-implied-volatility-indicators) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Is NVDA Earnings Volatility Underpriced? [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Tuesday, February 24th 2026 Is NVDA Earnings Volatility Underpriced? ======================================== Absolute compression, sector inversion, and what elevated market volatility may be masking Summary Nvidia's implied earnings move is currently 5.6%, significantly lower than its historical average of 7.6%, indicating reduced expectations for volatility. This compression may be due to a higher overall market volatility regime, suggesting that event-specific volatility appears less significant. Additionally, Nvidia's implied move is now below the sector average, reversing its historical premium. Possible interpretations include improved predictability of earnings, structural changes in the company's profile, or the influence of elevated baseline volatility. Understanding these dynamics is crucial for accurate analysis of implied earnings volatility. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8085-9c97-e7567978997c.png&w=3840&q=75) Nvidia’s upcoming earnings present a useful example of how the options market prices event risk. At first glance, the implied earnings move appears compressed relative to both NVDA’s own history and its typical positioning within the technology sector. Whether that reflects mispricing or a change in expectations requires careful examination of the data. The implied earnings move is the percentage move the options market is pricing immediately following an earnings announcement. It is derived from options prices, commonly through near-term at-the-money structures surrounding the event. This number reflects expectations embedded in current pricing. It is not a forecast or a prediction. It is a measurement of how much movement traders are willing to pay for. ORATS calculates the implied earnings move by isolating the volatility attributable specifically to the earnings event, separating it from the baseline implied volatility embedded across the term structure. That distinction becomes particularly important when the broader volatility environment is elevated. NVDA’s current implied earnings move is 5.6%. Over the past 12 quarters, the average implied earnings move has been 7.6%. NVDA’s actual post-earnings moves have also clustered near that 7.6% level. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8002-981d-d7437db1ab21.png&w=3840&q=75) The difference is meaningful. A 5.6% implied move represents roughly 26% less expected movement than what has typically occurred. For a company that has regularly delivered significant earnings reactions, that compression stands out. It does not imply the market is incorrect. It does indicate that expectations are currently below what history would suggest. When pricing departs materially from established patterns, understanding the reason becomes critical. One likely driver is the broader volatility regime. Overall market implied volatility remains elevated, particularly in longer-dated options. When the baseline level of implied volatility is already high, event-specific volatility becomes a smaller incremental addition. Mechanically, the implied earnings move is extracted by comparing near-term options that include the earnings event with longer-term options that do not. If longer-term implied volatility is elevated, the difference between those maturities narrows. The calculated event premium appears smaller, even if uncertainty around earnings has not materially changed. In practical terms, the volatility floor is higher than usual. Against that backdrop, the earnings component represents a smaller percentage increase. This is why implied earnings moves cannot be interpreted in isolation. The volatility regime matters. Absolute history tells part of the story. Relative positioning provides additional context. ORATS measures the capitalization-weighted average implied earnings move for XLK, the Technology Select Sector ETF. This creates a sector benchmark against which individual stocks can be compared. Historically, NVDA’s implied earnings move has averaged 1.5 times the XLK benchmark. In other words, NVDA has typically been priced at a 50% premium to the average large-cap technology name around earnings. Today, that ratio is 0.9. NVDA’s implied move is approximately 10% below the sector average. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8034-b4ee-e1ac3e292784.png&w=3840&q=75) That shift is significant. NVDA is not only pricing below its own historical average. It is pricing below how it has historically traded relative to its peers. The long-standing premium has reversed. The sector comparison confirms the same compression observed in the absolute numbers. NVDA is being treated as less event-driven than it has typically been. There are several ways to interpret this data. The market may view NVDA’s earnings profile as more predictable this quarter. Guidance may be clearer, demand visibility stronger, or dispersion of outcomes narrower than in prior periods. It is also possible that options are inexpensive relative to NVDA’s historical earnings behavior. If realized movement approaches the long-term 7.6% average, current implied pricing would appear conservative. Another explanation is structural. As NVDA has grown into one of the largest companies in the market, its earnings profile may be perceived as more stable. Large-cap weighting effects and broader institutional ownership can influence volatility characteristics over time. Finally, some portion of the compression may reflect the elevated baseline volatility regime. When systemic risk is already priced at higher levels, event-specific volatility appears less extreme by comparison. The data does not prescribe a conclusion. It frames the range of possibilities. This type of comparison draws on several views available in ORATS: historical implied versus actual move data in the Earnings and News tab, sector-relative ratio calculations, and broader term structure context. Taken together, these perspectives allow traders to evaluate implied pricing against both a stock’s own history and its position within the current volatility regime. The objective is not prediction. It is context. When implied volatility diverges from established patterns, structured comparison helps clarify what has changed. NVDA’s current implied earnings move of 5.6% sits well below its 7.6% historical average. At the same time, its sector-relative premium has flipped from 1.5 times the XLK benchmark to 0.9 times. That combination is uncommon. Whether this reflects improved predictability, a structural repricing, or the influence of elevated baseline volatility remains uncertain. What is clear is that the current setup deviates from established patterns. Implied earnings volatility is not just a standalone percentage. It is a relationship between past behavior, current pricing, sector positioning, and volatility regime. Interpreting that relationship correctly is essential before drawing conclusions from the headline number. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) [![Nvidia Earnings Preview: ORATS Sees Lower Move This Quarter](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F201d72f7-e2b3-803a-8009-d933d73e917b.png&w=3840&q=75)\ \ Nvidia Earnings Preview: ORATS Sees Lower Move This Quarter\ \ Muted Earnings Move Expected for Nvidia](https://orats.com/blog/nvidia-earnings-preview-5-28-2025) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS University - Stock scanning [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) The backtester is a great tool for exploring the viability of specific strategies in certain environments. However, there are times when you want to explore trading opportunities for the present moment. This is where scanning - part of our second pillar of implementation - comes into play. * * * What makes a great scanner -------------------------- Scanners are used to narrow down an entire universe of stocks and options into a few considerable trades by applying filters to certain indicators. We know from the previous lesson about predictive indicators that slope, ex-earnings IV, contango, and others aren't very useful when measured by themselves, but become informative when we compare them to history, to forecasts, and to related equities. Fortunately, all of these points of comparison are availble in the ORATS stock scanner, which can scan over 5,000 tickers in a few seconds. ### History One common and effective approach traders use to analyze indicators is to compare them to recent history, most commonly the moving average. Most indicators tend to revert to their mean after a certain amount of time. Thus, different periods of moving averages are used - 3, 5, 10, 20, and 50 days. ![Stock scanner moving average](https://orats.com/university/stockScannerMa.png) Taking a look at slope, which is ORATS' measure of the steepness of the 30-day constant maturity IV skew, we can see the different moving averages available to use. If we want to find stocks that have an overvalued slope, we could look for stocks where the slope ratio to its 5-day moving average is above 1. We can also see the history of an indicator from within the stock scanner. This helps confirm the results that we're seeing and analyze how that indicator changed over time. ![Stock scanner slope history](https://orats.com/university/stockScannerSlope.png) ### Forecasts We can also compare slope (and other indicators) to their forecast. We provide forecasts for certain summarizations of the volatility surface, including slope, deriv, ex-earnings IV, and the earnings effect. These forecasts are based on proprietary estimations of the future volatility surface using techniques discussed in prior lessons. We can use these forecasts in the stock scanner to find stocks that meet certain criteria. For example, if the forecast of ex-earnings volatility is higher than the current value, that means ORATS projects volatility to increase. The resulting stocks could then be used to scan for options trades with high vega. ### Related equities Yet another use case of the stock scanner is the ability to compare indicators against related equities. When scanning for stocks, it can be helpful to analyze sectors and similar stocks. For example, wouldn't it be great if we knew the weighted average of all slopes in the tech sector? Fortunately, ORATS has that data in the form of "best ETFs". We keep track of over 30 of the most common SPDR sector ETFs – like XLK, XLY, and SPY – and calculate indicators like slope based on the weighted average of their components. The results are placed into a new symbol suffixed by "\_C". These symbols are perhaps the most unique and useful way to scan for stocks in ORATS. You can select "Best ETF\_C" when building a custom ratio indicator to compare each symbol against its individual closest SPDR sector ETF. This powerful mechanism allows you to filter stocks that are under or overvalued relative to related equities. Here is a full list of \_C tickers: 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 ### Fundamentals A great stock scanner wouldn't be complete without fundamentals. Fundamental indicators are different from the hundreds of technical indicators we calculate at ORATS. Fundamentals include price to earnings ratios, market cap, profit margin, and other balance sheet metrics. These can be helpful when narrowing down thousands of stocks to those that meet your economic and financial standards. ![Stock scanner fundamentals](https://orats.com/university/stockScannerFundamentals.png) * * * Scan templates -------------- We've put together a series of stock scans that you can use to identify stocks meeting certain criteria. These scans are a great starting point in identifying stocks to trade certain strategies. Below are the descriptions for each scan as well as the option strategy that goes with it. ### Unusual call volume Informed traders often use calls to get leverage for bullishness on the stock. ORATS identifies these informed participants by comparing the average volume for the last 20 days for all strikes and calculating a ratio of that volume for today. The higher the ratio, the more calls that traded today versus the past 20 day average.  ORATS also looks at how the implied volatility compares to its 3-day average. We only want scenarios where the IV is higher than the 3 day average to capture times when the informed traders are buying calls and probably bullish on the stocks. The filtered stocks would be candidates for bullish options strategies. [Unusual call volume scan template](https://dashboard.orats.com/stock-scanner/scanner?id=2251799813685399) ### Unusual put volume Informed traders often use put to get leverage for bearishness on the stock. ORATS identifies these informed participants by comparing the average volume for the last 20 days for all strikes and calculating a ratio of that volume for today. The higher the ratio, the more puts that traded today versus the past 20 day average.  ORATS also looks at how the implied volatility compares to its 3-day average. We only want scenarios where the IV is higher than the 3 day average to capture times when the informed traders are buying puts and therefore, probably bearish on the stocks. The filtered stocks would be candidates for bullish options strategies. [Unusual put volume scan template](https://dashboard.orats.com/stock-scanner/scanner?id=1125899906842877) ### Put-call skew cheap This scan is looking for stocks that are moderately liquid where the low strike puts are typically undervalued and the high strike calls are overvalued. We call the relationship between low strikes and high strikes the skew or slope. One way we find if the slope is under or overvalued is to look at how the slope has changed recently. If the slope is lower than recent levels, the lower strike puts are cheaper and the higher strike calls are more expensive than usual. We also observe that slope percentile is low, and whether the slope forecast versus the current slope is high. All these indicators point to an undervalued skew. The filtered stocks would be candidates for a collar strategy. [Put-call skew cheap scan template](https://dashboard.orats.com/stock-scanner/scanner?id=2251799813685400) ### Put-call skew rich This scan is looking for stocks that are moderately liquid where the low strike puts are typically overvalued and the high strike calls are undervalued. We call the relationship between low strikes and high strikes the skew or slope. One way we find if the slope is under or overvalued is to look at how the slope has changed recently. If the slope is higher than recent levels, lower strike puts are more expensive and the higher strike calls are cheaper than usual. We also observe that slope percentile is high, and whether the slope forecast versus the current slope is low. All these indicators point to an overvalued skew. The filtered stocks would be candidates for a risk reversal strategy. [Put-call skew rich scan template](https://dashboard.orats.com/stock-scanner/scanner?id=1125899906842878) ### Earnings this week This simply scans for liquid stocks that are reporting earnings this week. Traders may want to protect or hedge their position or make a directional bet. The filtered stocks would be candidates for neutral strategies like straddles or an iron condor. [Earnings this week scan template](https://dashboard.orats.com/stock-scanner/scanner?id=2251799813685401) ### High IV30d Sometimes, the implied volatility of a stock gets overvalued usually because of supply and demand imbalances in the options. We look at the ratio of the ex-earnings 30-day implied volatility versus its 5-day, 20-day, and 50-day average to identify these times. We also look at how the implied volatility of each stock compares to other stocks in its same sector. The filtered stocks would be candidates for short vertical spreads. [High IV30d scan template](https://dashboard.orats.com/stock-scanner/scanner?id=1125899906842879) ### Low IV30d Sometimes, the implied volatility of a stock gets undervalued usually because of supply and demand imbalances in the options. We look at the ratio of the ex-earnings 30-day implied volatility versus its 5-day, 20-day, and 50-day average to identify these times. We also look at how the implied volatility of each stock compares to other stocks in its same sector. The filtered stocks would be candidates for long straddles or strangles. [Low IV30d scan template](https://dashboard.orats.com/stock-scanner/scanner?id=2251799813685402) ### Hard-to-borrow Hard-to-borrow stocks are identified by analyzing put-call parity discrepancies explained by options traders paying more for puts relative to calls. These stocks typically have higher implied volatility and may be poised for a short squeeze. The filtered stocks would be candidates for bullish strategies. [Hard-to-borrow scan template](https://dashboard.orats.com/stock-scanner/scanner?id=1125899906842880) Previous [305 - Optimizing your strategy](https://orats.com/university/optimizing-your-strategy-305) Next [402 - Option scanning](https://orats.com/university/option-scanning) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # On Risk Management and Path-Dependent Trades: Lessons from Captain Condor [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) In the Media Monday, January 12th 2026 On Risk Management and Path-Dependent Trades: Lessons from Captain Condor ========================================================================= ORATS cited by Bloomberg on an options market loss Summary A recent Bloomberg article discusses a significant options market loss linked to aggressive position sizing and holiday liquidity. It emphasizes that increasing position size after losses alters the risk profile, turning a probabilistic strategy into a path-dependent risk event. This issue is particularly critical during low liquidity periods, highlighting the need for professionals to consider volatility, liquidity, and position sizing when managing strategies. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-8010-8391-c65eaabb0cc3.png&w=3840&q=75) Earlier this week, Bloomberg published a detailed look at a high-profile options market loss tied to aggressive position sizing and holiday liquidity conditions. In the piece, [Bloomberg cited comments from](https://www.bloomberg.com/news/articles/2026-01-11/-captain-condor-wipeout-offers-harsh-lesson-in-managing-risk?utm_source=website&utm_medium=share&utm_campaign=linkedin) [Matt Amberson](https://www.bloomberg.com/news/articles/2026-01-11/-captain-condor-wipeout-offers-harsh-lesson-in-managing-risk?utm_source=website&utm_medium=share&utm_campaign=linkedin) , founder of Option Research & Technology Services, on the risks inherent in doubling exposure during losing streaks. The core issue highlighted in the article is not the use of iron condors or short-dated options themselves, but the transformation of a probabilistic strategy into a path-dependent risk event through Martingale-style sizing. Increasing position size after losses fundamentally changes the risk profile, concentrating what appear to be many small edges into a single large tail outcome. This dynamic becomes especially pronounced during periods of reduced liquidity, such as holiday trading sessions, when market depth is thinner and the cost of adverse moves can rise quickly. These are not theoretical concerns. They are recurring structural features of options markets that professionals must account for when designing and managing strategies. At ORATS, we focus on understanding how volatility, liquidity, and position sizing interact across regimes, not just how strategies perform under idealized assumptions. We appreciate Bloomberg including our perspective in its reporting, and we remain committed to advancing disciplined, data-driven approaches to risk management. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Earnings Straddles Are Having Their Moment](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F305d72f7-e2b3-802e-8dfc-efd5e26905b5.png&w=3840&q=75)\ \ Earnings Straddles Are Having Their Moment\ \ Strong realized moves and shifting volatility expectations have produced one of the most favorable earnings seasons for straddle buyers in years.](https://orats.com/blog/earnings-straddles-strong-season-2026) [![Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b4d72f7-e2b3-80ea-80dc-e7f2a2885f33.png&w=3840&q=75)\ \ Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)\ \ Why financial media, trading desks, and quant researchers depend on ORATS data every day](https://orats.com/blog/trusted-options-data) [![Wall Street Journal Leverages ORATS Tools to Analyze Congressional Trades During Tariff Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F214d72f7-e2b3-8096-b407-fe712376f281.png&w=3840&q=75)\ \ Wall Street Journal Leverages ORATS Tools to Analyze Congressional Trades During Tariff Volatility\ \ WSJ uses ORATS data to analyze Congressional trades.](https://orats.com/blog/wsj-uses-orats-to-analyze-congressional-options-trades) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS University - Option scanning [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) In the previous lesson, we reviewed how to scan over 5,000 stocks to help narrow down the symbols you want to trade. Now that you have a stock (or list of stocks), it's time to examine their options chains and find a trade that meets your investment objectives. * * * Custom strategies ----------------- Whether you're coming from a backtest, stock scan, or you just have a stock that you're interested in, a great option scanner should be able to handle any strategy. There are over 25 different commonly known strategies, ranging from one to four legs, and either bullish, bearish, or neutral. In recent years, advanced traders have been exploring more custom strategies, which involve varying the ratios and sides of the calls and puts from the common strategies. For example, in [this video](https://www.youtube.com/watch?v=KBN0wBLKZHc) we reviewed a custom call collar strategy that takes a short risk reversal and adds a long call to limit the upside risk of the strategy. ![Custom collar criteria](https://orats.com/university/customCollarCriteria.png) Custom strategies are just one of many ways to use the ORATS option scanner to find your favorite trade. * * * Theoretical values ------------------ After running an option scan in ORATS, you're presented with a list of trades that match your critiera. In addition to the common filters - expiration date, price, strike deltas, implied volatility, etc. – we've enhanced the scanning experience by including three theoretical edges, each meticulously calculated to help give you more insight into the true value of the price. Positive edges indicate that the market price of the trade is undervalued, while negative edges indicate the opposite. ### Distribution edge Our first theoretical edge (D%) focuses on the distribution of past stock returns over the same period of time as the trade’s days to expiration. Basically, we’re using 15+ years of historical data to calculate the likelihood of the stock price ending up at a series of different prices on expiration day. Specifically, we calculate the probability for 21 different price observations, or buckets. These buckets are denoted by the grey bars in the payoff diagram below: ![Distribution edge](https://orats.com/university/theoreticalD.png) To normalize the distribution for periods of extreme volatility, returns are adjusted using implied volatility at the time of the observation. For example, if SPY was trading $100 with a 30% IV a 1% move would be adjusted down now that SPY is $470 with a 10% IV. So that 1% move might go in the 0.5% bucket after making the adjustment. On the contrary, if the current IV is super high we would take the opposite approach: If a historical same DTE move was 0.25% with a 25% IV, and now the IV is 50% we would increase the percent move. To calculate D%, we start by looking at each bucket and multiplying the probability by the terminal value of the trade at that point. Then, we add up all of those values to get a theoretical value. Finally, to calculate the edge, we divide this total by the options trade price or the minimum margin (see section below), whichever is greater. A positive D% edge indicates that ORATS is forecasting a greater likelihood of the trade expiring "in-the-money" than the market. ### Forecast edge Our second theoretical edge (F%) focuses on forecasting the volatility surface. This is based on a combination of factors, including historical volatility and the forecasts for slope, deriv, and earnings effects. You can read more about how we forecast the volatility surface [here](https://orats.com/university/volatility-around-earnings/) . We use our forecast of the volatility surface to calculate our own theoretical value for the price of the trade. If our value is higher than the market price (lower in the case of a credit), this is a positive edge - a benefit to the trader. ### Smoothed edge Lastly, our smoothed edge (S%) measures the distance between ORATS' proprietary SMV value and the price of the trade. If you remember from [earlier lessons](https://orats.com/university/the-true-price-of-an-option/) , our Smoothed Market Values (SMV) process helps line up put and call volatilities by looking at several contributing factors – interest rate assumptions, dividend assumptions, and liquidity – and then using a residual yield solved by applying put-call parity. With these volatilities now lined up, a "smoothed" line is drawn through the implied volatility skew for each expiration. We use this modified volatility surface to calculate a new price for the trade – our SMV price. To calculate S%, we divide our SMV price by the market price (or minimum margin, whichever is greater). For a credit, one is subtracted by the ratio and for a debit the ratio is taken away from one. The edge is positive for a theoretical benefit to the trader. ### Minimum margin Note that for all edge calculations (D%, F%, and S%), the minimum divisor is the greater of the options trade price and the minimum margin for a trade. The minimum margin is $0.375 times the number of options in a trade. For example, a single leg option has a minimum margin of $0.375. A vertical has two options for a minimum of $0.75. A three option trade like a call 1x2 (1call x -2calls) or put spread collar (1put x -1put x -1call) has $1.125 minimum divisor. A four option trade like an iron condor or butterfly (1 x -2 x 1) has a minimum margin of $1.50. * * * Additional filters ------------------ ### Rank weightings When filtering through hundreds of options trades, it's important to have a ranking system built in. You could, of course, sort by a specific column, but your trade selection becomes much more powerful when you incorporate rank weightings. Rank weightings consider the varying importance of six different popular column filters: D%, F%, S%, delta cost, reward to risk, and probability of profit. By dragging the sliders left and right, you can change how each trade is ranked based on how benefecial or detrimental the column reading is. ![Rank weightings](https://orats.com/university/rankWeightings.png) ### Column filters In addition to the three theoretical edges described above, ORATS presents an additional 20 columns in the Option Scanner: **Price:** The price of the trade is the net mid point of the bid-ask quotes. Negative prices are credits. Positives are debits. **DTC (delta cost):** Delta Cost is a proprietary formula for evaluating the cost of delta. Delta is a benefit to long options and a detrement to short options. The Delta Cost should be minimized if buying and maximized if selling. For buying, the smallest positive number is the best Delta Cost. For selling, the most negative (smallest) number is the best Delta Cost. Delta Cost is positively related to trade price. Delta Cost is negatively related to absolute delta, stock price, volatility, and time. **Rwd:risk:** Reward to risk is the maximum gain from the terminal value of the trade minus the price over three standard deviations divided by the maximum loss. **POP%:** Probability of profit is the area under the distribution sum of the probabilities that result in a positive profit. **Max gain:** The maximum amount, in dollars, you would profit from this trade if this trade was closed at expiration. For trades with an unlimited max gain, we show a dollar value equal to three standard deviations of upside potential. **Max loss:** The maximum amount, in dollars, you would lose from this trade if this trade was closed at expiration. For trades with an unlimited max loss, we show a dollar value equal to three standard deviations of downside risk. **Delta:** The total delta of the trade is the current sum of the options deltas. Delta is the change in the price of the option given a one dollar increase in the stock. **Gamma:** The total gamma of the trade is the current sum of the options gammas. Gamma is the change in the delta of the option given a one dollar increase in the stock. **Theta:** The total theta of the trade is the current sum of the options thetas. Theta is the change in the price of the option given a one day passage of time. **Vega:** The total vega of the trade is the current sum of the options vegas. Vega is the change in the price of the option given a one percentage point increase in the implied volatility. **IV:** The implied volatility of the trade is the current weighted average by number of contracts ratio of options implied volatility. **DTE:** The number of days until expiration for the trade. **Breakeven(s):** Breakeven points of the trade are where the trade terminal profit equals zero across a three standard deviation range. **Open interest:** The open interest of each leg corresponds to the strikes order. **Volume:** The current day's volume of each leg of the trade corresponds to the strikes order. **Ask-bid:** The sum of the asks minus the bids for each leg of the trade. **Mkt width %:** Market width in percent of stock price: (ask - bid) / stock price \* 100. **Price %:** The price divided by the stock price \* 100. **Next dividend:** The date the company is expected to report it's next dividend. **Next earnings:** The next expected earnings date for the company. * * * Next steps ---------- The option scanner provides powerful tools to filter through thousands of contracts and find opportunities that match your specific criteria. With templates, custom filters, and the ability to scan both spreads and single-leg options, you have a comprehensive toolkit for identifying potential trades. In the next lesson, we'll explore how all your research comes together in the Trade Ideas tab - a central hub that aggregates trade opportunities from multiple sources including the backtest finder, curated strategies built by the ORATS team, your own saved strategies from the optimizer, and custom option scans. We'll also cover additional discovery tools available in other areas of the dashboard, such as time and sales analysis, market intelligence reports, and tools for tracking institutional positioning across the entire market. Previous [401 - Stock scanning](https://orats.com/university/stock-scanning) Next [403 - Trade ideas and signals](https://orats.com/university/trade-ideas-and-signals) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS University - Custom backtesting [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) In the last several lessons, we walked through how you can find your favorite top performing strategies in the backtest finder. While this covers most scenarios, you might want to run your own custom backtest using specific entry and exit criteria. In this lesson, we'll look at the two available options for you in ORATS' suite of web tools. * * * New custom backtester --------------------- ### Benefits The new custom backtester is our latest offering that we've designed alongside the backtest finder. The backtest details popup presents information in the same style as the backtest finder, with a graph of performance, monthly returns, performance metrics, and a trade log. Additionally, the "find backtests" button is available to help reduce overfitting. Once you're satisfied with the backtest, you can click the "scan for options" button to quickly send your entry parameters to the option scanner to help find a trade. ![New custom backtester details](https://orats.com/university/backtestDetailsNew.png) It's also easier and faster to design your backtest, with all of the entry criteria bundled into a concise and intuitive interface. ![New custom backtester create](https://orats.com/university/createBacktestNew.png) Finally, all of your backtests are presented in a table with several helpful columns, including annual return, max drawdown, % of time in market, among others. ### Drawbacks Since we are developing the new custom backtester in tandem with the backtest finder, we are currently only offering the same symbols in both. That means the custom backtester currently supports over 100 symbols and 15 strategies while we continue to grow these tools. We are working to reach feature parity with the legacy custom backtester, which you can read more about below. As such, the new custom backtester only includes a subset of the entry and exit criteria available in the legacy version. * * * Legacy custom backtester ------------------------ Our legacy custom backtester was our flagship product from 2019 to 2022 until we launched the dashboard. The legacy version includes all of the most advanced, niche features that you would need to develop a highly sophisticated backtest. You can access the [legacy custom backtester here](https://wheel.orats.com/?lander=true&wheel-redirect-url=/backtest) . ### Symbol(s) and strategy You can choose to test either a single symbol or upload a CSV file where you can specify multiple weighted symbols as well as [custom entry and exit signals](https://orats.com/blog/backtest-your-own-signals) . We offer 17 different pre-canned bullish strategies, 13 bearish, and 14 neutral. Some of these strategies, like covered calls and collars, include long stock to help you backtest both stocks and options together. ### Entry criteria The legacy custom backtester stands out with its massive selection of entry and exit criteria. In the entry criteria alone, there are over 15 different parameters you can set: **Date range:** The beginning and ending of the test. From 2007-01-03 to present. **Expiration type:** Choose all, weekly, or monthly. **Stock position:** Choose type (none, overlay, or married) and ratio. Ratio of 1 is long stock and ratio of -1 is short stock. The difference between overlay and married type is: Overlay you hold the stock from start to finish throughout the backtesting period. Married you hold the stock and exit the stock when you exit the option or when the option expires. **Return type:** Choose per trade (notional or margin) and daily (average or compound) returns. Set per trade to notional to calculate returns using notional and margin to calculate returns using margin. Set daily to average to calculate annual returns as an average. Set daily to compound to calculate annual returns using compounding. **Entry days:** Stagger trades every this many entry days. For example, there would be a new trade every 7 days from the last new trade. To reduce path dependency, set this to 1 to make a new trade potentially every day. **Spread yield %:** Spread yield allows you to filter based on the option trade price relative to the stock price. Calculated as (option entry price / stockprice). For example it would search options that have spread yield between and including 0.05 to 0.10 (5 and 10 percent). For credits, i.e selling options strategies, make sure the spread yield inputs are negative. **Spread price:** Spread price allows you to filter by the total price of the spread. For example, a target of 0.15 ($) and min max of 0.10 to 0.20 will select a trade closest to 0.15 but only if the spread price is within the min max range. For credits, i.e selling options strategies, make sure the spread prices are negative. For example, with a short put, target: -0.5, min: -1 max: 0. **Spread delta:** Spread delta allows you to filter by the net delta of the spread. Calculated as leg1ratio \_ leg1delta + leg2ratio \_ leg2delta. For example, it would set a min max of .30 to .40 and find only spreads with net deltas within that range. Be careful, you might have to use negative deltas when you set min and max. **Strike diff %:** Enter the trade when the trade price divided by the difference in strike prices is between the min and max. For example, a $5 wide call spread would enter if the price of $1 divided by 5 is between the min of .10 and the price of 4.5 that is above the max of .90. For credits, i.e selling options strategies, make sure the strike diff % inputs are negative. **Hedge days:** Delta hedge at the end of this many days. For example, 1 would delta hedge at the end of each day. **Hedge tolerance:** Hedge if the delta is below min or above max. For example if you set max: 0.1 for hedge tolerance, it would hedge the delta if delta is greater than 0.1 delta. **Market width ratio:** Market width ratio is equal to (optionAsk - optionBid) / strike. So to filter out any option strikes that have 5% of market width relative to the strike, we would set the max to 0.05. **AbsCpDiffStkPxRatioMax:** Absolute call put parity difference stock price ratio maximum is the absolute value of the put call parity formula inequality divided by the stock price. The max value is the maximum this value can be and still accept a trade for a backtest. This is useful parameter to avoid obviously bad markets. A typical amount for this would be a max of 0.02. **Implied bid volatility:** Implied bid volatility found by using the bid price of the option. For example, it would search options with implied bid volatilty between and including 15 to 80. **Implied ask volatility:** Implied ask volatility found by using the ask price of the option. For example, it would search options with implied ask volatilty between and including 15 to 80. **Option bid:** The bid price of the option. Use the min max to set a minimum and maximum options bid price to trade in the backtest. For example, search options with a bid price between and including min 0.05 to max 0.25. **Option ask:** The ask price of the option. Use the min max to set a minimum and maximum options ask price to trade in the backtest. For example, search options with a ask price between and including min 0.05 to max 0.25. **Entry date triggers:** The entry date trigger is the number of days before or after the event you will enter the position. Choose between earnings or conferences/events. **Entry indicator triggers:** Set as many of these as you would like. You can select from hundreds of our proprietary indicators, and even make your own using ratios. We also offer a variety of technical indicators - MACD, RSI, SMA, etc. You can choose to measure the indicator on the symbol you are testing, or a symbol of your choice. The trade will enter if the reading for the day is between the min and the max. ### Exit criteria In addition to the plethora of entry criteria, the legacy custom backtester offers similar criteria for exiting: **Exit spread delta:** Exit and roll the trade if the spread total delta exceeds the min or max value. Calculated as leg1ratio \* leg1delta + leg2ratio \* leg2delta. Can be absolute delta or stock OTM %. **Exit DTE days:** Exit the trade when the days to expiration left is equal to or below this. For example, it would exit a trade with 10 days left to expiration. To hold a trade until expiration, enter "expire". **Exit profit/loss %:** Set stop losses and profit targets. For example, to set a stop loss of -0.5 (-50%) and a profit target at 2.0 (200%) for a long call, you would set the min to -0.5 and max to 2.0. Set only a stop loss by leaving the max blank. **Exit leg on strike trigger:** You can exit a trade based on the delta and/or OTM% levels of any one of the legs. For OTM%, you would exit the trade when the strike as a percent of stock price of a leg is below the min or above the max. For example, it would exit when the strike percentage of stock price is below 1.05 or above 1.20. Add a leg by clicking the "+" button. **Exit strike diff %:** Exit the trade when the trade price divided by the difference in strike prices falls below the min or rises above the max. For example, a $5 wide call spread would enter if the price of $1 divided by 5 is between the min of .10 and the price of 4.5 that is above the max of .90. For credits, i.e selling options strategies, make sure the strike diff % inputs are negative. **Exit hold days:** Exit the trade when the trade was held this many days. For example, it would exit a trade when the trade has been held for 20 days. **Exit spread price:** Exit the trade when the trade price falls below the min or rises above the max. For example, it would exit if below 0.4 ($) min or above 0.90 max price. For credits, i.e selling options strategies, make sure the spread prices are negative. For example, with a short put, target: -0.5, min: -1 max: 0. **Exit date triggers:** The exit date trigger is the number of days before or after the event you will enter the position. Choose between earnings or conferences/events. **Exit indicator triggers:** Set as many of these as you would like. You can select from hundreds of our proprietary indicators, and even make your own using ratios. We also offer a variety of technical indicators - MACD, RSI, SMA, etc. You can choose to measure the indicator on the symbol you are testing, or a symbol of your choice. The trade will exit if the reading for the day is below the min or above the max. ### Leg relationships Leg relationships are a special type of entry criteria that allows you to control the relative DTE, delta, or strike width between each of the legs. These are commonly used when backtesting calendars or other multi-leg spreads where it's critical for the legs to be related to each other. Each of the following leg relationships offers three separate criteria: **L1L2**, **L2L3**, and **L3L4**. These represent the legs in the equation. For example, L1L2 represents the second leg's value subtracted from the first leg's value (leg 1 - leg 2). The trade would only enter if the value of this equation is above the min and below the max. **DTE diff:** L1 days to expiration minus L2 days to expiration. **Delta total:** L1 delta minus L2 delta. **Strike width:** L1 strike width minus L2 strike width. **Strike width %:** L1 strike minus L2 strike divided by the stock price. * * * How it works ------------ Our custom backtesting engine is quite complex, but here we've simplified it down to eight general steps, along with slippage and commission assumptions. 1. The Backtester scans for entry from the start date using all the user input entry parameters. 2. Once an option trade is found, the Backtester calculates the option returns for each day. If there are hedging or married stock position in the strategy, we calculate that for each day at the time of option returns calculation. 3. For each day, the Backtester checks for exits using all the user input exit parameters. 4. If any of the exit parameter is triggered, the Backtester exits the option position. 5. When an option exits, the Backtester scans for entry again and step 1 is started over again until the end date or the latest available date in our database. 6. If there are overlay stock component in the strategy, the stock daily returns are added to the option daily returns. 7. If there are any weightings we calculate the weighted returns last when the backtest statistics are calculated. 8. Adjustments are handled similar to exits but we use adjustment entry and exit triggers to enter and exit adjustment trades. ### Slippage Slippage is the extra amount paid or the smaller amount received for an option bought or sold compared to the middle of the options bid-ask. We use a percentage of the options bid-ask spread to represent this amount and the percent slippage is different depending on how many legs there are in the trade. The slippage formula to buy is: Bid + (Ask - Bid) \* slippage% The slippage formula to sell is: Ask - (Ask - Bid) \* slippage% The following table explains the default method to calculate slippage on entering and exiting a trade: | \# of Legs | Slippage % | bid x ask | Buy Trade Price | Sell Trade Price | | --- | --- | --- | --- | --- | | 1 | .75 | 1.20 x 1.40 | 1.35 = 1.20 + (1.40-1.20) \* .75 | 1.25 = 1.40 - (1.40-1.20) \* .75 | | 2 | .66 | 5.10 x 5.90 | 5.628 = 5.10 + (5.90-5.10) \* .66 | 5.372 = 5.90 - (5.90-5.10) \* .66 | | 3 | .56 | 4.20 x 5.20 | 4.76 = 4.20 + (5.20-4.20) \* .56 | 4.64 = 5.20 - (5.20-4.20) \* .56 | | 4 | .53 | 8.50 x 10.30 | 9.454 = 8.50 + (10.30-8.50) \* .53 | 9.346 = 10.30 - (10.30-8.50) \* .53 | According to the table above: for a 1 leg option trade like buying a call, the default slippage is 75% of the bid ask width; for a 2 leg trade like a put spread vertical the slippage would be 66% of the total bid-ask spreads; for a 3 leg trade like a butterfly, slippage would be 56% of the bid-ask width for all legs; and finally a 4 leg iron condor would have a slippage of 53%. ### Commission We use $1.00 per option contract and $0.01 per share of stock when calculating returns. If the option exits out of the money at expiration with $0 value, we only deduct $1.00 for entry. If the option exits in the money at expiration with value, we will deduct two ways on entry and exit. If the option exits early, we deduct two ways on entry and on exit. Same goes with stock returns. ### Calculating daily returns We calculate our daily returns using notional returns. The change in daily values of the option is divided by the notional or stock price at entry of the trade. We will sometimes show margin returns depending on the tool, but in general we like to use notional because of the [reasons explained here](https://orats.com/university/backtesting-methodology#misunderstanding-notional-vs-marginal-return) . The best way to explain notional return it is to use an example below: Let's say we entered a XYZ Long Call at $1.20 on 1/3/2007 with a stock price of $100. On 1/4/2007, our option hit $1.80. Our notional daily return calculation would be: ($1.80-$1.20)/$100 = .006 which is .6% daily return on 1/4/2007. Then on 1/5/2007 our option went down to $0.90. Then our daily notional return would be (.90-1.80) / $100 = -.009 on 1/5/2007. The formula for daily return = option profit / opening stock price. If there are any stock components (Hedging, covered calls, married puts, etc.) we use the formula: (option profit + stock profit) / opening stock price. ### Calculating annual returns We use average returns instead of compound returns since compounding returns create special problems in option trading. To calculate the annual returns for each year, just add up the daily returns for the date range of the year. So if you want to calculate 2007 annual returns, just add up the daily returns from 1/1/2007 to 12/31/2007. To calculate the total annual returns from all the years, simply add all the daily returns then divided by how many years there are. So for example, let’s say the total return is 32% and the backtest date range is from 1/3/2007 to 10/31/2018. Then you divide 32 from (11 yrs + (10/12)) = 11.83 years. Our backtest annual return would be 32/11.83 = 2.7%. * * * Next steps ---------- After exploring custom backtesting, you've gained the ability to test specific strategies with precise entry and exit criteria. But creating a profitable backtest is just the beginning. The next step is to optimize your strategies to improve their performance using data-driven techniques. In the next lesson, we'll explore the ORATS Strategy Optimizer, a powerful tool that enhances your trading strategies by intelligently adding proprietary indicators and technical analysis to improve entry timing and overall performance. You'll learn how to use statistical validation and P-value calculations to ensure your optimizations are meaningful, not just curve-fitting to historical data. Previous [303 - Measuring performance](https://orats.com/university/measuring-performance) Next [305 - Optimizing your strategy](https://orats.com/university/optimizing-your-strategy-305) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS University - Trade ideas and signals [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) The implementation pillar of successful options trading requires not just scanning capabilities, but a comprehensive system for discovering and evaluating trade opportunities. The ORATS dashboard provides this through two main approaches: the Trade Ideas tab that consolidates opportunities from your research and optimization work, and separate market intelligence tools that help you understand broader market dynamics and institutional positioning. * * * The Trade Ideas tab ------------------- The [Trade Ideas](https://dashboard.orats.com/trade-ideas) tab is your central command center where all your research converges into actionable trade opportunities. This powerful hub aggregates results from four distinct sources, each bringing its own analytical approach to finding profitable trades. ### Backtest finder The backtest finder browses over 300 million pre-compiled backtests across 100+ symbols and 15 strategies to identify those whose entry criteria match the current market environment. You can filter by market direction (Neutral, Bullish, or Bearish) to focus on strategies that align with your market outlook. The system matches strategies based on current conditions including: * VIX levels * IV percentile * Technical indicators (SMA, RSI) * Slope percentile For these high-performing, environment-matched backtests, the system then scans for current options trades, ranking them by probability of profit and risk/reward. Each result includes detailed historical performance metrics and a full trade log, giving you confidence that the strategy has worked well in similar market conditions. ### Curated strategies The curated strategies section showcases professionally-built strategies developed by the ORATS team. These strategies are created by: * Starting with top-performing backtests from our database of over 300 million backtests spanning 100+ symbols and 15 strategies * Running them through the optimizer to incorporate ORATS proprietary indicators * Balancing for optimal average profit per day while maintaining low p-values for statistical significance The system continuously runs option scans based on each curated strategy's parameters and entry/exit indicators. When a strategy's conditions are met, it displays the best trade opportunity based on probability of profit and risk/reward. These results update throughout the day as market conditions change. ![Curated Trade Ideas](https://orats.com/university/curatedTradeIdeas.png) ### My strategies The my strategies section works identically to curated strategies, but displays results from your own saved strategies created in the optimizer. When you save an optimized strategy, it automatically appears here with: * Continuous option scans based on your strategy parameters * The best trade opportunity for each strategy that currently meets its entry criteria * Real-time metrics including theoretical edge, POP%, and Greeks * Updates throughout the day as market conditions evolve This personalized section gives you the same powerful scanning and ranking capabilities that our team uses for curated strategies, but applied to your own custom-built approaches. ### Option scans The option scans section allows you to create and run custom scans across thousands of contracts in real-time. Features include: * Pre-built templates for common strategies (high IV rank, unusual volume, technical setups) * Custom scan building with filters for Greeks, profitability metrics, and market conditions * Real-time scanning with customizable ranking algorithms * Ability to save and reuse successful scan configurations All four sections work together to provide a comprehensive view of current opportunities, each updated in real-time as market conditions change. * * * Additional discovery tools -------------------------- Beyond the Trade Ideas tab, the ORATS dashboard provides several additional tools in separate locations for understanding market dynamics and discovering opportunities through different analytical lenses. ### Time and Sales The [Time and Sales](https://dashboard.orats.com/analyzer/time-and-sales) tool (found in the Analyzer section) examines raw order flow for individual stocks to detect the largest trades coming through the market. This granular view provides: * Strategy identification and contract size for each trade * Trade amount in dollars * Theoretical edge compared to ORATS pricing * Relative position size (contracts / avg. option volume 20d) ![Time and sales data](https://orats.com/university/tos2.png) Additionally, the tool presents an intraday chart of dollar delta plus a summary of total premium, total profit, and opening vs. unknown volume. These metrics help you understand whether institutional traders are accumulating or distributing positions. ### Discover tab The [Discover](https://dashboard.orats.com/discover) tab provides comprehensive market intelligence through visual reports that help identify trends and unusual activity across the entire market. **Top movers:** Displays the top 50 stocks with significant price movement, sized by absolute percent change and colored by daily performance. Available during pre-market, intraday, and post-market sessions. ![Top movers](https://orats.com/university/tos4.png) **Unusual volume:** Highlights the top 200 stocks with exceptional options activity, sized by today's volume relative to 20-day average. Color coding shows daily performance, helping you spot where smart money might be positioning. ![Unusual volume](https://orats.com/university/tos7.png) **Earnings:** Shows all stocks reporting earnings this week, sized by average option volume. Stocks are colored based on whether implied move exceeds or falls below average actual move, highlighting potential volatility opportunities. ![Earnings report](https://orats.com/university/tos5.png) **Dividends:** Displays stocks going ex-dividend this week, sized by dividend yield and colored by daily performance, useful for income strategies and dividend capture opportunities. ![Dividends report](https://orats.com/university/tos6.png) ### Largest Trades tab The [Largest Trades](https://dashboard.orats.com/largest-trades) tab scans the entire market to uncover the most significant trades by size and unusual activity. This market-wide perspective helps you understand institutional positioning and identify stocks with exceptional activity that might warrant further investigation. ### Macro Calendar The [Macro Calendar](https://dashboard.orats.com/macro-calendar) tab provides a comprehensive view of upcoming economic events, Federal Reserve announcements, and macroeconomic data releases. This helps you prepare for potential market-moving events and adjust your trading strategies accordingly. * * * Bringing it all together ------------------------ The ORATS dashboard provides a complete ecosystem for discovering profitable trading opportunities through two complementary approaches: 1. **The Trade Ideas tab** consolidates your research work - aggregating results from backtests, curated strategies, personal strategies, and custom scans into a single actionable view 2. **Market intelligence tools** in other dashboard sections provide broader context - helping you understand market sentiment, track institutional activity, and identify unusual opportunities Together, these tools ensure you never miss a trading opportunity. Start with broad market intelligence from the Discover tab to understand the day's themes, then drill down into specific opportunities in Trade Ideas. Validate interesting setups using time and sales data, and always check the macro calendar for upcoming events that could impact your trades. Now that you have mastered finding and validating trade opportunities, the next critical step is execution. In the following lesson, we'll explore how to analyze payoff structures, set appropriate exit alerts, and choose the right execution strategy to ensure you get filled at the optimal price. Previous [402 - Option scanning](https://orats.com/university/option-scanning) Next [404 - Placing orders](https://orats.com/university/placing-orders) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Help, My Backtest Isn’t Working! [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Backtesting Tuesday, January 13th 2026 Help, My Backtest Isn’t Working! ================================ Where Options Backtests Break Down in the Real Market Summary Options traders often face discrepancies between backtested and live results due to flaws in backtesting systems. Key issues include unrealistic execution prices, ignored slippage, overfitting, path dependency bias, and misunderstanding returns. To improve accuracy, traders should validate strategies with similar backtests, filter by time in market, use multiple risk metrics, apply realistic entry triggers, and set proper exit criteria. Forward testing is essential to validate strategies in real-time before live trading, and ORATS is developing automated trading capabilities to streamline this process. Ultimately, rigorous backtesting combined with disciplined forward testing enhances the likelihood of achieving live results that reflect research findings. Every options trader has experienced it: you discover a strategy with stellar backtest results, deploy it with real capital, and watch the actual performance fall short of expectations. This frustrating gap between backtested and live results isn’t just bad luck—it’s often the result of fundamental flaws in how most backtesting systems work. The Hidden Pitfalls of Options Backtesting * Unrealistic Execution Prices Most backtesting platforms use end-of-day closing prices, but these rarely reflect where you’d actually get filled. Closing prints can be stale, illiquid, or simply not representative of tradeable prices. ORATS addresses this by using data from 14 minutes before the close—the optimal window where quote quality remains high without the deterioration that occurs in the final minutes of trading. * Ignoring Slippage A backtest that assumes mid-price fills is fantasy. Real trades require crossing the spread, and multi-leg strategies compound this cost. ORATS applies realistic slippage assumptions based on years of trading experience: * 1-leg trades: 75% of bid-ask width * 2-leg trades: 66% of bid-ask width * 3-leg trades: 56% of bid-ask width * 4-leg trades: 53% of bid-ask width These aren’t arbitrary—they reflect the reality that market makers provide better fills on complex spreads than single legs. * Overfitting: The Silent Killer Running dozens of backtests and cherry-picking the best performer is a recipe for disappointment. That “optimal” 45-DTE entry might just be noise. ORATS combats this with a “Find Similar” feature that automatically shows backtests with comparable parameters. If your chosen strategy performed well but similar variations failed, that’s a red flag. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-80f7-8158-cd54ad98e8ed.png&w=3840&q=75) * Path Dependency Bias Starting a backtest on January 1st versus January 15th can produce wildly different results. ORATS eliminates this bias by entering one trade per day, every day entry criteria are met—allowing multiple overlapping positions. While this isn’t how most traders operate in practice, it provides statistically robust performance metrics free from timing bias. * Misunderstanding Returns A strategy showing 200% returns sounds incredible—until you realize that’s margin return on a highly leveraged position. ORATS emphasizes notional returns for comparing strategies because they normalize performance across different structures and symbols. Margin returns are shown separately for understanding capital efficiency, but with appropriate caveats. What You Can Do Validate with Similar Backtests Don’t trust a single result. Use ORATS’ database of 300+ million pre-computed backtests to find strategies with similar parameters. Consistent performance across variations indicates robustness; wide dispersion suggests overfitting. The Backtest Finder displays millions of pre-computed backtests, sortable by performance metrics. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-80d7-8829-eccfa094dc51.png&w=3840&q=75) Filter by Time in Market A strategy that’s only been in the market for 30 days might show great returns but lacks statistical significance. Set minimum thresholds for time in market and total number of trades to ensure meaningful sample sizes. Use Multiple Risk Metrics Don’t just chase returns. Examine: * Sharpe Ratio: Risk-adjusted return considering all volatility * Sortino Ratio: Risk-adjusted return penalizing only downside volatility * Max Drawdown: The worst peak-to-trough decline * Win Rate: Consistency of profitable trades ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-805d-bbd8-e0d30fa63fca.png&w=3840&q=75) Apply Realistic Entry Triggers ORATS tests strategies across various market conditions using indicators like VIX levels, RSI, IV percentile, and slope percentile. Filter for backtests that performed well in the current market environment rather than averaged across all conditions. Set Proper Exit Criteria The backtest finder tests multiple stop losses (-25%, -50%, -75%) and profit targets (+25% to +300%). Understand how different exit rules affected historical performance before deploying capital. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-801f-827b-f900bb4b7af1.png&w=3840&q=75) The Bridge: Forward Testing Before Live Trading Even with rigorous backtesting methodology, there’s an inherent limitation: you’re always looking backward. Market regimes change, correlations shift, and strategies that worked historically may not persist. This is where forward testing becomes essential. What Is Forward Testing? Forward testing (also called paper trading or out-of-sample testing) runs your strategy in real-time against live market data—without risking capital. It’s the critical validation step between backtesting and deployment. Why Forward Testing Matters * Validates execution assumptions: See how your entry triggers actually fire in live conditions * Tests current market regime: Confirms the strategy works now, not just historically * Builds confidence: Watching a strategy perform in real-time before committing capital reduces emotional decision-making * Catches curve-fitting: A strategy that looked great in backtests but stumbles in forward testing likely overfit historical data ORATS Auto-Trading: From Backtest to Forward Test to Live ORATS is developing automated trading of backtested strategies, creating a seamless workflow: * Find a strategy in the Backtest Finder with strong historical performance and low p-values * Optimize it using ORATS proprietary indicators to enhance average daily profit * Save the strategy to “My Strategies” for continuous monitoring * Forward test automatically—the system tracks how the strategy would perform in real-time * Deploy to a connected broker when you’re confident in the results This automation removes the manual effort of tracking paper trades and ensures consistent execution of your rules, eliminating the human errors and emotional deviations that often cause live results to diverge from expectations. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-80bc-b1b2-e53dc5c534cd.png&w=3840&q=75) The P-Value Check Before forward testing, examine the p-value of your backtested strategy. A low p-value indicates the results are statistically significant and less likely due to chance. Strategies with high p-values may show attractive returns but are more likely to disappoint in forward testing and live trading. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-80b6-9055-f10094e49579.png&w=3840&q=75) The Bottom Line The gap between backtest and reality usually stems from unrealistic assumptions baked into most testing platforms. By using accurate near-close pricing, applying realistic slippage, guarding against overfitting, eliminating path dependency, and properly understanding return calculations, you can build confidence that your backtested edge will translate to live trading. But backtesting alone isn’t enough. Forward testing bridges the gap between historical analysis and live deployment. With ORATS’ upcoming auto-trading capabilities, traders can systematically validate strategies in real-time before risking capital—creating a complete workflow from idea to implementation. No backtest guarantees future results—markets evolve and past performance is not predictive. But combining rigorous backtesting methodology with disciplined forward testing dramatically improves the odds that your live results will resemble your research. Learn more about the workflow from backtesting to automation in our recent webinar: Forward Test Your Options Strategy Automatically | Driven By Data Ep. 113 [https://www.youtube.com/watch?v=0QzdVeXjqBM](https://www.youtube.com/watch?v=0QzdVeXjqBM) Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Best Options Backtesting Platforms in 2024](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F0edf9d2e-6015-48f0-9b13-3ec1fd913e8c.png&w=3840&q=75)\ \ Best Options Backtesting Platforms in 2024\ \ Get a free trial of the #1 options backtesting platform when you complete the ORATS quiz!](https://orats.com/blog/best-options-backtesting-platforms-in-2024) [![Behind the Scenes of Over 50 Million Options Backtests](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Faefad00a-6761-4b19-b4ef-7356d033d3e0.png&w=3840&q=75)\ \ Behind the Scenes of Over 50 Million Options Backtests\ \ We reveal the process and calculations behind our groundbreaking new options backtester, engineered to help you find the perfect strategy.](https://orats.com/blog/behind-the-scenes-of-over-50-million-options-backtests) [![Unlocking Profitable Strategies: How ORATS Backtester's Advanced Metrics Reveal Opportunities](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fc9970c21-4b93-4455-b720-711b329d5c41.png&w=3840&q=75)\ \ Unlocking Profitable Strategies: How ORATS Backtester's Advanced Metrics Reveal Opportunities\ \ Discover your favorite backtests by filtering on several popular performance metrics such as notional return, sharpe ratio, and percent of time in market.](https://orats.com/blog/unlocking-profitable-strategies-how-orats-backtesters-advanced-metrics-reveal-opportunities) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS University - Placing orders [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) After finding your trade, executing the order is the last step in the implementation process. Trade analysis, exit alerts, execution algos, and broker connections are all critical pieces of this step. * * * Trade analysis -------------- A thorough assessment of the trade can help you understand how it's behaved in the past (via profit attribution and trade history) and how you can expect it to behave in the future (via a payoff diagram). ### Profit attribution Developed in-house by the traders at ORATS, the profit attribution calculation breaks down how greeks, skew and theoretical values impact your trades. We calculate this on a per-trade basis, then add it up to get a total portfolio value. For example, if yesterday the debit cost of your trade was $1.25, and today it's $1.60, where is the $0.35 price increase coming from? We break it down into eight factors: Delta, Gamma, Vega, Prior and Current Marks, Theta, Slope, and Unknown. ![Profit attribution](https://orats.com/university/profitAttribution.png) The delta of a call will add to the profit if the stock is up. The gamma will add to any long option where the stock moved. The vega will add to the profit of a long option if the IV is up. The theta will add to profit for any short options. The current mark minus the theoretical value will add to profit if greater than zero. The prior theoretical value minus the prior mark will add to the profit if greater than zero. The put-call slope will add to the profit for long put options. Unknown is what's left over after adding all these attributions together and comparing to the actual change. ### Trade history Take a deep dive into your trade's intraday history in the [Trade History](https://dashboard.orats.com/analyzer/trade-history) tab. Uncover when, how, and why your trade moved during the past day, week, or month. Explore how the Greeks and IV affected your trade price, and see which bars had the highest volume. Once you've placed your order, you can use this tab to figure out which factors contributed to your gain or loss on the trade. ![Trade history](https://orats.com/university/tradeHistory.png) ### Payoff diagram To understand how your trade might perform in the future, a payoff diagram can be used to assess your profitability at expiration. Metrics like POP% and Rwd:Risk help you understand the likelihood of you trade expiring in-the-money. Additionally, quickly adjust "What if?" scenarios to see how the theoretical value today will change according to your parameters. We offer two variables: 1. Implied Volatility Change %: Choose how much to increase or decrease the implied volatility of the position. 2. Days to Expiration: Choose how much to increase or decrease the time to expiration of the position. ![Payoff diagram](https://orats.com/university/payoffDiagram.png) * * * Exit alerts ----------- Once you've analyzed your trade and you're comfortable with the payoff structure, it's time to prepare yourself for anything that might happen during the life of the trade. Exit alerts are an easy way to get notified via email, text, or web of something important happening to your trade. ORATS offers five types of trade alerts to help cover anything that might come up: **Trade alert:** Alert whenever the profit/loss %, trade price, or other trade-specific criteria crosses a certain threshold. **Event alert:** Alert a number of days before an earnings, ex-dividend, conference, or stock split event. **Indicator alert:** Alert whenever an indicator for a symbol is above or below a certain amount. **Leg alert:** Alert whenver an option leg delta is above or below a certain amount. **Time alert:** Alert a number of days before or after entry. ![Exit alerts](https://orats.com/university/exitAlerts.png) * * * Execution algos --------------- There's one last thing you need to do before sending your order off to a broker - set your price. You've done a lot of analysis and preparation to get to this critical point, so it shouldn't be glossed over. You can take a simple or advanced approach to setting your price. ### Simple approach The simple approach involves sending a limit order using theoretical edges to determine the best price. Our S% edge (explained in more detail [here](https://orats.com/university/option-scanning#smoothed-edge) ) is useful for determining a fair price for the trade (often somewhere between the bid and ask). ![Execution algo](https://orats.com/university/executionAlgo.png) ### Advanced approach Many options trading platforms are beginning to offer some variant of "smart execution", which means they change the limit price of your order as it spends more time in the market. Often, this involves traversing the bid-ask spread in some optimal way with the intention of getting you the best fill. This is really difficult to get right, but is a critical component of any trading strategy. Stay tuned - we're working on some really neat tools related to advanced execution algos. * * * Broker connections ------------------ Once you've completed the steps above, you're ready to submit your order to a broker. Because ORATS isn't a broker, we've added several popular brokers to our platform for you to connect to: Tradier, TradeStation, and Interactive Brokers, with others close behind. ![Broker connect](https://orats.com/university/brokerConnect.png) We believe that being broker-agnostic helps level the playing field and allows you to choose your brokerage based on your speciic investment needs. If we don't support your broker, please reach out to us at support@orats.com. Of course, we understand that you might not want to trade live all of the time. ORATS offers a feature-complete paper trading platform so that you can test your strategies without risking real money. ![Paper trading](https://orats.com/university/paperTrader.png) After submitting your trade, it's time for the final and perhaps most important pillar of successful options trading - review. In the next lesson, we'll explore how to use the trade journal to track your performance and learn the best practices that separate successful traders from the rest. Consistent review and reflection on your trades is what ultimately transforms good traders into great ones. Previous [403 - Trade ideas and signals](https://orats.com/university/trade-ideas-and-signals) Next [405 - Review](https://orats.com/university/review) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS University - Review [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) After mastering research, implementation, and risk management, we arrive at the fourth and final pillar of successful options trading - review. The Trade Journal transforms your trading history into actionable insights, helping you identify what works, what doesn't, and most importantly, why. * * * Position tracking ----------------- The Trade Journal works primarily with ORATS paper trading accounts, with additional support for Interactive Brokers through CSV imports. ### Automatic synchronization For paper trading accounts, the journal runs automated processes after market close each weekday, capturing all executed trades with precise entry and exit prices. The system automatically recognizes multi-leg strategies like iron condors and credit spreads, classifying them based on their leg composition. Special events like assignments show as "assigned" in the order type column, while expired positions display their intrinsic value at expiration. During market hours, positions update every 15 seconds with real-time pricing and P&L calculations. The system accurately prices multi-leg strategies by accounting for each leg's contribution to the overall position. ### Interactive Brokers import For IBKR users, importing trading history is straightforward. Export your trades from TWS or Client Portal in CSV format, then drag and drop the file into the upload modal. The system automatically validates the format, maintains chronological order for accurate P&L calculation, and links related orders for spread identification. This integration allows you to analyze your entire IBKR trading history within the ORATS ecosystem, leveraging all the analysis tools covered throughout the university. * * * Performance visualization and filtering --------------------------------------- The Trade Journal's interactive graph displays your cumulative profit/loss line alongside the underlying's candlestick chart, revealing the relationship between market movement and your performance. Click any point on the chart to see detailed position snapshots for that specific day, or drag to zoom into particular periods. Four key metrics update dynamically based on your selected timeframe: * **Starting P&L:** Your cumulative P&L at the beginning of the period * **Highest P&L:** Peak performance within the timeframe * **Lowest P&L:** Maximum drawdown point * **End P&L:** Final cumulative result These metrics help you understand not just your final results, but the volatility of your journey - critical for position sizing and risk management. The journal's filtering system allows you to analyze performance by underlying, strategy, or time period. The visual P&L distribution chart reveals which symbols generate consistent profits, while strategy filters help you compare the effectiveness of different approaches. The system automatically recognizes and abbreviates common strategies ("IC" for Iron Condor, "LCS" for Long Call Spread, etc.). Time-based analysis includes presets from 7D to All-time, or you can drag-select custom date ranges directly on the graph to analyze specific market events or trading periods. This granular control helps you identify exactly when and under what conditions your strategies perform best. ![Trade Journal Interface](https://orats.com/university/tradeJournal.png) * * * Trade details and tool integration ---------------------------------- Below the performance graph, the comprehensive trade table provides granular details for every position. Each row displays: * Strategy classification (automatically identified based on leg composition) * Strike and expiration details with color-coded option types * Entry and exit prices for complete trades * Current mark for open positions * P&L in both dollars and percentages * Duration held (formatted as "3d", "2m 5d", or "4h 30m") The table offers multi-column sorting to identify patterns in your trading. For expired trades, the system clearly marks positions that expired with or without intrinsic value, showing the final settlement amount. The Trade Journal seamlessly connects with other ORATS tools. Use the "View" button to send open positions directly to the Analyzer for real-time Greeks and scenario analysis. For closed trades, the trade history integration lets you review the exact market conditions when you entered, including the volatility surface and price movements during that period. This integration creates a continuous feedback loop where each tool strengthens the others, helping you understand which setups consistently work in your favor and transforming random results into repeatable processes. * * * Validating your edge through review ----------------------------------- The Trade Journal bridges the gap between theoretical backtesting and real-world execution, revealing whether your actual trading matches your expected edge. ### Comparing backtest to reality When you enter trades based on backtested strategies, the Trade Journal reveals whether those strategies perform as expected in live markets. If your backtests showed consistent profits but your journal reveals break-even results, you've identified a critical disconnect - perhaps slippage, timing, or behavioral factors are eroding your expected returns. Filter your journal by strategy type to see if certain approaches consistently outperform or underperform their backtested results. Are iron condors delivering the expected returns? Do your earnings plays capture the anticipated volatility crush? This validation loop helps refine your research parameters and identify which backtested patterns translate to actual profits. ### Behavioral patterns and execution quality The journal reveals patterns invisible in backtesting - like consistently closing winners too early (check those duration metrics) or letting losers run past your planned exit. Maybe you trade certain underlyings better than others, regardless of the theoretical edge. Perhaps your morning trades outperform afternoon entries. These insights help you optimize not just what you trade, but how and when you trade it. The combination of research (backtesting and optimization), implementation (scanning and order execution), risk management (Greeks and position sizing), and review (journaling) creates a complete feedback system where each pillar strengthens the others. * * * The four pillars of options trading ----------------------------------- You've now completed your journey through all four pillars of the ORATS methodology, each essential for professional options trading. **Research** is where edge discovery begins. The Backtester reveals which strategies have worked historically across 15+ years of data. Through optimization, you refine parameters to maximize returns while managing drawdowns. You study historical volatility patterns, predictive indicators, and market inefficiencies. This pillar transforms speculation into statistical edge identification. **Implementation** turns research into action. Stock and option scanners identify today's opportunities that match your researched criteria. Trade Ideas aggregates signals from multiple sources. You find specific trades, evaluate theoretical edges, and prepare orders for execution. This pillar bridges the gap between knowing what works historically and finding it in today's market. **Risk** keeps you in the game. The Analyzer reveals your Greeks exposure - delta (directional risk), gamma (acceleration risk), theta (time decay), and vega (volatility risk). Payoff diagrams visualize potential outcomes. Position sizing ensures proper capital allocation. You understand exactly what can go wrong and plan accordingly. This pillar transforms blind hope into calculated exposure. **Review** is where learning happens. The Trade Journal automatically tracks every position, revealing whether your researched edge materialized in live trading. You discover execution quality issues, behavioral patterns, and which market conditions favor your style. This isn't about individual wins or losses - it's about continuous refinement of your process. Together, these four pillars create a complete system where each trade makes you a better trader. Get started on your options trading journey today with ORATS. * * * Previous [404 - Placing orders](https://orats.com/university/placing-orders) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # What Is a Volatility Surface? Why Traders Use It [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Trading Wednesday, January 7th 2026 What Is a Volatility Surface? Why Traders Use It ================================================ A framework for evaluating options pricing using term structure and strike structure Summary Implied volatility is not a single number but varies across time and strike prices, forming a volatility surface. Term structure shows how implied volatility changes with expiration dates, typically increasing for longer-term options. Strike structure, or skew, indicates that lower strikes often have higher implied volatility due to demand for downside protection. ORATS analyzes these structures to help traders assess whether options are overpriced or underpriced relative to historical norms, emphasizing the importance of context in evaluating risk pricing. Implied volatility is usually quoted as a single number. That number is convenient, but it’s incomplete. Options are not priced with one volatility. They are priced across time and across strike. That structure is what traders refer to as the volatility surface. In practice, the volatility surface is best understood by breaking it into two components that actually matter for decision-making: term structure and strike structure. Everything else is visualization. Term Structure: How Volatility Is Priced Across Time ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e0d72f7-e2b3-809c-85b4-ef24de0bd6f5.png&w=3840&q=75) Term structure describes how implied volatility changes across expirations, from short-dated options to longer-dated contracts. In normal markets, short-term options trade at lower implied volatility than longer-term options. This upward-sloping structure is commonly referred to as contango. It reflects the idea that uncertainty increases with time. During periods of stress, this relationship can invert. Short-term volatility can rise above long-term volatility, a condition known as backwardation. When this occurs, the market is signaling that risk is concentrated in the near term rather than spread evenly across time. ORATS evaluates term structure by comparing short-dated implied volatility, typically under forty-five days, against longer-term baselines. Short-dated volatility reacts first and most aggressively to changes in sentiment, which makes this part of the curve especially informative. By standardizing implied volatility at fixed time horizons, ORATS allows traders to compare volatility consistently across different stocks. This makes it possible to determine whether near-term options are expensive or cheap relative to longer-term expectations. [ORATS University – Term Structure & Forward Volatility](https://orats.com/university/volatility-surface) Strike Structure: How Volatility Is Priced Across Risk Strike structure describes how implied volatility varies across strikes for a given expiration. This is often referred to as skew or the volatility smile. In equity markets, lower strikes usually trade at higher implied volatility than higher strikes. This reflects persistent demand for downside protection. Many platforms display skew using raw strike prices on the horizontal axis. While intuitive, this approach makes meaningful comparison difficult. A one-hundred-dollar strike may be at-the-money for one stock and deep in-the-money for another. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e0d72f7-e2b3-80df-a464-cab6ebbfa92f.png&w=3840&q=75) ORATS normalizes strike structure using delta. Delta represents comparable risk exposure across different stocks, price levels, and expirations. A twenty-five-delta put represents similar downside exposure regardless of the underlying. This normalization allows traders to compare skew across tickers and sectors. Slope: Quantifying Skew To quantify strike structure, ORATS focuses on slope. Slope measures how quickly implied volatility increases as you move from at-the-money options toward lower-strike puts. A steeper slope indicates that downside protection is expensive relative to at-the-money options. A flatter slope indicates that downside protection is cheaper. ORATS places slope in context using slope percentile. This shows where today’s slope ranks relative to its own history. A steep slope is not meaningful on its own. What matters is whether it is steep relative to what is normal for that asset. For example, if a stock’s slope is in the ninetieth percentile, downside protection is more expensive than in ninety percent of historical observations, even if overall implied volatility appears average. That context changes how a trader should evaluate structures like put spreads, collars, or risk reversals. ORATS also calculates curvature, sometimes referred to as derivative, which measures how the slope itself changes further away from at-the-money. This can be informative, but it is a second-order effect. For most analysis, slope carries the primary signal. Context, Not Prediction Volatility surfaces are not predictive. They do not tell you where price will go. They describe how risk is being priced. ORATS evaluates that pricing through structure, history, and relative comparison, including comparisons between individual stocks and sector or index composites. These comparisons help distinguish stock-specific pricing from broader market conditions. The volatility surface is not a chart. It is a framework. Term structure explains how volatility is priced across time. Strike structure explains how volatility is priced across risk. Together, they explain why implied volatility cannot be evaluated in isolation and why context matters. That is how ORATS approaches volatility. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25fd72f7-e2b3-80a5-aaa5-eec1b0b2efa4.png&w=3840&q=75)\ \ ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools\ \ ORATS is pleased to announce the promotion of our beta dashboard to full production status, bringing powerful new capabilities to options traders and institutional clients.](https://orats.com/blog/launch-enhanced-production-platform-with-ai-assistant-trading-tools) [![Best Option Scanners of 2025](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F16dd72f7-e2b3-8087-82bc-fd2b622c4878.png&w=3840&q=75)\ \ Best Option Scanners of 2025\ \ A comprehensive list of the most recommended Option Scanners](https://orats.com/blog/best-option-scanners-of-2025) [![Find Stocks With Undervalued Implied Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fe44bc12d-b1ac-4fe3-b650-71713c075613.png&w=3840&q=75)\ \ Find Stocks With Undervalued Implied Volatility\ \ Use the Low IV30d scan in the ORATS stock scanner to identify stocks with undervalued implied volatility.](https://orats.com/blog/find-stocks-with-undervalued-implied-volatility) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Wednesday, November 19th 2025 NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility ================================================================================================== The options market is pricing a move consistent with NVIDIA’s realized earnings volatility. Summary NVIDIA's upcoming earnings report is expected to see a 7.2% implied move, closely aligning with its historical average of 7.3%. The company has shown significant upside reactions in past reports, with moves exceeding 9% on four occasions. Inter-earnings volatility remains elevated, with implied volatility around 40-42% and historical volatility between 37-46%. Financial trends indicate strong cash flow and profitability, supporting large earnings surprises. Current data suggests NVIDIA is positioned for a typical earnings event, with a stable midpoint for actual outcomes. NVIDIA reports after the close, and the options market is preparing for a large reaction. ORATS data as [noted by Reuters](https://www.reuters.com/business/nvidia-set-320-billion-price-swing-after-earnings-options-indicate-2025-11-18/) shows a 7.2 percent implied earnings move, which is very close to the 7.3 percent average actual move NVIDIA has delivered across the last twelve earnings events. This alignment is unusually precise for a name that has produced some of the largest single-day earnings reactions in the market over the last three years. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-8049-bafa-cd275f9c8175.png&w=3840&q=75) The ORATS Implied vs. Actual Earnings Move chart highlights a wide distribution of realized outcomes. The dominant feature of this series is the size of NVIDIA’s upside reactions. Four of the last twelve reports resulted in moves above 9 percent, including actual reactions of 14.0 percent, 24.4 percent, 16.4 percent, and 9.3 percent. Downside moves have been smaller and less frequent. The realized range spans from negative 8.5 percent to positive 24.4 percent, but with a center of gravity near the 7 percent mark. The current implied move sits directly on that historical midpoint. Volatility Profile NVIDIA’s inter-earnings volatility has been elevated for most of the last three years. Inter-earnings implied volatility has generally ranged between 38 percent and 53 percent, while inter-earnings historical volatility has often met or exceeded that range during periods of heavy AI-driven repricing. Recent readings place implied volatility near 40 to 42 percent, with historical volatility near 37 to 46 percent. These levels reflect a balanced relationship between implied and realized volatility. Options are neither discounted nor trading at extremes relative to NVIDIA’s own behavior. Fundamental Context Beneath the Volatility A look at NVIDIA’s financial progression helps clarify why realized earnings moves have been consistently large. Over the last twelve quarters: * Cash to Total Assets increased from roughly 11 percent to nearly 59 percent, a steady build in financial strength. * Operating Cash to Total Assets followed the same upward path, indicating that free cash flow now drives a larger portion of the balance sheet. * Gross Profit Ratio expanded from the low 30 percent range to nearly 90 percent, capturing the margin impact of AI-centric product cycles. * EBIT to Enterprise Value trended higher through most of the period, reflecting stronger operating leverage even as valuation moderated from peak multiples. * Debt to Equity declined across the series, improving capital structure stability. These trends provide a foundation for NVIDIA’s recurrent upside earnings surprises. When revenue lifts or guidance shifts, incremental gains compound against a high-margin, cash-efficient operating base. Earnings and Revision Patterns NVIDIA’s EPS behavior across the last twelve quarters shows consistent strength. The company beat estimates in most periods, and several cycles saw clusters of upward EPS revisions. Even in quarters with modest beats, the stock often produced significant price reactions because the incremental revenue effects were large relative to fixed operational costs. This contributes directly to the realized volatility profile captured in the ORATS model. Current Set-Up The current configuration in ORATS data points to a straightforward interpretation. Today’s implied earnings move closely matches the long-run realized average. The distribution of actual outcomes is wide, but the midpoint is stable. Inter-earnings volatility sits near the levels that typically precede accurate implied pricing. Fundamental trends continue to support large earnings reactions. NVIDIA is, in effect, priced for a normal NVIDIA earnings event. ORATS will publish a post-earnings analysis once the realized move, implied volatility contraction, skew changes, and forward volatility information are incorporated into the platform Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) [![Nvidia Earnings Preview: ORATS Sees Lower Move This Quarter](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F201d72f7-e2b3-803a-8009-d933d73e917b.png&w=3840&q=75)\ \ Nvidia Earnings Preview: ORATS Sees Lower Move This Quarter\ \ Muted Earnings Move Expected for Nvidia](https://orats.com/blog/nvidia-earnings-preview-5-28-2025) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # What the Holiday Implied Volatility Term Structure Is Telling Us [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Tuesday, December 23rd 2025 What the Holiday Implied Volatility Term Structure Is Telling Us ================================================================ Otto Explains Holiday Risk Summary The SPX implied volatility term structure indicates concentrated risk around specific trading sessions, particularly during holiday periods. While raw implied volatility appears stable, normalized analysis reveals significant variance concentrated on December 31 due to high-impact labor reports and reduced liquidity. This setup warns traders that low implied volatility levels may mask heightened event-specific risks, emphasizing the importance of understanding term structure shape and timing when assessing market conditions. At first glance, the SPX implied volatility term structure heading into year-end does not appear particularly unusual. Across expirations from late December through early January, implied volatility levels sit broadly in the high single digits to low double digits. Day-to-day differences across expirations are measured in tenths of a percent. On the surface, nothing appears meaningfully out of line. However, when those same implied volatilities are normalized correctly for time, variance, and non-trading days, a very different picture emerges. The options market is currently pricing a large concentration of risk into a specific trading session, rather than signaling a broad shift in the volatility regime. This type of distortion is most common around holidays, shortened trading weeks, and clustered macro events. And it is exactly the kind of setup where raw implied volatility levels can be misleading. Raw Implied Volatility Can Hide Concentrated Risk Looking at unadjusted SPX implied volatility from December 23 through mid-January, front-end IV generally ranges from approximately 9 percent to 11 percent. In isolation, those numbers do not stand out. Traders scanning the term structure quickly may conclude that volatility is subdued and evenly distributed across expirations. The problem with that interpretation is that implied volatility does not scale linearly with time. Risk is not distributed evenly across calendar days. And non-trading days are not risk-free simply because markets are closed. To properly compare implied volatility across expirations, time must be modeled realistically. Why Time Modeling Matters Around Holidays At ORATS, time to expiration is not treated as a simple count of calendar days or a binary count of business days. Instead, time is modeled as a blend. Trading days carry full weight. Non-trading days still carry risk, but at a reduced and empirically derived level. This approach reflects observed market behavior. Weekends, holidays, and overnight gaps consistently exhibit more realized movement than a pure calendar-day model would imply, particularly around macro events and periods of thin liquidity. Holiday weeks amplify this effect. Liquidity tends to be thinner. Positioning can become more lopsided. Overnight gaps matter more. As a result, implied volatility relationships often distort around holidays and half-days, even before any scheduled events are considered. This is why blended time modeling is critical when comparing expirations that straddle long weekends or holiday periods. The Role of Variance Concentration Volatility is quoted in percentage terms, but variance, which is the square of volatility, is the quantity that aggregates through time. When the market expects multiple days’ worth of uncertainty to resolve in a single session, variance becomes concentrated. Small changes in implied volatility can therefore correspond to very large changes in expected risk. This distinction is central to understanding what the current SPX term structure is signaling. December 31st: Event Risk Meets Holiday Structure On Wednesday, December 31st, markets receive multiple high-impact labor-related releases. Initial Jobless Claims are released at 8:30 a.m. ET, followed shortly by Chicago PMI. These reports directly influence rate expectations, risk sentiment, and index-level positioning. Importantly, they are scheduled to arrive during a holiday week with reduced trading hours and thinner liquidity. When ORATS’ volatility models adjust implied volatility for blended time and variance, the result is striking. Although raw implied volatility rises modestly, the normalized distortion indicates that approximately double the normal daily variance is being priced into that single session. In other words, the options market is not pricing a gentle increase in uncertainty. It is pricing a significant compression of risk into one trading day. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8077-8d80-f30226dfa816.png&w=3840&q=75) Why This Matters for Options Traders This type of setup highlights why focusing exclusively on implied volatility levels can be dangerous. A small change in IV does not necessarily imply a small change in risk. Term structure shape matters more than absolute IV levels. Calendar placement of risk can dominate strategy outcomes. Holiday periods and macro clusters are precisely where these effects tend to surface. Traders who ignore variance concentration and blended time effects may misinterpret “low” volatility as benign, when the market is actually signaling heightened event-specific risk. Reading the Term Structure Correctly What the current SPX term structure is telling us is not that volatility is broadly elevated. It is telling us that the market is very specific about when risk is expected to occur. That distinction is critical. By modeling time realistically, accounting for non-trading days, and normalizing variance appropriately, it becomes possible to see what the options market is actually pricing, rather than what headline IV numbers appear to suggest. Right now, the market is pricing a lot of risk, and it is placing it very deliberately on the calendar. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) [![Significant Volatility Detected Ahead of Jackson Hole](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F255d72f7-e2b3-80b7-b937-ca457d2f16f3.png&w=3840&q=75)\ \ Significant Volatility Detected Ahead of Jackson Hole\ \ ORATS identifies 86% additional implied volatility for Friday's expiration](https://orats.com/blog/jackson-hole-fed-speech-volatility-preview-august-2025) Contact Us Questions about the API requirements? 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You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Delayed Intraday API - ORATS API Reference [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) Delayed Intraday API ==================== Get delayed one-minute options data for over 5,000 symbols. Current market data is delayed by 15 minutes. History can be queried from August 2020 up to 15 minutes ago. We cover dates going back to January 2022 for Strikes by OPRA. You can find the list of symbols we cover [here](https://s3.amazonaws.com/assets.orats.com/oneMinuteOpraTickers.json) . If you see any missing symbols or want to see a symbol listed, please email us at [support@orats.com](mailto:support@orats.com) . All responses are in CSV format. Data endpoint url: * Name `https://api.orats.io/datav2` Description * * * GEThttps://api.orats.io/datav2/one-minute/strikes/chain [Strikes Chain](https://orats.com/docs/delayed-intraday-api#strikes-chain) --------------------------------------------------------------------------- Retrieves latest one-minute strikes chain data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/one-minute/strikes/chain curl "https://api.orats.io/datav2/one-minute/strikes/chain?token=my-token&ticker=AAPL" CopyCopied! ### Response ticker,tradeDate,expirDate,dte,strike,stockPrice,callVolume,callOpenInterest,callBidSize,callAskSize,putVolume,putOpenInterest,putBidSize,putAskSize,callBidPrice,callValue,callAskPrice,putBidPrice,putValue,putAskPrice,callBidIv,callMidIv,callAskIv,smvVol,putBidIv,putMidIv,putAskIv,residualRate,delta,gamma,theta,vega,rho,phi,driftlessTheta,callSmvVol,putSmvVol,extSmvVol,extCallValue,extPutValue,spotPrice,quoteDate,updatedAt,snapShotEstTime,snapShotDate,expiryTod,tickerId,monthId AAPL,2022-08-08,2022-08-12,5,70,164.97,7,0,32,32,1,0,0,1062,94.9,94.99735594956346,95.05,0,0,0.01,0,3.416073471729017,3.416073471729017,0.507,0,2.7071465082165136,2.7071465082165136,-0.013350250803700149,0.9999999999999952,-9.736143458842675e-15,-0.0067960477493707455,0.00001999999630239624,0.007715207338436186,-0.018189631703080522,-2.6434056979250683e-8,0.42357461242031014,0.5114633136520604,0.4454086022576971,94.99735594956285,0,164.97,2022-08-08T19:27:41Z,2022-08-08T19:27:52Z,1528,2022-08-08T19:28:01Z,pm,101594,1 AAPL,2022-08-08,2022-08-12,5,75,164.97,1,0,66,32,0,10,0,1057,89.9,89.99930994596083,90.05,0,0,0.01,0,3.150934070395639,3.150934070395639,0.507,0,2.500483852993156,2.500483852993156,-0.013350250803700149,0.9999999999999859,-9.74511381879308e-15,-0.007281479731492617,0.00001999999630239624,0.008266293581908528,-0.018189631418863428,-2.8317812454145743e-8,0.42357461242031014,0.5114633136520604,0.4454086022576971,89.99930994596026,0,164.97,2022-08-08T19:27:41Z,2022-08-08T19:27:52Z,1528,2022-08-08T19:28:01Z,pm,101594,1 CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/one-minute/strikes/chain [Strikes Chain History](https://orats.com/docs/delayed-intraday-api#strikes-chain-history) ------------------------------------------------------------------------------------------- Retrieves historical one-minute strikes chain data. If the trade date is the current day, you can only fetch history up until the last 15 minutes. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL * Name `tradeDate` Type string Description The trade date to retrieve, formatted by YYYYMMDDHHMM (in EST). Ex: 202206071100 ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/one-minute/strikes/chain curl -L "https://api.orats.io/datav2/hist/one-minute/strikes/chain?token=my-token&ticker=AAPL&tradeDate=202206071100" CopyCopied! ### Response ticker,tradeDate,expirDate,dte,strike,stockPrice,callVolume,callOpenInterest,callBidSize,callAskSize,putVolume,putOpenInterest,putBidSize,putAskSize,callBidPrice,callValue,callAskPrice,putBidPrice,putValue,putAskPrice,callBidIv,callMidIv,callAskIv,smvVol,putBidIv,putMidIv,putAskIv,residualRate,delta,gamma,theta,vega,rho,phi,driftlessTheta,callSmvVol,putSmvVol,extSmvVol,extCallValue,extPutValue,spotPrice,quoteDate,updatedAt,snapShotEstTime,snapShotDate,expiryTod,tickerId,monthId AAPL,2022-06-07,2022-06-10,4,95,147.76,0,2,1,1,0,336,0,586,52.7,52.76710955986101,52.85,0,0,0.01,0,2.084174177089487,2.084174177089487,0.648,0,1.6377716355668939,1.6377716355668939,-0.002010611708955635,0.9999999999999994,-8.847388963482095e-15,-0.002214926596611274,0.000019999998193297865,0.008353445283981194,-0.012988378941258816,-1.929555505329921e-9,0.5605747284419511,0.6517013469914322,0.5670216551072182,52.767109559860835,-1.3215709583605508e-17,147.76,2022-06-07T14:59:53Z,2022-06-07T14:59:54Z,1100,2022-06-07T15:00:01Z,pm,101594,1 AAPL,2022-06-07,2022-06-10,4,100,147.76,0,16,1,1,0,3274,0,590,47.7,47.767483747222116,47.85,0,4.203770523998158e-14,0.01,0,1.864781840275735,1.864781840275735,0.648,0,1.4595764595205079,1.4595764595205079,-0.002010611708955635,0.9999999999999672,2.8894598065378106e-14,-0.002331501680987543,0.000019999998193297865,0.008793100367150072,-0.012988379296530184,-2.013365888316701e-9,0.560574728441489,0.6517013469909696,0.5670216551072182,47.76748374722192,1.9833801904247632e-15,147.76,2022-06-07T14:59:53Z,2022-06-07T14:59:54Z,1100,2022-06-07T15:00:01Z,pm,101594,1 CopyCopied! * * * GEThttps://api.orats.io/datav2/one-minute/strikes/option [Strikes by OPRA](https://orats.com/docs/delayed-intraday-api#strikes-by-opra) ------------------------------------------------------------------------------- Retrieves latest one-minute strikes by OPRA symbol without call/put distinction. Each row of the output has both calls and puts. OPRA symbol uses the format Underlying Symbol + Expiration Date (YYMMDD) + Strike (5 whole numbers and 3 decimals). ### Required attributes * Name `ticker` Type string Description OPRA symbol using format Ticker + Expiry (YYMMDD) + strike (5 whole numbers and 3 decimals). Ex: AAPL24062100160000 ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/one-minute/strikes/option curl -L "https://api.orats.io/datav2/one-minute/strikes/option?token=my-token&ticker=AAPL24062100160000" CopyCopied! ### Response ticker,tradeDate,expirDate,dte,strike,stockPrice,callVolume,callOpenInterest,callBidSize,callAskSize,putVolume,putOpenInterest,putBidSize,putAskSize,callBidPrice,callValue,callAskPrice,putBidPrice,putValue,putAskPrice,callBidIv,callMidIv,callAskIv,smvVol,putBidIv,putMidIv,putAskIv,residualRate,delta,gamma,theta,vega,rho,phi,driftlessTheta,callSmvVol,putSmvVol,extSmvVol,extCallValue,extPutValue,spotPrice,quoteDate,updatedAt,snapShotEstTime,snapShotDate,expiryTod,tickerId,monthId AAPL,2022-08-08,2024-06-21,684,160,164.93,28,4685,537,26,5,3486,14,24,32.8,34.1585,34.6,21.05,21.283,21.5,0.296369,0.307393,0.318417,0.315,0.313132,0.315868,0.318604,-0.0047467,0.658228,0.00507431,-0.0250176,0.816399,1.38544,-2.02985,-0.0188118,0.313009,0.315965,0.316357,34.4318,21.3147,164.93,2022-08-08T20:14:38Z,2022-08-08T20:14:47Z,1615,2022-08-08T20:15:01Z,pm,101594,18 CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/one-minute/strikes/option [Strikes by OPRA History](https://orats.com/docs/delayed-intraday-api#strikes-by-opra-history) ----------------------------------------------------------------------------------------------- Retrieves historical one-minute strikes by OPRA symbol without call/put distinction. Each row of the output has both calls and puts. OPRA symbol uses the format Underlying Symbol + Expiration Date (YYMMDD) + Strike (5 whole numbers and 3 decimals). If the trade date is the current day, you can only fetch history up until the last 15 minutes. If specifying a range, there is a 40 trading day max. ### Required attributes * Name `ticker` Type string Description OPRA symbol using format Ticker + Expiry (YYMMDD) + strike (5 whole numbers and 3 decimals). Ex: AAPL22091600160000 * Name `tradeDate` Type string Description The trade date to retrieve, formatted by YYYYMMDDHHMM (in EST). You may specify a range by doing YYYYMMDDHHMM,YYYYMMDDHHMM. Ex: 202206081000,202207201300 ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/one-minute/strikes/option curl -L "https://api.orats.io/datav2/hist/one-minute/strikes/option?token=my-token&ticker=AAPL22091600160000&tradeDate=202206081000,202207201300" CopyCopied! ### Response ticker,tradeDate,expirDate,dte,strike,stockPrice,callVolume,callOpenInterest,callBidSize,callAskSize,putVolume,putOpenInterest,putBidSize,putAskSize,callBidPrice,callValue,callAskPrice,putBidPrice,putValue,putAskPrice,callBidIv,callMidIv,callAskIv,smvVol,putBidIv,putMidIv,putAskIv,residualRate,delta,gamma,theta,vega,rho,phi,driftlessTheta,callSmvVol,putSmvVol,extSmvVol,extCallValue,extPutValue,spotPrice,quoteDate,updatedAt,snapShotEstTime,snapShotDate,expiryTod,tickerId,monthId AAPL,2022-06-08,2022-09-16,101,160,149.67,150,28206,253,510,7,18438,124,104,5.8,5.860204002795059,5.9,15.55,15.641054396787531,15.7,0.3063158772183223,0.30801686256479954,0.3097178479112768,0.308,0.3038649107227709,0.3064286008767878,0.3089922910308047,-0.008209120374803128,0.38161255239927655,0.015355889799308844,-0.047622767388992515,0.2939141986686304,0.13545210863618393,-0.15118639086979158,-0.0459052133276907,0.3083639997493957,0.3069773808630928,0.3215480409289392,6.247634998832532,16.067895502105014,149.67,2022-06-08T13:59:50Z,2022-06-08T13:59:51Z,1000,2022-06-08T14:00:01Z,pm,101594,9 AAPL,2022-06-08,2022-09-16,101,160,149.45,158,28206,1,215,7,18438,229,102,5.75,5.78583812885739,5.8,15.7,15.782968253643883,15.85,0.30745849466065145,0.3083088916342891,0.3091592886079268,0.308,0.30432705746682837,0.30689074762084534,0.3094544377748623,-0.008209120374803128,0.37823425664342863,0.015355889799308844,-0.047622767388992515,0.2939141986686304,0.13545210863618393,-0.15118639086979158,-0.0459052133276907,0.3086775601134979,0.3071631227329991,0.3215480409289392,6.1640518498378345,16.204312353110314,149.45,2022-06-08T14:00:55Z,2022-06-08T14:00:56Z,1001,2022-06-08T14:01:01Z,pm,101594,9 AAPL,2022-06-08,2022-09-16,101,160,149.12,159,28206,152,1299,13,18438,234,132,5.6,5.66120101953646,5.7,15.9,15.991901944264272,16.05,0.3065732423106423,0.30827422765711954,0.3099752130035968,0.308,0.3041222758150914,0.30668596596910835,0.3092496561231253,-0.008209120374803128,0.37316681300965693,0.015355889799308844,-0.047622767388992515,0.2939141986686304,0.13545210863618393,-0.15118639086979158,-0.0459052133276907,0.30865528305906204,0.3072637172770291,0.3215480409289392,6.040070673345081,16.410331176617547,149.12,2022-06-08T14:02:00Z,2022-06-08T14:02:01Z,1002,2022-06-08T14:02:02Z,pm,101594,9 CopyCopied! * * * GEThttps://api.orats.io/datav2/one-minute/monies/implied [Implied Monies](https://orats.com/docs/delayed-intraday-api#implied-monies) ----------------------------------------------------------------------------- Retrieves latest one-minute implied monies data. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/one-minute/monies/implied curl -L "https://api.orats.io/datav2/one-minute/monies/implied?token=my-token&ticker=AAPL" CopyCopied! ### Response ticker,tradeDate,expirDate,stockPrice,riskFreeRate,yieldRate,residualYieldRate,residualRateSlp,residualR2,confidence,mwVol,vol100,vol95,vol90,vol85,vol80,vol75,vol70,vol65,vol60,vol55,vol50,vol45,vol40,vol35,vol30,vol25,vol20,vol15,vol10,vol5,vol0,typeFlag,atmiv,slope,deriv,fit,spotPrice,calVol,unadjVol,earnEffect,quoteDate,updatedAt,snapShotEstTime,snapShotDate,expiryTod,tickerId,monthId,dte,dtePct AAPL,2022-08-08,2022-08-12,164.93,0.0221,0,-0.00477966,0,0.0422086,0.690502,0.00232159,0.455375,0.406893,0.358718,0.338995,0.320028,0.30949,0.299404,0.299098,0.290908,0.282892,0.282696,0.282531,0.271703,0.271468,0.271394,0.270453,0.265814,0.265862,0.270007,0.273219,0.277525,0,0.286222,2.79442,0.0330865,0.000002554,164.93,0.24758,0.24758,0,2022-08-08T20:14:38Z,2022-08-08T20:14:47Z,1615,2022-08-08T20:15:01Z,pm,101594,1,5,0.0109516 AAPL,2022-08-08,2022-08-19,164.93,0.0221,0,-0.00586294,-0.00593799,0.00215375,0.882744,0.00187249,0.417163,0.369472,0.33087,0.305389,0.296216,0.282685,0.275066,0.268592,0.267276,0.256348,0.25576,0.253948,0.245183,0.245044,0.241405,0.237919,0.233579,0.231799,0.229693,0.231226,0.240688,0,0.257664,3.71799,0.0551566,0.0000037646,164.93,0.251782,0.251782,0,2022-08-08T20:14:38Z,2022-08-08T20:14:47Z,1615,2022-08-08T20:15:01Z,pm,101594,2,12,0.030117 AAPL,2022-08-08,2022-08-26,164.93,0.0221,0,-0.00511246,0.00247764,0.00261598,0.978687,0.00260103,0.436008,0.380188,0.340414,0.312732,0.296872,0.287487,0.279312,0.269199,0.267639,0.258127,0.256451,0.248687,0.245942,0.241257,0.237451,0.231226,0.22942,0.224211,0.221337,0.221803,0.233307,0,0.256676,4.37982,0.0599438,0.0000066342,164.93,0.254843,0.254843,0,2022-08-08T20:14:38Z,2022-08-08T20:14:47Z,1615,2022-08-08T20:15:01Z,pm,101594,3,19,0.0492824 CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/one-minute/monies/implied [Implied Monies History](https://orats.com/docs/delayed-intraday-api#implied-monies-history) --------------------------------------------------------------------------------------------- Retrieves historical one-minute implied monies data. If the trade date is the current day, you can only fetch history up until the last 15 minutes. If specifying a range, there is a 20 trading day max. ### Required attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL * Name `tradeDate` Type string Description The trade date to retrieve, formatted by YYYYMMDD or YYYYMMDDHHMM (in EST). You may specify a range by doing YYYYMMDD,YYYYMMDD or YYYYMMDDHHMM,YYYYMMDDHHMM. Ex: 202202110945,202202140945 ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/one-minute/monies/implied curl -L "https://api.orats.io/datav2/hist/one-minute/monies/implied?token=my-token&ticker=AAPL&tradeDate=202202110945,202202140945" CopyCopied! ### Response ticker,tradeDate,expirDate,stockPrice,riskFreeRate,yieldRate,residualYieldRate,residualRateSlp,residualR2,confidence,mwVol,vol100,vol95,vol90,vol85,vol80,vol75,vol70,vol65,vol60,vol55,vol50,vol45,vol40,vol35,vol30,vol25,vol20,vol15,vol10,vol5,vol0,typeFlag,atmiv,slope,deriv,fit,spotPrice,calVol,unadjVol,earnEffect,quoteDate,updatedAt,snapShotEstTime,snapShotDate,expiryTod,tickerId,monthId,dte,dtePct AAPL,2022-02-11,2022-02-11,171.82,0.0005,0,-0.34491491,0,0,0.40237183,0.00736961,0.822626,0.766027,0.704537,0.676419,0.579262,0.578043,0.577021,0.528118,0.512375,0.513479,0.504008,0.496072,0.495923,0.495848,0.495715,0.486394,0.480684,0.499007,0.499536,0.500076,0.500632,0,0.532444,4.5524789509,0,1000000000,171.82,0.248586,0.248586,0,2022-02-11T14:44:48Z,2022-02-11T14:44:50Z,0945,2022-02-11T14:45:01Z,pm AAPL,2022-02-11,2022-02-18,171.82,0.0005,0,-0.02027274,0,0.00896472,0.83407075,0.00233148,0.471737,0.417083,0.374581,0.347646,0.331594,0.311237,0.308427,0.28652,0.28534,0.281656,0.264572,0.264296,0.261586,0.248669,0.248482,0.244334,0.240234,0.240019,0.239488,0.24666,0.259266,0,0.272248,5.1761439917,0.1205850741,0.0000104429,171.82,0.25334,0.25334,0,2022-02-11T14:44:48Z,2022-02-11T14:44:50Z,0945,2022-02-11T14:45:01Z,pm CopyCopied! * * * GEThttps://api.orats.io/datav2/one-minute/summaries [Summaries](https://orats.com/docs/delayed-intraday-api#summaries) ------------------------------------------------------------------- Retrieves latest one-minute summaries data. ### Optional attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/one-minute/summaries curl -L "https://api.orats.io/datav2/one-minute/summaries?token=my-token&ticker=AAPL" CopyCopied! ### Response ticker,tradeDate,stockPrice,annActDiv,annIdiv,borrow30,borrow2y,confidence,exErnIv10d,exErnIv20d,exErnIv30d,exErnIv60d,exErnIv90d,exErnIv6m,exErnIv1y,ieeEarnEffect,impliedMove,impliedNextDiv,iv10d,iv20d,iv30d,iv60d,iv90d,iv6m,iv1y,mwAdj30,mwAdj2y,nextDiv,rDrv30,rDrv2y,rSlp30,rSlp2y,rVol30,rVol2y,rip,riskFree30,riskFree2y,skewing,contango,totalErrorConf,dlt5Iv10d,dlt5Iv20d,dlt5Iv30d,dlt5Iv60d,dlt5Iv90d,dlt5Iv6m,dlt5Iv1y,exErnDlt5Iv10d,exErnDlt5Iv20d,exErnDlt5Iv30d,exErnDlt5Iv60d,exErnDlt5Iv90d,exErnDlt5Iv6m,exErnDlt5Iv1y,dlt25Iv10d,dlt25Iv20d,dlt25Iv30d,dlt25Iv60d,dlt25Iv90d,dlt25Iv6m,dlt25Iv1y,exErnDlt25Iv10d,exErnDlt25Iv20d,exErnDlt25Iv30d,exErnDlt25Iv60d,exErnDlt25Iv90d,exErnDlt25Iv6m,exErnDlt25Iv1y,dlt75Iv10d,dlt75Iv20d,dlt75Iv30d,dlt75Iv60d,dlt75Iv90d,dlt75Iv6m,dlt75Iv1y,exErnDlt75Iv10d,exErnDlt75Iv20d,exErnDlt75Iv30d,exErnDlt75Iv60d,exErnDlt75Iv90d,exErnDlt75Iv6m,exErnDlt75Iv1y,dlt95Iv10d,dlt95Iv20d,dlt95Iv30d,dlt95Iv60d,dlt95Iv90d,dlt95Iv6m,dlt95Iv1y,exErnDlt95Iv10d,exErnDlt95Iv20d,exErnDlt95Iv30d,exErnDlt95Iv60d,exErnDlt95Iv90d,exErnDlt95Iv6m,exErnDlt95Iv1y,fwd30_20,fwd60_30,fwd90_30,fwd90_60,fwd180_90,fexErn30_20,fexErn60_30,fexErn90_30,fexErn90_60,fexErn180_90,ffwd30_20,ffwd60_30,ffwd90_30,ffwd90_60,ffwd180_90,ffexErn30_20,ffexErn60_30,ffexErn90_30,ffexErn90_60,ffexErn180_90,fbfwd30_20,fbfwd60_30,fbfwd90_30,fbfwd90_60,fbfwd180_90,fbfexErn30_20,fbfexErn60_30,fbfexErn90_30,fbfexErn90_60,fbfexErn180_90,impliedEarningsMove,quoteDate,updatedAt,snapShotEstTime,snapShotDate,tickerId AAPL,2022-08-10,168.13,0.92,0.577168,0.0240989,0.0308661,0.94163,0.236456,0.2345,0.230674,0.251319,0.260055,0.266576,0.275669,2.73106,0.0588134,0.25396,0.236456,0.2345,0.230674,0.251319,0.270143,0.281245,0.291765,0.00302124,0.00334558,0.23,0.0870727,0.0914997,5.35288,4.53795,0.242958,0.293518,2.55231,0.0250187,0.0323364,-0.0456458,0.00381095,0.000047697,0.208995,0.204869,0.207791,0.221464,0.237138,0.252617,0.263561,0.208995,0.204869,0.207791,0.221464,0.22705,0.237948,0.247466,0.211323,0.213402,0.211431,0.226892,0.24233,0.25523,0.268807,0.211323,0.213402,0.211431,0.226892,0.232242,0.240562,0.252712,0.267137,0.270875,0.272603,0.294429,0.313032,0.324079,0.329559,0.267137,0.270875,0.272603,0.294429,0.302944,0.309411,0.313463,0.367262,0.373425,0.36008,0.397318,0.429794,0.438355,0.421883,0.367262,0.373425,0.36008,0.397318,0.419706,0.423687,0.405788,0.222824,0.270393,0.287855,0.304318,0.291924,0.222824,0.270393,0.273565,0.276701,0.272942,0.214888,0.302163,0.324348,0.355608,0.308735,0.214888,0.302163,0.300941,0.300146,0.28243,0.964385,1.1175,1.12677,1.16854,1.05759,0.964385,1.1175,1.10007,1.08473,1.03476,0.0458452,2022-08-10T16:52:46Z,2022-08-10T16:52:57Z,1253,2022-08-10T16:53:02Z,101594 CopyCopied! * * * GEThttps://api.orats.io/datav2/hist/one-minute/summaries [Summaries History](https://orats.com/docs/delayed-intraday-api#summaries-history) ----------------------------------------------------------------------------------- Retrieves historical one-minute summaries data. If the trade date is the current day, you can only fetch history up until the last 15 minutes. If specifying a range, there is a 40 trading day max. ### Required attributes * Name `tradeDate` Type string Description The trade date to retrieve, formatted by YYYYMMDD or YYYYMMDDHHMM (in EST). You may specify a range by doing YYYYMMDD,YYYYMMDD or YYYYMMDDHHMM,YYYYMMDDHHMM. Ex: 202203211200,202204201300 ### Optional attributes * Name `ticker` Type string Description The ticker to retrieve. Ex: AAPL ### Request cURLJavaScriptPythonPHP GET https://api.orats.io/datav2/hist/one-minute/summaries curl -L "https://api.orats.io/datav2/hist/one-minute/summaries?token=my-token&ticker=AAPL&tradeDate=202203211200,202204201300" CopyCopied! ### Response ticker,tradeDate,stockPrice,annActDiv,annIdiv,borrow30,borrow2y,confidence,exErnIv10d,exErnIv20d,exErnIv30d,exErnIv60d,exErnIv90d,exErnIv6m,exErnIv1y,ieeEarnEffect,impliedMove,impliedNextDiv,iv10d,iv20d,iv30d,iv60d,iv90d,iv6m,iv1y,mwAdj30,mwAdj2y,nextDiv,rDrv30,rDrv2y,rSlp30,rSlp2y,rVol30,rVol2y,rip,riskFree30,riskFree2y,skewing,contango,totalErrorConf,dlt5Iv10d,dlt5Iv20d,dlt5Iv30d,dlt5Iv60d,dlt5Iv90d,dlt5Iv6m,dlt5Iv1y,exErnDlt5Iv10d,exErnDlt5Iv20d,exErnDlt5Iv30d,exErnDlt5Iv60d,exErnDlt5Iv90d,exErnDlt5Iv6m,exErnDlt5Iv1y,dlt25Iv10d,dlt25Iv20d,dlt25Iv30d,dlt25Iv60d,dlt25Iv90d,dlt25Iv6m,dlt25Iv1y,exErnDlt25Iv10d,exErnDlt25Iv20d,exErnDlt25Iv30d,exErnDlt25Iv60d,exErnDlt25Iv90d,exErnDlt25Iv6m,exErnDlt25Iv1y,dlt75Iv10d,dlt75Iv20d,dlt75Iv30d,dlt75Iv60d,dlt75Iv90d,dlt75Iv6m,dlt75Iv1y,exErnDlt75Iv10d,exErnDlt75Iv20d,exErnDlt75Iv30d,exErnDlt75Iv60d,exErnDlt75Iv90d,exErnDlt75Iv6m,exErnDlt75Iv1y,dlt95Iv10d,dlt95Iv20d,dlt95Iv30d,dlt95Iv60d,dlt95Iv90d,dlt95Iv6m,dlt95Iv1y,exErnDlt95Iv10d,exErnDlt95Iv20d,exErnDlt95Iv30d,exErnDlt95Iv60d,exErnDlt95Iv90d,exErnDlt95Iv6m,exErnDlt95Iv1y,fwd30_20,fwd60_30,fwd90_30,fwd90_60,fwd180_90,fexErn30_20,fexErn60_30,fexErn90_30,fexErn90_60,fexErn180_90,ffwd30_20,ffwd60_30,ffwd90_30,ffwd90_60,ffwd180_90,ffexErn30_20,ffexErn60_30,ffexErn90_30,ffexErn90_60,ffexErn180_90,fbfwd30_20,fbfwd60_30,fbfwd90_30,fbfwd90_60,fbfwd180_90,fbfexErn30_20,fbfexErn60_30,fbfexErn90_30,fbfexErn90_60,fbfexErn180_90,impliedEarningsMove,quoteDate,updatedAt,snapShotEstTime,snapShotDate,tickerId AAPL,2022-03-21,166.22,0.88,-0.030501700497891755,0.0012335342067922616,0.005967010812264116,0.9062976215870175,0.2691076243180253,0.25002115858659046,0.24953515493735406,0.2570358680647452,0.25776065924064673,0.2673295309370509,0.2760664141229448,2.76252676507744,0.058162225999935806,0.11814462105949879,0.2691076243180253,0.25002115858659046,0.24953515493735406,0.2842672561905017,0.27651871018897006,0.2868625714862618,0.2960151628577885,0.0030798477320329396,0.0042004712766090585,0.22,0.11989266226151267,0.10402264522928982,5.068172461202872,4.112135441403901,0.253705182488262,0.28607228023223447,2.6001404736617646,0.0035399298671328822,0.010882978439027111,0.06894718786252692,0.0004729395420282725,0.00007697163724165882,0.2498937741387534,0.23383584732275753,0.23358049650676932,0.26678379901877136,0.2605747047521941,0.2649723137372702,0.27496767030856595,0.2498937741387534,0.23383584732275753,0.23358049650676932,0.23955241089301488,0.2418166538038707,0.2454392731880593,0.25501892157372225,0.2474237319063058,0.22953830776360723,0.22588195485074342,0.25764830738467026,0.2539892717239932,0.262664362006187,0.27774677237928774,0.2474237319063058,0.22953830776360723,0.22588195485074342,0.23041691925891378,0.23523122077566985,0.24313132145697608,0.25779802364444404,0.30977601886195805,0.29241020276003077,0.2953804042390964,0.33394832860961615,0.3301261466668506,0.3306590819770428,0.3326692154774713,0.30977601886195805,0.29241020276003077,0.2953804042390964,0.30671694048385967,0.3113680957185272,0.3111260414278319,0.3127204667426276,0.40525419190022194,0.4381512697658906,0.4330114434409884,0.48352048523799196,0.4712197374732397,0.441915638181247,0.43374780635542876,0.40525419190022194,0.4381512697658906,0.4330114434409884,0.4562890971122355,0.45246168652491636,0.4223825976320361,0.41379905762058505,0.2485602968433733,0.3151951020154713,0.28906746418795176,0.26033064623582486,0.2968462106122457,0.2485602968433733,0.2643238191952911,0.26177650659189133,0.25920416164275634,0.27656753021617436,0.2485602968433733,0.3689625060367343,0.3139428419756396,0.24246296548506868,0.312409313637213,0.2485602968433733,0.27573233638865524,0.26909219726698463,0.26029952529970174,0.29106745917682225,1,1.1705845163121344,1.0860538831568878,0.9313654346535504,1.0524281680836296,1,1.0431611393483051,1.0279463224960002,1.004225872185089,1.0524281680836296,0.041638993768723404,2022-03-21T15:59:56Z,2022-03-21T15:59:57Z,1200,2022-03-21T16:00:01Z,101594 AAPL,2022-03-21,166.13,0.88,-0.030007401392111235,0.0012335342067922616,0.005967010812264116,0.9062976215870175,0.27100089712038916,0.25103123698566093,0.24937717118740227,0.25906754302840723,0.2590133812852985,0.26736024686101917,0.276226744520322,2.76252676507744,0.05813846830692143,0.11820116441584169,0.27100089712038916,0.25103123698566093,0.24937717118740227,0.28629824139077886,0.27777143223362183,0.28689328741023007,0.2961754932551657,0.0030798477320329396,0.0042004712766090585,0.22,0.11989266226151267,0.10402264522928982,5.068172461202872,4.112135441403901,0.253705182488262,0.28607228023223447,2.5987326247709697,0.0035399298671328822,0.010882978439027111,0.06894718786252692,0.0007428677354005823,0.00007334019683873803,0.25132433413141475,0.2340972186431129,0.23366060715700673,0.2670751582342546,0.26113509285969727,0.2652292431002576,0.2751648748072449,0.25132433413141475,0.2340972186431129,0.23366060715700673,0.23984445987188294,0.2423770419113739,0.24569620255104668,0.2552161260724012,0.24748686653097274,0.22970873345624676,0.2256061183446325,0.2575265910600556,0.2541358571749943,0.26276036525449603,0.277742661372113,0.24748686653097274,0.22970873345624676,0.2256061183446325,0.23029589269768394,0.23537780622667095,0.24322732470528513,0.2577939126372693,0.3098084706671589,0.29319897102616793,0.2962193012892055,0.33427209620689197,0.33055236537335847,0.33048450466242546,0.3325517426475745,0.3098084706671589,0.29319897102616793,0.2962193012892055,0.30704139784452034,0.31179431442503514,0.31095146411321456,0.3126029939127308,0.4053586096816214,0.4384588311067795,0.43315032526661,0.4835047003558075,0.4711655794623729,0.4417919475532985,0.4335916583269727,0.4053586096816214,0.4384588311067795,0.43315032526661,0.4562740019934359,0.45240752851404953,0.4222589070040876,0.413642909592129,0.2460356816463634,0.31897396843233844,0.29093120508628995,0.25987985618059617,0.2957339144517926,0.2460356816463634,0.26840829009574263,0.2636994705579624,0.2589050238079188,0.2754543002356775,0.24339119015313487,0.3762349558045318,0.31679843311776507,0.23883903536091833,0.3094478051777454,0.24339119015313487,0.28313805317833823,0.27189799306019424,0.2589050238079188,0.2879925827581049,0.9892515936081597,1.1795161769896583,1.0889118375040001,0.9190363534561289,1.0463723978069086,0.9892515936081597,1.0548781972320656,1.031090401830859,1,1.0455185579302981,0.041652905569824504,2022-03-21T16:00:45Z,2022-03-21T16:00:45Z,1201,2022-03-21T16:01:02Z,101594 AAPL,2022-03-21,166.07,0.88,-0.02967625934112468,0.0012335342067922616,0.005967010812264116,0.9062976215870175,0.2706436465006128,0.25264214882394964,0.2497544151836513,0.26007847320550065,0.2598775746996468,0.2677378828959053,0.27634476965237065,2.76252676507744,0.058135515510218366,0.11823986506390423,0.2706436465006128,0.25264214882394964,0.2497544151836513,0.28730908583854464,0.2786356256479701,0.2872709234451162,0.29629351838721435,0.0030798477320329396,0.0042004712766090585,0.22,0.11989266226151267,0.10402264522928982,5.068172461202872,4.112135441403901,0.253705182488262,0.28607228023223447,2.5977940588437587,0.0035399298671328822,0.010882978439027111,0.06894718786252692,0.0007764165769891998,0.00007560886538548018,0.25258299221462205,0.23410016167042041,0.2340288973681411,0.2673904223110831,0.26121508863873455,0.2652964765816571,0.2753448786727461,0.25258299221462205,0.23410016167042041,0.2340288973681411,0.24015980967803913,0.2424570376904112,0.24576343603244621,0.2553961299379024,0.24684797896539198,0.22949605798604233,0.22606581657420838,0.2579547002419973,0.2544919864770816,0.26282626147027893,0.27802174314472194,0.24684797896539198,0.22949605798604233,0.22606581657420838,0.2307240876089533,0.23573393552875824,0.24329322092106803,0.25807299440987824,0.3093643416264815,0.2936432538129189,0.29635139188482895,0.3346263512338079,0.33066632460779044,0.3304247140964938,0.3328926271087523,0.3093643416264815,0.2936432538129189,0.29635139188482895,0.3073957386007639,0.31190827365946705,0.3108916735472829,0.3129438783739086,0.404944449914212,0.43853675318464214,0.4330230779494575,0.48415461860278586,0.4714032217538906,0.44180111433353686,0.4336909791197836,0.404944449914212,0.43853675318464214,0.4330230779494575,0.45692400596974186,0.4526451708055672,0.42226807378432596,0.4137422303849399,0.24387638874318598,0.3204929854256295,0.2920069928417636,0.2604235281804369,0.29565411384552703,0.24387638874318598,0.27000806755739903,0.2647940648802233,0.25947531105194355,0.27537391678115136,0.23670642291413632,0.3780266609212408,0.3179698711393422,0.23900710072856404,0.3086380646093939,0.23670642291413632,0.28555702611966605,0.27354582606934424,0.25947531105194355,0.28725936877623126,0.9706,1.1795161769896585,1.0889118375040001,0.917763085380541,1.0439160158977214,0.9706,1.05758701472489,1.0330511984589976,1,1.0431611393483053,0.04165443844259033,2022-03-21T16:01:49Z,2022-03-21T16:01:50Z,1202,2022-03-21T16:02:01Z,101594 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Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Monday, October 27th 2025 Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision ====================================================================================== Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week. Summary Traders expect post-Fed economic data to drive market volatility more than the FOMC decision itself, with significant implied volatility for Initial Jobless Claims and Core PCE Price Index. The FOMC meeting is anticipated to have little binary uncertainty, focusing instead on Powell's tone and subsequent data. Strategies like calendar spreads and diagonal spreads can capitalize on the expected volatility shifts, particularly as the market adjusts after the Fed announcement. As the Federal Reserve prepares to announce its latest policy decision on October 29, options markets are already revealing how traders expect the week to unfold. ORATS’ event-adjusted volatility model shows something subtle but important: the heaviest implied volatility isn’t tied to the FOMC itself, but to the data that follows. ### Event-Adjusted Volatility Explained The chart below compares actual near-term SPX implied volatility (blue) against a baseline term structure that removes macro event related spikes (red). The shaded area between them highlights the additional volatility traders are pricing in for major catalysts. ### What the Market’s Pricing ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-801e-a5a8-db55d1139d96.png&w=3840&q=75) ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-80db-a390-dc8b80757fc6.png&w=3840&q=75) Here’s how implied volatility is lining up for this week’s macro cluster, based on ORATS’ analysis: * FOMC (Oct 29) → Vol uptick, but not extreme. The market expects a measured outcome. * Initial Jobless Claims (Oct 30) → About 72% additional event volatility versus baseline. * Core PCE Price Index (Oct 31) → Peaks near 78% additional event volatility, the highest reading of the week. * After Friday, implied vol gradually tapers back toward baseline levels. This setup suggests traders are bracing for post-Fed data validation rather than the rate decision itself. In other words, the market sees reaction risk more than announcement risk. Understanding FOMC Term Structure Distortion FOMC weeks follow a well-studied pattern in options term structure. Here’s what typically happens around the event, according to ORATS’ volatility analytics: ### Pre-FOMC (Now through Wednesday morning) * Short-term IV (0–7 DTE) inflates sharply. * Medium-term IV (30–60 DTE) rises modestly. * Long-term IV (90+ DTE) barely moves. ### During the FOMC (Wednesday) Morning (9:30 AM to 1:00 PM): Front-week IV reaches its peak as traders hedge into the rate decision. The curve shows maximum backwardation, often with 1 DTE IV near 25% while 30 DTE sits closer to 18%. 1:00 PM – Rate Decision Release: Volatility collapses immediately as uncertainty is removed. Short-term options lose 30–50% of their implied vol within minutes. Longer-dated maturities barely react at first. 1:30 PM – Powell’s Press Conference: Secondary moves can occur if the tone or forward guidance surprises the market, but the majority of the IV crush has already taken place. The term structure begins to normalize. ### Post-FOMC (Thursday onward) After the event: * The curve flips back to normal contango. * Short-term IV drops below medium-term IV. * Within one to two days, the curve is typically 70–90% normalized. By the following week, the entire structure usually returns to its baseline slope unless Powell signals a major shift. What to Monitor Using ORATS Data Traders can track the term structure changes in real time using ORATS fields and summaries: * Contango: * Forward Volatility Ratios: * Ex-Earnings IV Comparison: These tools help quantify how much of the IV curve is being distorted by event risk and when that premium begins to unwind. * Calendar Spreads: * Diagonal Spreads: * Iron Condors and Short Premium Plays: * The Double Crush: This meeting carries little binary uncertainty. The market is pricing a 95%+ probability of no rate change at 4.25%, so the rate decision itself is not the focus. Instead, traders are watching for signals in Powell’s tone and the incoming data that could influence the next meeting’s expectations. The ORATS event-volatility chart confirms that the heaviest implied risk sits in the Thursday–Friday data window, not during the Fed announcement. If economic data surprises, volatility could stay elevated longer; otherwise, the crush may be faster and more complete than usual. FOMC weeks offer a repeatable framework for understanding short-term volatility cycles. By combining the event-adjusted volatility model with term structure analytics, traders can identify where the market is truly pricing uncertainty and structure trades accordingly. This week’s pattern is clear: the real uncertainty lies beyond Wednesday. Chart Source: ORATS Research — SPX Additional Volatility Detected, 10/28/25 Author: ORATS Research Team Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) [![Significant Volatility Detected Ahead of Jackson Hole](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F255d72f7-e2b3-80b7-b937-ca457d2f16f3.png&w=3840&q=75)\ \ Significant Volatility Detected Ahead of Jackson Hole\ \ ORATS identifies 86% additional implied volatility for Friday's expiration](https://orats.com/blog/jackson-hole-fed-speech-volatility-preview-august-2025) Contact Us Questions about the API requirements? 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Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too) [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) In the Media Monday, November 24th 2025 Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too) ==================================================================================================== Why financial media, trading desks, and quant researchers depend on ORATS data every day Summary Leading financial institutions and media outlets trust ORATS for accurate options data due to its trader-built tools and methodologies. Key features include Smooth Market Volatility for precise pricing, ex-earnings volatility for clearer comparisons, and forward volatility metrics for future pricing insights. ORATS provides institutional-grade analytics, enabling traders to make informed decisions with confidence, supported by a rigorous methodology and continuous innovation. When financial publishers like [The Wall Street Journal](https://www.wsj.com/politics/policy/trump-tariffs-congress-stock-trades-4610ff90?mod=author_content_page_1_pos_7) , [Yahoo Finance](https://orats.com/blog/0dte-and-the-august-fifth-correction) , [Fidelity](https://www.fidelity.com/news/article/company-news/202511180603RTRSNEWSCOMBINED_KBN3MO10W-OUSBS_1) , and [Reuters](https://www.msn.com/en-us/money/companies/nvidia-set-for-320-billion-price-swing-after-earnings-options-indicate/ar-AA1QFeOq?ocid=BingNewsVerp) need accurate options intelligence, they turn to ORATS. The same is true for hedge funds, banks, and institutional trading desks. This overview explains why ORATS has become the trusted authority in options analytics and what that means for your trading. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b4d72f7-e2b3-80cf-8b05-f5ec463f2a4f.png&w=3840&q=75) ORATS was founded in 2001 by [Matt Amberson](https://orats.com/about) , a former CBOE market maker with a decade on the trading floor. The platform reflects real trading experience, not theoretical modeling. Every indicator, surface, and tool started as a practical solution to a trading problem. That perspective drives everything we build: * Data designed for decision making * Indicators created to solve real trading questions * Models aligned with how professionals manage risk This is trading intelligence grounded in market reality. ### Financial Media Major financial outlets use ORATS when they need to explain what the options market is signaling. Reporters choose ORATS because our numbers are clean, consistent, and reflect actual market behavior. When readers see implied earnings moves or volatility context in the news, the source is often ORATS. ### Institutional Trading Desks Banks, hedge funds, and proprietary trading firms license ORATS data because it meets institutional standards. Key advantages include: * High accuracy from our Smooth Market Volatility process * Eighteen years of history with minute-level intraday data * Proprietary indicators for volatility, earnings, and term structure * Reliable APIs that can support enterprise workloads For desks that hedge, price, and model risk at scale, accuracy is not optional. ### Quantitative Researchers Quant teams use ORATS data to publish research, build forecasting systems, and design trading models. Academic papers and industry white papers regularly cite ORATS because the depth and consistency of our data supports reliable analysis. ### Options Educators Educators and professional coaches use ORATS tools in their teaching because they represent industry standards rather than simplified retail approximations. ### 1\. Smooth Market Volatility (SMV) Most providers report raw quotes or use basic Black-Scholes calculations. ORATS uses a proprietary SMV approach that: * Resolves put call parity violations * Smooths the volatility surface * Accounts for dividends, rates, and borrow costs * Produces values aligned with executable prices This level of accuracy is why institutional traders trust our Greeks and theoretical values. ### 2\. Ex-Earnings Volatility Earnings distort traditional IV. ORATS created ex-earnings volatility to solve that problem. We calculate: * IV with earnings effects removed * Historical volatility without earnings-day moves * The isolated earnings effect itself This allows true apples-to-apples comparisons across stocks and time periods. ### 3\. Forward Volatility ORATS pioneered forward volatility metrics for traders who need to understand what future periods are pricing. We provide: * Forward vol levels for multiple ranges * Ratios that highlight mispricings * Ex-earnings forward vol for cleaner signals These metrics are essential for calendar traders and volatility arbitrage. ### 4\. Component-Weighted Index Data Our component-weighted indices show how the average stock in an index is trading, not just the aggregated index level. This includes SPX, NDX, QQQ, XLK, and more than thirty sector composites. ### 5\. Earnings Intelligence Our earnings dataset tracks: * Twelve quarters of historical earnings dates * Actual moves * Implied moves * Earnings effects on volatility This fuels research and forecasting models used by institutional desks. ### 6\. Three Hundred Million Backtests The [Backtest Finder](https://orats.com/trade-ideas) has run hundreds of millions of strategy backtests across eighteen years of data. Traders get instant access to the results of large-scale research that would take years to replicate. Financial journalists rely on ORATS during major market events. Our commentary and analytics appear in stories about volatility spikes, options activity, earnings reactions, and structural changes in the market. Reporters contact ORATS because they know the data reflects what is actually happening in the options market. Institutional-grade tools are available inside the ORATS Dashboard. Traders gain: * Confidence in the numbers behind their decisions * Access to institutional analytics without institutional costs * Clear insights into what volatility and earnings are pricing * Education that reflects professional trading standards You work with the same intelligence used by high-level professionals. Institutions choose ORATS because the foundation is strong. * Founder credibility from real floor trading * Rigorous methodology * Consistent historical depth * Continuous innovation * Reliable APIs * Expert support Accuracy is the priority. Reliability earns trust. Every ORATS indicator began as a solution to a practical trading challenge. When traders consistently paid more for low-priced options than theoretical models suggested, we created Rip Value. When volatility comparisons broke down around earnings, we developed ex-earnings volatility. When term structure signals were unclear, we created forward volatility metrics. The mission has always been the same: solve real trading problems with data and models that stand up to professional scrutiny. When you use ORATS, you are using the same data and analytics trusted by major financial institutions, media outlets, and professional traders. This is not marketing language. It is observable across published research, news coverage, and institutional workflows. Accurate data creates better decisions. ORATS delivers that accuracy. Trading is a competition against firms with large budgets, dedicated research teams, and advanced data systems. ORATS gives you access to the same level of intelligence. Better data. Better models. Better decisions. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Earnings Straddles Are Having Their Moment](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F305d72f7-e2b3-802e-8dfc-efd5e26905b5.png&w=3840&q=75)\ \ Earnings Straddles Are Having Their Moment\ \ Strong realized moves and shifting volatility expectations have produced one of the most favorable earnings seasons for straddle buyers in years.](https://orats.com/blog/earnings-straddles-strong-season-2026) [![On Risk Management and Path-Dependent Trades: Lessons from Captain Condor](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-8031-a4ec-e1530763f5c8.png&w=3840&q=75)\ \ On Risk Management and Path-Dependent Trades: Lessons from Captain Condor\ \ ORATS cited by Bloomberg on an options market loss](https://orats.com/blog/lessons-from-captain-condor-risk-management-path-dependent-trades) [![Wall Street Journal Leverages ORATS Tools to Analyze Congressional Trades During Tariff Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F214d72f7-e2b3-8096-b407-fe712376f281.png&w=3840&q=75)\ \ Wall Street Journal Leverages ORATS Tools to Analyze Congressional Trades During Tariff Volatility\ \ WSJ uses ORATS data to analyze Congressional trades.](https://orats.com/blog/wsj-uses-orats-to-analyze-congressional-options-trades) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Upcoming Webinar: Improve Your Backtests with Options Indicators [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) In the Media Friday, June 13th 2025 Upcoming Webinar: Improve Your Backtests with Options Indicators ================================================================ Interactive Brokers and ORATS Webinar – June 18 Summary Join the webinar on June 18, 2025, from 11 AM to 12 PM EDT to learn how to enhance backtest strategies using options indicators with ORATS and Interactive Brokers. Topics include improving entry/exit timing and reducing false positives. Register now to secure your spot. Date: Wednesday, June 18, 2025 Time: 11:00 AM to 12:00 PM EDT Registration: [Sign up here](https://register.gotowebinar.com/register/6893663476114686551) Optimize Strategy Performance with Smarter Indicators With over 300 million options backtests available in the IB Workstation Explorer tab powered by ORATS, traders already have access to one of the most powerful backtesting platforms on the market. But a strong backtest is only the beginning. In this upcoming webinar, ORATS and Interactive Brokers will demonstrate how to refine those strategies using options indicators. You'll learn how to apply timing signals, avoid overfitting, and use ORATS’ newest tools to strengthen your edge. Topics include: * How different indicators affect strategy performance * Techniques to improve entry and exit timing * Built-in features to reduce path dependency and false positives This session is ideal for Interactive Brokers users looking to make better use of ORATS data and tools within their workflow. Whether you're developing directional trades, spreads, or complex hedges, you’ll come away with practical ways to improve results. Register now to secure your spot: [https://register.gotowebinar.com/register/6893663476114686551?source=ORATS](https://register.gotowebinar.com/register/6893663476114686551) Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Earnings Straddles Are Having Their Moment](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F305d72f7-e2b3-802e-8dfc-efd5e26905b5.png&w=3840&q=75)\ \ Earnings Straddles Are Having Their Moment\ \ Strong realized moves and shifting volatility expectations have produced one of the most favorable earnings seasons for straddle buyers in years.](https://orats.com/blog/earnings-straddles-strong-season-2026) [![On Risk Management and Path-Dependent Trades: Lessons from Captain Condor](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-8031-a4ec-e1530763f5c8.png&w=3840&q=75)\ \ On Risk Management and Path-Dependent Trades: Lessons from Captain Condor\ \ ORATS cited by Bloomberg on an options market loss](https://orats.com/blog/lessons-from-captain-condor-risk-management-path-dependent-trades) [![Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b4d72f7-e2b3-80ea-80dc-e7f2a2885f33.png&w=3840&q=75)\ \ Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)\ \ Why financial media, trading desks, and quant researchers depend on ORATS data every day](https://orats.com/blog/trusted-options-data) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Navigating Volatility and Zero-DTE: Matt Amberson Talks Strategy with JLN [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) In the Media Tuesday, June 10th 2025 Navigating Volatility and Zero-DTE: Matt Amberson Talks Strategy with JLN ========================================================================= Matt Amberson joins John Lothian News to discuss how serious traders are adapting Summary Matt Amberson discusses how traders are adapting to market volatility and zero-DTE flow, emphasizing the use of ORATS tools for risk management and strategy development, while highlighting regulatory challenges faced by retail traders. ORATS Principal Matt Amberson sat down with John Lothian News to discuss how traders are adapting to today’s fast-moving environment—marked by volatility spikes, zero-DTE flow, and rising automation. In the interview, Matt shares how ORATS tools help traders manage risk, time entries and exits more effectively, and build strategies using proprietary indicators, pre-run backtests, and cloud-accessible data. He also weighs in on regulatory gaps, like late exercises and stop-loss constraints, that disproportionately affect retail traders. Watch the full interview on John Lothian News: [https://johnlothiannews.com/orats-ceo-matt-amberson-on-navigating-volatility-spikes-zero-dte-and-the-rise-of-automated-options-trading/](https://johnlothiannews.com/orats-ceo-matt-amberson-on-navigating-volatility-spikes-zero-dte-and-the-rise-of-automated-options-trading/) Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Earnings Straddles Are Having Their Moment](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F305d72f7-e2b3-802e-8dfc-efd5e26905b5.png&w=3840&q=75)\ \ Earnings Straddles Are Having Their Moment\ \ Strong realized moves and shifting volatility expectations have produced one of the most favorable earnings seasons for straddle buyers in years.](https://orats.com/blog/earnings-straddles-strong-season-2026) [![On Risk Management and Path-Dependent Trades: Lessons from Captain Condor](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-8031-a4ec-e1530763f5c8.png&w=3840&q=75)\ \ On Risk Management and Path-Dependent Trades: Lessons from Captain Condor\ \ ORATS cited by Bloomberg on an options market loss](https://orats.com/blog/lessons-from-captain-condor-risk-management-path-dependent-trades) [![Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b4d72f7-e2b3-80ea-80dc-e7f2a2885f33.png&w=3840&q=75)\ \ Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)\ \ Why financial media, trading desks, and quant researchers depend on ORATS data every day](https://orats.com/blog/trusted-options-data) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # How ORATS Uses Historical Volatility Forecasts to Improve Options Trading Decisions [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Indicators Friday, November 14th 2025 How ORATS Uses Historical Volatility Forecasts to Improve Options Trading Decisions =================================================================================== How ORATS combines historical data, earnings patterns, and sector signals to forecast volatility. Summary ORATS utilizes a proprietary historical volatility (HV) forecast system to enhance options trading decisions by analyzing ex-earnings HV, short and long-term forecasts, IV-HV relationships, and sector signals. Traders can identify mispriced options, optimize calendar spreads, and refine earnings strategies by comparing implied volatility with HV forecasts. The system emphasizes data-driven predictions, allowing for improved strategy timing and risk management based on forecast confidence levels. One of ORATS' most powerful yet underappreciated features is our proprietary historical volatility (HV) forecast system. While most traders focus solely on what implied volatility (IV) is telling them, understanding where realized volatility is likely to go can provide a significant edge. Here's how we build these forecasts and how you can use them. Most options platforms show you: * Current implied volatility from option prices * Historical realized volatility from past stock moves * Maybe an IV percentile or rank But they leave you to figure out the crucial question: Is current IV fairly pricing future realized volatility? This is where ORATS' forecast methodology comes in. Our forecasting system uses a multi-factor approach that considers: ### 1\. Ex-Earnings Historical Volatility We calculate HV both with and without earnings days included. Since earnings create massive one-day moves that distort the signal, our ex-earnings HV (orHvXern) provides a cleaner baseline for "normal" market conditions. For example, a stock might show: * 20-day HV: 35% (includes recent earnings) * 20-day ex-earnings HV: 28% (more representative of typical movement) ### 2\. Short-Term and Long-Term Views We forecast at two primary horizons: * orFcst20d: 20-day forward HV forecast (short-term trading) * orFcstInf: Infinite/2-year HV forecast (long-term mean reversion) This dual approach captures both near-term momentum and long-term equilibrium. ### 3\. IV-HV Relationships We've analyzed years of data on how IV relates to future HV. The market's current IV pricing contains information — we extract and combine it with our historical patterns. ### 4\. Related ETF Analysis Individual stocks don't trade in isolation. We incorporate volatility signals from sector ETFs and broad market indices. If the entire tech sector is experiencing elevated volatility, that informs our forecast for individual tech names. ### 5\. Earnings Adjustments Our forecasts account for upcoming earnings. We calculate: * ieeEarnEffect: The market's implied earnings effect * fcstErnEffct: Our forecasted earnings effect based on historical patterns * impliedEarningsMove: Expected percentage move Then we add these back in when forecasting periods that include earnings. orFcst20d Our forecast of what the stock's 20-day realized volatility will be over the next 20 trading days, excluding earnings effects. orIvFcst20d Our forecast of where 20-day IV will be in 20 trading days. This is particularly useful for calendar traders. orFcstInf Our long-term forecast, essentially where we expect the stock's "normal" volatility to settle. Think of this as the mean reversion target. ### 1\. Identifying Mispriced Options Compare current IV to our HV forecast: If iv30d > orFcst20d → Options may be overpriced (sell premium) If iv30d < orFcst20d → Options may be underpriced (buy premium) In the ORATS Dashboard, you can scan for these opportunities using the Stock Scanner with filters like: * iv30d / orFcst20d > 1.15 (IV is 15%+ above forecast — sell opportunity) * iv30d / orFcst20d < 0.85 (IV is 15%+ below forecast — buy opportunity) ### 2\. Calendar Spread Selection Calendar spreads profit when near-term IV is high relative to longer-term IV. Our IV forecast (orIvFcst20d) helps you determine if that premium is sustainable or likely to collapse. Good Calendar Setup: * Front month IV elevated vs forecast * Back month IV closer to forecast * Expect front month vol to decline while back month stays stable ### 3\. Earnings Strategy Optimization Compare the implied earnings move to our forecast: impliedEarningsMove vs fcstErnEffct If the market is pricing a 6% move but our forecast based on 12 quarters of history suggests 4.5%, you might consider selling premium ahead of earnings. ### 4\. Strategy Optimizer Integration In the ORATS Strategy Optimizer, you can use forecast indicators as entry/exit triggers: Entry Indicators: * orFcst20d — Enter when forecast is high/low * ivHvXernRatio — Current IV/HV ratio * fcstR2 — Goodness of fit (higher = more reliable forecast) Exit Indicators: * Exit when iv30d converges to orFcst20d * Exit when realized vol reaches forecast levels The optimizer's p-values will tell you if these forecast-based entries have been statistically significant over 18+ years of backtesting. ### 5\. Risk Management Our forecast confidence is measured by fcstR2 (R-squared): * R² > 0.5: High confidence forecast * R² < 0.3: Lower confidence, wider potential range Use this to size positions appropriately. Don't bet heavily on forecast edge when confidence is low. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2abd72f7-e2b3-802b-9751-c3b2867db03c.png&w=3840&q=75) Let's say you're looking at AAPL: * Current iv30d: 25% * orFcst20d: 21% * orHvXern20d: 19% * fcstR2: 0.62 (good confidence) Interpretation: The market is pricing 25% vol, but our forecast suggests only 21% realized vol over the next 20 days, and recent ex-earnings HV has been running at 19%. With an R² of 0.62, we have decent confidence in this forecast. Potential Trade: Consider selling premium strategies like iron condors or credit spreads, as the market appears to be overpricing volatility relative to our forecast. Our forecasts have shown predictive power (measured by R²) because they: * Remove noise — Ex-earnings HV provides cleaner signals * Combine multiple signals — HV, IV, sector data, earnings patterns * Adapt to regime changes — Short-term forecasts capture momentum, long-term capture mean reversion * Account for structure — Hard-to-borrow rates, dividend timing, earnings calendar The fcstR2 field in our data tells you exactly how well our 20-day forecast has predicted actual 20-day future HV historically. ### In the Dashboard * Go to Stock Scanner * Add columns: iv30d, orFcst20d, orFcst20d/iv30d * Sort by the ratio to find biggest divergences * Filter by fcstR2 > 0.4 for reliable forecasts ### In the Backtest Optimizer * Choose a base strategy (e.g., iron condor) * Add entry indicator: orFcst20d < iv30d (selling overpriced vol) * Look at p-values to see if forecast edge is statistically significant * Refine with additional filters like confidence and IV rank ### In the API Access forecast fields in the /datav2/hist/cores or /datav2/cores.summaries endpoints: * orFcst20d * orIvFcst20d * orFcstInf * fcstR2 While most traders focus exclusively on what IV is doing right now, ORATS' HV forecasts give you a forward-looking edge. By comparing what the market is pricing (IV) to what we forecast will actually happen (HV), you can identify mispriced options and improve your strategy entry/exit timing. The key is combining forecast signals with other ORATS indicators — IV rank, term structure, skew, confidence — to build robust, statistically-validated strategies. Our 18+ years of historical data and continuous refinement of forecast models means you're not trading on hunches — you're trading on data-driven predictions with measurable track records. Want to dive deeper? Check out our webinar on Using Forecasts of Volatility to Find Trades where we walk through practical examples of building forecast-based scans and strategies. Access ORATS forecast data through the Dashboard at dashboard.orats.com or via our APIs. Questions? Contact support@orats.com. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What Is the True Value of an Option?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F30cd72f7-e2b3-80e1-9f88-cdf9e88f52ba.png&w=3840&q=75)\ \ What Is the True Value of an Option?\ \ Understanding Structural, Statistical, and Forward Value in Options](https://orats.com/blog/true-value-of-an-option) [![Options 101: Implied Volatility Calculation And Uses](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fe3fd2333-07ed-421d-ac5d-feaeb6b973be.png&w=3840&q=75)\ \ Options 101: Implied Volatility Calculation And Uses\ \ Options pricing models produce theoretical values for options and implied volatilities. Here we show common methods for calculating IV and how to interpret them.](https://orats.com/blog/options-101-implied-volatility-calculation-and-uses) [![Market Looks To Firm Up According To Implied Volatility Indicators](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F170add4c-da19-4070-88bd-8722590325ec.png&w=3840&q=75)\ \ Market Looks To Firm Up According To Implied Volatility Indicators\ \ Implied volatility, contango, and forward volatility can be used to predict underlying movement. Ex-earnings IV for stocks is explained. Backwardation is described as is the flat volatility method.](https://orats.com/blog/market-looks-to-firm-up-according-to-implied-volatility-indicators) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Wall Street Journal Leverages ORATS Tools to Analyze Congressional Trades During Tariff Volatility [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) In the Media Monday, June 16th 2025 Wall Street Journal Leverages ORATS Tools to Analyze Congressional Trades During Tariff Volatility ================================================================================================== WSJ uses ORATS data to analyze Congressional trades. Summary The Wall Street Journal utilized ORATS tools to analyze Congressional stock and options trades during tariff volatility, highlighting the importance of precise options data for transparency in financial journalism amid increasing scrutiny of policymaker trading practices. In a [recent article](https://www.wsj.com/politics/policy/trump-tariffs-congress-stock-trades-4610ff90?mod=author_content_page_1_pos_7) investigating stock and options trading by members of Congress during the market turbulence following President Trump’s April 2025 tariff announcements, The Wall Street Journal turned to ORATS to help bring transparency to complex options activity. The Journal’s team used ORATS data to analyze a Microsoft call option trade made by Representative Josh Gottheimer. The piece cited our historical options pricing to illustrate how the contract’s value changed during a volatile window, quantifying the magnitude of the position with accuracy that raw disclosures alone could not provide. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F214d72f7-e2b3-8058-9e5e-eef4b77770b4.png&w=3840&q=75) ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F214d72f7-e2b3-8060-b3a4-c186d7a5bf99.png&w=3840&q=75) This type of reporting highlights the growing need for precise, high-integrity options data, especially when disclosure records are limited to broad transaction ranges and lack execution detail. ORATS' tools allow analysts and journalists to contextualize trades using proprietary pricing models, expected move calculations, and volatility surface analytics, just like they do for hedge funds, brokers, and retail traders. We’re pleased to see ORATS technology serve as a resource for investigative financial journalism. As scrutiny around policymaker trading practices intensifies, data-driven analysis will remain essential to understanding the market impact of these activities. — Read the full article at [WSJ.com](https://www.wsj.com/politics/policy/trump-tariffs-congress-stock-trades-4610ff90?mod=author_content_page_1_pos_7) Learn more about ORATS analytics at [orats.com](https://orats.com/) Reporting by Katy Stech Ferek, Jack Gillum, James Benedict, and Gunjan Banerji. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Earnings Straddles Are Having Their Moment](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F305d72f7-e2b3-802e-8dfc-efd5e26905b5.png&w=3840&q=75)\ \ Earnings Straddles Are Having Their Moment\ \ Strong realized moves and shifting volatility expectations have produced one of the most favorable earnings seasons for straddle buyers in years.](https://orats.com/blog/earnings-straddles-strong-season-2026) [![On Risk Management and Path-Dependent Trades: Lessons from Captain Condor](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-8031-a4ec-e1530763f5c8.png&w=3840&q=75)\ \ On Risk Management and Path-Dependent Trades: Lessons from Captain Condor\ \ ORATS cited by Bloomberg on an options market loss](https://orats.com/blog/lessons-from-captain-condor-risk-management-path-dependent-trades) [![Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b4d72f7-e2b3-80ea-80dc-e7f2a2885f33.png&w=3840&q=75)\ \ Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)\ \ Why financial media, trading desks, and quant researchers depend on ORATS data every day](https://orats.com/blog/trusted-options-data) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Matt Amberson Returns to the Options Industry Conference for 2025 Panel on the State of the Industry [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) In the Media Thursday, April 3rd 2025 Matt Amberson Returns to the Options Industry Conference for 2025 Panel on the State of the Industry ==================================================================================================== Speaking at the 43rd Annual OIC Summary Matt Amberson will participate in the "State of the Industry" panel at the Options Industry Conference on May 6, 2025, discussing automation and innovations in options trading alongside industry leaders Arianne Adams and Steve Sosnick, moderated by Henry Schwartz. Matt Amberson, Principal at ORATS, will join fellow industry leaders on the “State of the Industry” panel at this year’s [Options Industry Conference](https://www.optionsconference.com/) , held May 6–8, 2025. The panel is scheduled for Tuesday, May 6, from 4:00 p.m. to 4:45 p.m. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1cad72f7-e2b3-80ee-ae53-e06cf8223e9b.png&w=3840&q=75) As options markets become more data-driven, the panel will explore how traders and institutions are using automation, short dated expirations, and innovations to refine strategy, manage risk, and anticipate market shifts. Matt will be joined by: * Arianne Adams, Chief Strategy Officer & Head of Derivatives at Webull, who brings deep experience in driving access and innovation for retail derivatives traders. * Steve Sosnick, Chief Strategist at Interactive Brokers, a well-known voice in macro market commentary and trading strategy. * Moderator: Henry Schwartz, Vice President of Market Intelligence at Cboe Global Markets, one of the industry’s most respected data experts. Matt last spoke at the OIC in 2019 on the Entrepreneur Panel, where he discussed the future of options analytics and ORATS’ role in building powerful, accessible tools for strategy testing and scanning. 📖 [Read the 2019 recap](https://orats.com/blog/catch-the-entrepreneur-panel-at-the-options-industry-conference-with-matt-amberson) With proprietary metrics, institutional-quality data, and a focus on empowering traders through transparency, ORATS continues to lead innovation in options research and analytics. We look forward to the insights shared at this year’s panel and will post highlights after the event. See the full agenda: [https://www.optionsconference.com/agenda](https://www.optionsconference.com/agenda) Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Earnings Straddles Are Having Their Moment](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F305d72f7-e2b3-802e-8dfc-efd5e26905b5.png&w=3840&q=75)\ \ Earnings Straddles Are Having Their Moment\ \ Strong realized moves and shifting volatility expectations have produced one of the most favorable earnings seasons for straddle buyers in years.](https://orats.com/blog/earnings-straddles-strong-season-2026) [![On Risk Management and Path-Dependent Trades: Lessons from Captain Condor](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-8031-a4ec-e1530763f5c8.png&w=3840&q=75)\ \ On Risk Management and Path-Dependent Trades: Lessons from Captain Condor\ \ ORATS cited by Bloomberg on an options market loss](https://orats.com/blog/lessons-from-captain-condor-risk-management-path-dependent-trades) [![Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b4d72f7-e2b3-80ea-80dc-e7f2a2885f33.png&w=3840&q=75)\ \ Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)\ \ Why financial media, trading desks, and quant researchers depend on ORATS data every day](https://orats.com/blog/trusted-options-data) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Empowering Retail with Enterprise Tools: Matt Amberson on the State of the Industry [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) In the Media Friday, June 6th 2025 Empowering Retail with Enterprise Tools: Matt Amberson on the State of the Industry =================================================================================== How automation, volatility, and access are reshaping the options landscape. Summary Matt Amberson discusses the impact of volatility, automation, and access on retail trading, emphasizing the importance of quality data and tools for retail traders to compete with institutions, and predicting intraday expirations as a potential shift in the market. In the interview, Matt shares insights on how macroeconomic uncertainty is manifesting in the volatility surface, how automation is driving new patterns in retail order flow, and why intraday expirations may be the next structural shift. As the panel underscored, access to quality data and tools is becoming the great equalizer. ORATS helps retail traders navigate this landscape with the same level of insight institutions rely on—delivering precision analytics, strategy automation, and actionable volatility metrics. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Earnings Straddles Are Having Their Moment](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F305d72f7-e2b3-802e-8dfc-efd5e26905b5.png&w=3840&q=75)\ \ Earnings Straddles Are Having Their Moment\ \ Strong realized moves and shifting volatility expectations have produced one of the most favorable earnings seasons for straddle buyers in years.](https://orats.com/blog/earnings-straddles-strong-season-2026) [![On Risk Management and Path-Dependent Trades: Lessons from Captain Condor](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-8031-a4ec-e1530763f5c8.png&w=3840&q=75)\ \ On Risk Management and Path-Dependent Trades: Lessons from Captain Condor\ \ ORATS cited by Bloomberg on an options market loss](https://orats.com/blog/lessons-from-captain-condor-risk-management-path-dependent-trades) [![Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b4d72f7-e2b3-80ea-80dc-e7f2a2885f33.png&w=3840&q=75)\ \ Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)\ \ Why financial media, trading desks, and quant researchers depend on ORATS data every day](https://orats.com/blog/trusted-options-data) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Nvidia Earnings Preview: ORATS Sees Lower Move This Quarter [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Wednesday, May 28th 2025 Nvidia Earnings Preview: ORATS Sees Lower Move This Quarter =========================================================== Muted Earnings Move Expected for Nvidia Summary Nvidia's earnings report is expected to show a 6.4% move, lower than the 12-quarter average of 7.9%. Traders are optimistic about a price jump to $145–$150, but recent market conditions and a $5.5 billion charge related to China suggest a muted response. Nvidia (NVDA) reports earnings after the close today. ORATS’ proprietary options data shows an expected move of 6.4%, down from 6.7% earlier. This is below the 12-quarter average implied move of 7.9% and the actual average move of 7.7%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F201d72f7-e2b3-80c7-ad83-d7864e66ea43.png&w=3840&q=75) While the stock has been volatile after earnings in the past, traders are leaning bullish, betting on a jump to $145–$150. But options pricing suggests a muted move, likely influenced by recent market selloffs and Nvidia’s $5.5 billion China-related charge. ORATS’ data was featured in the Wall Street Journal, highlighting Nvidia’s key role in U.S.-China trade tensions. Key Numbers: * Implied Move: 6.4% * 12-Quarter Average Implied: 7.9% * 12-Quarter Average Actual: 7.7% Stay tuned for ORATS’ post-earnings analysis. Sources: * ORATS Data * WSJ Article: Nvidia as a U.S.-China Bargaining Chip * WSJ Article: Traders Bet on Nvidia Earnings Jump Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Trading Sunday, August 31st 2025 ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools ======================================================================================== ORATS is pleased to announce the promotion of our beta dashboard to full production status, bringing powerful new capabilities to options traders and institutional clients. Summary ORATS has launched an enhanced production platform featuring the Otto AI Assistant for real-time data access, a Strategy Optimizer with statistical validation, and curated trade ideas. The platform improves user experience with streamlined navigation and integrates backtesting with live trading. These features are available to all subscribers, reinforcing ORATS' commitment to providing high-quality options analytics. New Features Now Available Otto AI Assistant Our AI-powered assistant provides instant access to ORATS data and analytics. Otto can help users * Navigate volatility analysis * Interpret market indicators * Understand complex options strategies using natural language queries * and much more… The assistant integrates directly with our comprehensive API suite, delivering real-time insights on over 5,000 symbols. Strategy Optimizer with Statistical Validation The new Optimizer enhances trading strategies using statistical analysis across our database of 300+ million backtests. Key features include: * P-value validation to avoid overfitting and ensure statistical significance * Access to 98 proprietary ORATS indicators including ex-earnings IV, slope, and contango measurements * Technical indicator integration with SMA, Bollinger Bands, RSI, and CCI * Real-time performance analysis showing return improvement, Sharpe ratios, and risk metrics Curated Trade Ideas ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25fd72f7-e2b3-802a-a304-c86d2b6cabbc.png&w=3840&q=75) Our enhanced Trade Ideas tab now features: * Backtested trade recommendations ranked by risk-adjusted performance * Current environment filtering based on VIX levels, RSI, IV percentiles, and slope conditions * Strategy deployment allowing users to save optimized strategies for ongoing scanning * Performance tracking with detailed trade logs and attribution analysis ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25fd72f7-e2b3-8082-88a3-faf50a6b2f81.png&w=3840&q=75) Enhanced User Experience The production platform maintains all existing ORATS functionality while adding: * Streamlined navigation and improved data visualization * Integration between backtesting, optimization, and live trading tools * Comprehensive options scanning with theoretical edge calculations * Advanced volatility surface analysis and forecasting ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25fd72f7-e2b3-809d-b989-fbf72373af49.png&w=3840&q=75) Availability These enhancements are immediately available to all ORATS Trading Tools subscribers at existing pricing levels. The upgrade reinforces ORATS' commitment to providing institutional-quality options analytics with retail accessibility. Technical Foundation All new features are built on ORATS' proprietary Smoothed Market Values (SMV) methodology, ensuring consistent data quality across historical analysis, real-time scanning, and strategy optimization. Our comprehensive dataset extends back to 2007 for end-of-day analysis and August 2020 for minute-level historical options data. For more information about the enhanced platform capabilities, visit dashboard.orats.com or contact our support@orats.com team. About ORATS: Founded in 2001, Option Research and Technology Services provides comprehensive options data and analytics to traders, institutions, and financial technology firms worldwide. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What Is a Volatility Surface? Why Traders Use It](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e0d72f7-e2b3-8075-ad7e-de601a888365.png&w=3840&q=75)\ \ What Is a Volatility Surface? Why Traders Use It\ \ A framework for evaluating options pricing using term structure and strike structure](https://orats.com/blog/understanding-volatility-surfaces) [![Best Option Scanners of 2025](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F16dd72f7-e2b3-8087-82bc-fd2b622c4878.png&w=3840&q=75)\ \ Best Option Scanners of 2025\ \ A comprehensive list of the most recommended Option Scanners](https://orats.com/blog/best-option-scanners-of-2025) [![Find Stocks With Undervalued Implied Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fe44bc12d-b1ac-4fe3-b650-71713c075613.png&w=3840&q=75)\ \ Find Stocks With Undervalued Implied Volatility\ \ Use the Low IV30d scan in the ORATS stock scanner to identify stocks with undervalued implied volatility.](https://orats.com/blog/find-stocks-with-undervalued-implied-volatility) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Market Update: Options Implied Volatility Show Key Macro Events Ahead [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Sunday, March 16th 2025 Market Update: Options Implied Volatility Show Key Macro Events Ahead ===================================================================== Key Events and Market Implications for Options Traders Summary Traders should brace for increased volatility due to upcoming macroeconomic events, including Retail Sales, FOMC Economic Projections, and Current Account data, which are expected to significantly impact implied volatility and market sentiment. Traders should prepare for heightened volatility as several key macroeconomic events approach. With major economic reports and the Federal Reserve’s decision on deck, implied volatility (IV) levels are reacting accordingly. ### Upcoming Macro Events and Their Volatility Impact ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1b9d72f7-e2b3-8021-b74b-d4d4b9682e20.png&w=3840&q=75) March 17 (Monday): Retail Sales (MoM) * Additional IV Impact: +30% * Historical 1-Day HV: 11.4% * Market Influence: Retail Sales data, released pre-market, often sets the tone for the week. Strong numbers can indicate consumer resilience, while weaker data may stoke concerns over economic slowing. March 19 (Wednesday): FOMC Economic Projections & Fed Press Conference * Additional IV Impact: +30% (FOMC Projections) * Historical 1-Day HV: 19.3% (Projections), 17.5% (Press Conference) * Market Influence: The Fed’s rate decision and outlook have historically driven significant market movement, with IV spiking in anticipation. The press conference following the announcement often triggers further reactions as traders digest the Fed’s guidance. March 21 (Friday): Current Account & Initial Jobless Claims * Additional IV Impact: +46% (Current Account) * Historical 1-Day HV: 18.0% (Current Account), 12.6% (Jobless Claims) * Market Influence: While not as high-profile as the Fed decision, these reports influence near-term risk sentiment, especially in rate-sensitive sectors. ### ORATS Macro Calendar ORATS provides a Macro Calendar that tracks upcoming economic events and displays them against historical averages for implied macro move (IMM) and ORATS calculated one day historical volatility (orHv1d). ORATS uses a modified Parkinson historical volatility calculation that allows a one-day reading, as opposed to close-to-close measurements that require more days. This dashboard helps traders correlate macro releases with options market expectations, identifying key dates where volatility spikes are expected. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1b9d72f7-e2b3-8083-afa7-d46cd4a5cc9a.png&w=3840&q=75) ### Why This Matters for Traders Traders who understand how macroeconomic reports influence implied volatility can identify trading opportunities, hedge risk, and position for potential market moves. With the FOMC decision and economic reports set to drive market action, traders should be closely monitoring how options pricing evolves leading up to these key events. Want to stay ahead of volatility shifts? ORATS delivers the data you need to trade with precision. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Significant Volatility Detected Ahead of Jackson Hole [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Wednesday, August 20th 2025 Significant Volatility Detected Ahead of Jackson Hole ===================================================== ORATS identifies 86% additional implied volatility for Friday's expiration Summary A sharp rise in implied volatility of 86% is detected for the August 22 expiration, coinciding with Fed Chair Jerome Powell’s speech at the Jackson Hole Economic Symposium. This heightened volatility reflects market anticipation of potential surprises in Powell's remarks regarding interest rates, with analysts suggesting a balanced tone could lead to a significant market pullback. Traders are preparing for this macro event by exploring opportunities in options markets. ORATS models are detecting a sharp rise in implied volatility for the Friday, August 22 expiration, which coincides with Fed Chair Jerome Powell’s speech at the Jackson Hole Economic Symposium. Additional volatility for that date is measured at 86%, the highest in the current two-week outlook. The SPX forward curve shows a distinct elevation into Friday, with volatility pulling back noticeably into the following week. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F255d72f7-e2b3-8059-8011-cfc763a7ec21.png&w=3840&q=75) Traders are anticipating potential surprises in Powell’s remarks, particularly regarding the rate outlook going into the September FOMC meeting. Evercore ISI analysts, led by Julian Emanuel, wrote in a note that a “balanced” tone from Powell “could catalyze a near term -7% to -15% pullback into October” if markets are forced to unwind expectations for a deeper rate cut. ORATS data shows options markets already bracing for that possibility. Macro Volatility Context * Friday, August 22: 86% additional implied volatility * Highest additional vol in the forward curve * Steepest slope observed in the front end since Q1 * Forward vols return to baseline early next week This setup reflects a high-conviction macro event, where elevated valuations, seasonal risk, and uncertainty around monetary policy are all converging. Traders are using the ORATS Dashboard to scan for opportunities in calendar spreads and delta-neutral structures around the August 22 expiration. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Nvidia Earnings: Options Market Expectations vs. Reality [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Wednesday, August 27th 2025 Nvidia Earnings: Options Market Expectations vs. Reality ======================================================== Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves Summary Nvidia's options market has accurately predicted stock movements around earnings, with an average implied move of 7.7% compared to an actual move of 7.6%. Currently, the implied move is lower due to a 34% gain in 2025 and decreased volatility, indicating less uncertainty. Key areas of focus include guidance on AI demand, profitability amidst competition, and potential impacts from revenue-sharing with the U.S. government. Overall, the options market suggests a modest expected move post-earnings, reflecting a more stable outlook for Nvidia. As Nvidia (NVDA) prepares to announce quarterly results, traders are once again turning to the options market for clues. At ORATS, we track the implied earnings move, which reflects what options prices suggest about expected stock movement, and compare it with the actual move that follows the report. Over the past 12 quarters, Nvidia’s options market has been remarkably accurate at predicting the actual move. The average implied move into earnings has been 7.7%, while the actual average stock move post-announcement has come in at 7.6%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-8049-86c0-f9b3bf2b22fa.png&w=3840&q=75) “Nvidia 12-Quarter Historical Implied vs. Actual Earnings Moves” This alignment demonstrates the efficiency of the options market. For this quarter, however, the implied move looks slightly lower than history might suggest. Why the Implied Move is Lower Now Several factors help explain why traders are pricing in a smaller post-earnings swing than usual. Nvidia has already gained 34% in 2025, which has helped push realized volatility down. Over the last 12 quarters, Nvidia’s average implied volatility into earnings was 44.8%, while the historical volatility between earnings reports averaged 48.2%. Since the most recent earnings report, historical volatility has averaged just 28.6%, a sharp decline that signals the market sees less uncertainty in Nvidia’s path. Together, these dynamics suggest the options market is indicating that much of the AI and Nvidia uncertainty premium has already come out. Traders are less anxious about sudden surprises, and that shows up in the pricing. Why It Still Matters Nvidia is not just another tech stock. It sits at the center of the AI trade, carrying a market valuation above $4 trillion. With shares already up 34% year to date, the stakes remain high. This quarter, attention will focus on: * Guidance and AI demand: Will hyperscaler and enterprise investment remain strong? * Margins: Can profitability hold as competition intensifies? * Policy impacts: How revenue-sharing arrangements with the U.S. government could affect forecasts. The Takeaway Options are signaling another move in Nvidia shares after earnings, but one that is modest compared to history. That reflects a market that sees Nvidia’s story as more stable, even after a breathtaking run. At ORATS, we believe tracking the relationship between implied and realized volatility is key to understanding earnings expectations. Our earnings analytics help traders identify when options markets may be mispricing event risk, giving them an edge in structuring strategies around earnings season. Thanks to Laura Matthews and Reuters for including ORATS’ insights, and proud to see the piece picked up by The Globe and Mail and Fidelity as well. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings Preview: ORATS Sees Lower Move This Quarter](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F201d72f7-e2b3-803a-8009-d933d73e917b.png&w=3840&q=75)\ \ Nvidia Earnings Preview: ORATS Sees Lower Move This Quarter\ \ Muted Earnings Move Expected for Nvidia](https://orats.com/blog/nvidia-earnings-preview-5-28-2025) Contact Us Questions about the API requirements? 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Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Market Anxiety Spikes: S&P 500 Options Show Rare Volatility Backwardation [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Wednesday, April 2nd 2025 Market Anxiety Spikes: S&P 500 Options Show Rare Volatility Backwardation ========================================================================= Inside the Volatility Curve Twist Spooking the Market Summary The S&P 500 options market shows rare backwardation, indicating heightened short-term anxiety among traders due to geopolitical tensions, macroeconomic events, and upcoming critical data releases. Implied volatility is significantly elevated, suggesting expectations of large market moves in the immediate future. The S&P 500 options market is flashing signs of unusual short-term anxiety. Traders have bid up the prices of near-term options so much that the implied volatility for options expiring in the next couple of days is now higher than that of options expiring weeks out. This rare condition, called backwardation in the volatility term structure, suggests the market is bracing for immediate risks to equities, more so than for longer-term uncertainties. This article breaks down what implied volatility and backwardation mean, why this reversal has appeared, what’s driving current market jitters, and how investors can interpret these signals. ### Understanding Implied Volatility and Backwardation Implied volatility (IV) reflects the market’s expectation of future volatility, derived from option prices. When traders anticipate larger swings in the market, they are willing to pay more for options, pushing IV higher. Term structure of volatility refers to how implied volatility changes for options with different expiration dates. Normally, IV increases with time to expiration—known as contango—because there is more uncertainty over a longer horizon. However, when near-term events are perceived as particularly risky, this relationship can invert. That’s called backwardation, and it signals that the market expects more volatility in the immediate future than further out. Currently, the S&P 500 options market is experiencing this rare backwardation, suggesting that traders see a short-term storm on the horizon. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1cad72f7-e2b3-802d-b753-ebafc18b3917.png&w=3840&q=75) ### The Numbers Behind the Anxiety Data from the options market show a dramatic spike in implied volatility for near-term expirations: * April 3, 2025 ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1c9d72f7-e2b3-800e-84bc-d3d57ac6377c.png&w=3840&q=75) * April 4, 2025 ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1c9d72f7-e2b3-803b-ae9b-cdfb0b4bdbef.png&w=3840&q=75) Even after removing the excess volatility related to these two key dates, the adjusted baseline implied volatility across expirations remains elevated—around 19%, compared to a year-to-date average of 16%. This suggests that the overall market tone remains cautious beyond just the immediate headlines. ### What's Driving Market Jitters? Several major factors are converging to elevate short-term volatility: * Geopolitical Tensions: Continued overseas hostilities and uncertainty surrounding U.S. trade policy have created a cloud of unease. Conflicting commentary on tariffs and foreign policy developments are fueling investor caution. * Macroeconomic Events: A wave of critical economic data and central bank communications is hitting the market this week. * Additional Fed Speakers: Several other Federal Reserve officials are scheduled to speak throughout the week, adding to uncertainty. The concentration of potential market-moving events in such a short span has significantly raised the stakes, and the options market is reflecting that tension. ### Bottom Line The S&P 500 options market is sending a clear message: traders are bracing for potentially large market moves over the next few days. With geopolitical tensions simmering, trade policy uncertainty lingering, and critical economic data and Fed commentary on deck, it's no surprise that implied volatility is spiking—particularly for April 3rd and 4th. Even after adjusting for these specific risks, the market remains more volatile than usual. For investors, this is a moment to assess your risk exposure, avoid knee-jerk decisions, and stay focused on long-term strategy while being prepared for short-term turbulence. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Additional SPX Volatility Detected Ahead of September 5th Jobs Data [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Thursday, September 4th 2025 Additional SPX Volatility Detected Ahead of September 5th Jobs Data =================================================================== Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports. Summary Implied volatility for SPX has increased by 92% ahead of significant labor market reports on September 5th, indicating an expected move of 0.66%. Key reports include Nonfarm Payrolls and the Unemployment Rate, which can impact interest rate expectations. This volatility spike aligns with historical trends during simultaneous high-tier macro events, providing traders with insights to adjust their strategies using ORATS tools. ORATS' volatility engine has flagged 92% more implied volatility than baseline expectations for Friday, September 5th. That translates to an expected move of 0.66% in the SPX—a significant bump relative to typical daily activity. Why the increase? As the chart below shows, September 5th is loaded with market-moving macro events, particularly around the 8:30 AM ET release window. The ORATS Macro Calendar highlights multiple high-importance economic prints due at that time, including: * Nonfarm Payrolls * Unemployment Rate * Participation Rate * U-6 Underemployment * Average Hourly Earnings (YoY and MoM) * Private and Government Payrolls These are all key labor market indicators—each of which can influence interest rate expectations and risk sentiment, particularly in a data-dependent Fed regime. It’s rare to see such a concentration of impactful data, which helps explain why options markets are pricing in above-average movement for SPX. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-8087-b518-de41c52c0a5e.png&w=3840&q=75) This type of implied volatility spike aligns with historical patterns: when multiple high-tier macro reports hit simultaneously, short-term IV tends to react well in advance. Traders can use this information to better assess risk and adjust strategies accordingly. ORATS tools, including the Macro Calendar, Historical Implied Move Graphs, and Strategy Optimizer, are built to help quantify and prepare for these elevated risk windows. — ORATS tracks implied volatility relative to baseline expectations using proprietary intraday models across the SPX term structure. The “Additional Volatility” measure isolates macro-driven impacts to help traders understand market pricing ahead of event clusters. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Significant Volatility Detected Ahead of Jackson Hole](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F255d72f7-e2b3-80b7-b937-ca457d2f16f3.png&w=3840&q=75)\ \ Significant Volatility Detected Ahead of Jackson Hole\ \ ORATS identifies 86% additional implied volatility for Friday's expiration](https://orats.com/blog/jackson-hole-fed-speech-volatility-preview-august-2025) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Significant Volatility Events for Next Week [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Sunday, February 23rd 2025 Significant Volatility Events for Next Week =========================================== Key Volatility Expirations: What Options Markets Are Pricing In Summary Traders should anticipate volatility spikes from upcoming macroeconomic events, with notable expirations showing significant implied volatility increases: +16% on February 24, +56% on February 27, and +106% on March 7, driven by key economic reports like GDP and Non-Farm Payrolls. Understanding these shifts helps optimize trading strategies. SPX options data near close Friday highlights notable volatility bumps for the following expirations: * February 24, 2025: +16% * February 27, 2025: +56% * March 7, 2025: +106% These represent elevated volatility levels compared to baseline implied volatility, suggesting that traders are pricing in potential market-moving catalysts. For example, for Monday the market expects the volatility for this day to be 16% higher than the base implied volatility. By tracking and recording these shifts over time, we can measure how macro events historically impact market expectations. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1a3d72f7-e2b3-809e-b0c0-cf6988b8cc0e.png&w=3840&q=75) Market-moving events create volatility spikes that traders need to anticipate. At ORATS, we analyze SPX options' implied volatility (IV) beyond zero-day expirations to identify the impact of upcoming macroeconomic events. By stripping out the noise from single-day price movements, we isolate additional volatility associated with key expirations and provide a rational baseline term structure for traders seeking a clearer picture of market expectations. ### ORATS Macro Calendar ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1a3d72f7-e2b3-80bc-abd1-cd1b5e7afc5e.png&w=3840&q=75) ORATS provides a Macro Calendar that tracks upcoming economic events and rates their expected impact on market conditions on a one-to-three-star scale. Events with three stars are expected to have the most significant effect. This dashboard helps traders correlate macroeconomic reports with options market expectations, identifying key dates where volatility is expected to spike. ### Macro Events Driving Volatility Spikes While February 24, 2025, currently lacks a major scheduled macro event, implied volatility suggests traders are positioning for the recent volatility markets have experienced to continue into Monday. The market expects the volatility for this day to be 16% higher than the base implied volatility. ### February 27, 2025: Macro Events and Expected Volatility This expiration aligns with several significant economic reports, historically known to influence market sentiment: ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1a5d72f7-e2b3-80ab-a566-fc70b4b8e2a0.png&w=3840&q=75) Compare these historical averages for Thursday with the current additional IV of 56% shown above. ### March 7, 2025: Major Market Catalysts With a +106% implied volatility bump, March 7 stands out as the most anticipated expiration. Key macroeconomic reports released that day include: ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1a5d72f7-e2b3-805d-b6e0-cf60dfcb82d8.png&w=3840&q=75) Compare these historical averages for a week from Friday with the current additional IV of 106% shown above. ### Why This Matters for Traders Understanding how macroeconomic releases influence implied volatility allows traders to find an edge by comparing current to historical moves, position for potential moves, and optimize risk-reward dynamics. ORATS’ historical tracking of these events offers deeper insights into how these volatility bumps compare to past occurrences, helping traders anticipate market reactions with data-driven confidence. Want to stay ahead of volatility shifts? ORATS delivers the data you need to trade with precision. ORATS provides a Macro Calendar that tracks upcoming economic events and rates their expected impact on market conditions on a one-to-three-star scale. Events with three stars are expected to have the most significant effect. This dashboard helps traders correlate macroeconomic reports with options market expectations, identifying key dates where volatility is expected to spike. Macro Events Driving Volatility Spikes While February 24, 2025, currently lacks a major scheduled macro event, implied volatility suggests traders are positioning for the recent volatility markets have experienced to continue into Monday. February 27, 2025: Macro Events and Expected Volatility This expiration aligns with several significant economic reports, historically known to influence market sentiment: Compare these historical averages for Thursday with the current additional IV of 56% shown above. March 7, 2025: Major Market Catalysts With a +106% implied volatility bump, March 7 stands out as the most anticipated expiration. Key macroeconomic reports released that day include: Compare these historical averages for a week from Friday with the current additional IV of 106% shown above. Why This Matters for Traders Understanding how macroeconomic releases influence implied volatility allows traders to find an edge by comparing current to historical moves, position for potential moves, and optimize risk-reward dynamics. ORATS’ historical tracking of these events offers deeper insights into how these volatility bumps compare to past occurrences, helping traders anticipate market reactions with data-driven confidence. Want to stay ahead of volatility shifts? ORATS delivers the data you need to trade with precision. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # S&P 500 Implied Volatility Backwardation Reflects Near-Term Event Risks [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Thursday, March 27th 2025 S&P 500 Implied Volatility Backwardation Reflects Near-Term Event Risks ======================================================================= Volatility Curve Inversion Points to Caution Around Key Macro Dates Summary The S&P 500 options market is experiencing backwardation, indicating heightened short-term anxiety due to political uncertainty and upcoming macroeconomic events. Significant implied volatility spikes are noted for March 31 and April 4, driven by key labor market data and potential political risks, suggesting traders are hedging against possible volatility shocks. The S&P 500 options market is currently reflecting heightened short-term anxiety, as seen through a rare condition known as backwardation in the implied volatility term structure. In this state, near-term option expirations exhibit higher implied volatility than those further out indicating that traders are bracing for market-moving developments in the immediate future. This inversion of the usual volatility curve is driven by a combination of political uncertainty and key macroeconomic events on the horizon. Recent geopolitical commentary, particularly surrounding U.S. trade policy, has fueled investor caution, while upcoming data releases are also contributing to the sense of urgency. As a result, traders are paying a premium for near-term protection in the form of options, elevating short-dated implied volatility. ### Elevated Volatility for March 31 and April 4 The included chart, titled “S&P 500 Additional Volatility for Upcoming Macro Events,” illustrates the current structure of implied volatility across the next twelve SPX option expirations. The blue line shows actual implied volatility, while the dashed red line reflects a smoothed baseline with macro event-driven volatility removed. The shaded orange regions represent the additional volatility premium being priced in due to event-specific risk. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1c3d72f7-e2b3-80a0-ad01-fad3d3028193.png&w=3840&q=75) Two dates stand out in particular: March 31 and April 4, which both show significant bumps in implied volatility above the base level. This indicates that options traders are pricing in unusually large expected moves around these expirations. April 4 corresponds with the release of key labor market data, including the U.S. unemployment rate and non-farm payrolls—economic indicators known for their potential to drive broad market shifts. Given their impact on Federal Reserve policy expectations and investor sentiment, it’s not surprising to see a substantial volatility premium for this date. More curious, however, is the elevated implied volatility for Monday, March 31, a date with relatively few scheduled economic releases. The only major item on the calendar is the Chicago PMI report, which historically has limited market impact. The market’s heightened caution here likely reflects broader political risk, particularly the potential for unexpected developments over the weekend, or other unscheduled headlines that could influence Monday’s market open. ### Backwardation Signals Near-Term Risk Premium Under typical conditions, implied volatility tends to rise with expiration length, a structure known as contango. This reflects the notion that uncertainty generally increases over longer time horizons. However, in periods of concentrated short-term risk, that structure can flip. This current backwardation suggests traders believe near-term events—particularly those in the coming week—carry greater uncertainty than those further out. This dynamic often arises around periods of macroeconomic releases, political transitions, or geopolitical developments. ### Market Assigns Selective Risk to Events While March 31 and April 4 are seeing outsized implied volatility premiums, other scheduled events appear to be having less of an impact on the curve. For example, Tuesday’s ISM Manufacturing PMI and Thursday’s jobless claims reports are not significantly altering the implied volatility skew. This indicates that the market views these events as lower risk, or at least more predictable in their outcomes. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1c3d72f7-e2b3-80db-af9d-c5e1b091327f.png&w=3840&q=75) In contrast, the employment data on April 4 remains a major focus due to its influence on broader economic narratives and policy direction. The pricing behavior suggests traders are not only expecting a meaningful move on that day but also seeking to hedge against the possibility of a surprise. ### Looking Ahead The elevated implied volatility at the front of the curve reflects a market in defensive posture. Once the key events—particularly the April 4 employment report—have passed, the term structure may normalize if outcomes align with expectations. Until then, the options market is a clear signal of investor caution. The significant premiums being paid for protection on March 31 and April 4 point to a near-term environment where headline risk dominates and market participants are actively hedging potential volatility shocks. This behavior underscores the importance of monitoring implied volatility structures—not just for directional cues, but for insights into how the market is pricing risk and timing around major macroeconomic and political developments. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Major Volatility Event on March 7th: What Options Markets Are Pricing In [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Wednesday, March 5th 2025 Major Volatility Event on March 7th: What Options Markets Are Pricing In ======================================================================== Tracking Market-Moving Macro Events: How Options Pricing Reveals Upcoming Volatility Shifts Summary March 7th is expected to see a significant volatility spike in SPX options, with a 54% implied volatility increase due to high-impact economic reports. Traders should monitor options pricing closely as macroeconomic releases influence market expectations and trading opportunities. Options traders tracking implied volatility shifts know that macroeconomic releases drive market expectations well before the numbers hit. March 7th stands out as a key event-driven expiration, with SPX options pricing in a 54% implied volatility increase—one of the most significant expected moves in recent weeks. With the current high volatility situation in the market, traders are already pricing in major moves. The bump in the implied volatility term structure for Friday the 7th indicates even more volatility on the horizon. At ORATS, we analyze SPX options’ implied volatility (IV) across multiple expirations beyond zero-day options, filtering out short-term fluctuations to isolate the true impact of macroeconomic events. Our methodology provides traders with a rational baseline term structure while highlighting additional volatility pricing ahead of key economic releases. ### What’s Driving the March 7th Volatility Spike? ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1add72f7-e2b3-80ad-9fba-e8476b2079ec.png&w=3840&q=75) SPX options market makers are positioning for significant moves tied to high-impact economic reports. Based on our analysis, the following releases have historically caused notable IV shifts. ### ORATS Macro Calendar ORATS provides a Macro Calendar that tracks upcoming economic events and displays them against historical averages for implied macro move (IMM) and ORATS calculated one day historical volatility (orHv1d). ORATS uses a modified Parkinson historical volatility calculation that allows a one day reading, as opposed to close to close measurements that require more days. This dashboard helps traders correlate macro releases with options market expectations, identifying key dates where volatility spikes are expected. March 7, 2025: High-Impact Macro Events ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1add72f7-e2b3-80e9-93ed-e6f72eac719d.png&w=3840&q=75) Traders should compare these historical volatility averages to the current additional IV of 54% priced in for this expiration. ### Why This Matters for Traders Traders who understand how macroeconomic reports influence implied volatility can identify trading opportunities, hedge risk, and position for potential market moves. With March 7th shaping up as a high-impact volatility session, traders should be closely monitoring how options pricing evolves leading up to these economic releases. Want to stay ahead of volatility shifts? ORATS delivers the data you need to trade with precision. Read more: [https://orats.com/blog/significant-volatility-events-for-next-week](https://orats.com/blog/significant-volatility-events-for-next-week) Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Nvidia Earnings: Options Market Expectations vs. Reality [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Tuesday, November 19th 2024 Nvidia Earnings: Options Market Expectations vs. Reality ======================================================== Nvidia Earnings: Will This Quarter Deliver Another Big Surprise for Shareholders? Summary As Nvidia prepares for its earnings report on November 20th, the options market indicates heightened expectations, with an implied move of 7.9%, reflecting increased trader anticipation. Historically, Nvidia's earnings have often fallen short of market expectations, but when they exceed them, the stock price typically surges. The current options pricing suggests a potential high-impact event, especially given Nvidia's significant role in sectors like AI and gaming. Traders are cautious due to past trends but remain hopeful for another positive surprise that could influence broader market sentiment. As Nvidia Corporation gears up for its earnings report after the close on November 20th, all eyes are on the options market to gauge expectations for one of the most closely watched stocks in the tech sector. Historically, Nvidia’s earnings moves have often undershot what the options market anticipated. However, when the company does deliver a larger-than-expected move, it has consistently been good news for shareholders, providing a lucrative reward for bullish investors. “Of the last twelve quarterly earnings, five earnings moves have been outside what the market expected. Of those, all have been up moves for the stock price,” said ORATS Principal Matt Amberson. This quarter, Nvidia’s options pricing is reflecting heightened anticipation. With the stock price up 2.8% today to $144, the implied move currently sits at 7.9%. This is down from 8.6% at the open today, up from 8.3% earlier this week and an average of 7.9% last week. This marks a noticeable increase in traders’ expectations as the earnings date approaches, with the implied move exceeding Nvidia’s historical implied average of 8.0%. Interestingly, this figure also aligns closely with the stock’s historical actual move of 8.4%, suggesting that the market is pricing in a potential high-impact event. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F143d72f7-e2b3-8069-8db5-e80c5c94987b.png&w=3840&q=75) Nvidia’s track record of underwhelming relative to implied moves is a reminder of the challenges of predicting earnings reactions. Yet, the exceptions to this pattern are where the opportunities lie. In five of the last twelve quarters, Nvidia’s actual post-earnings price movement exceeded what the market had priced in. In every one of these cases, the stock saw a significant upward surge, reinforcing the stock’s potential to reward investors who anticipate positive surprises. These outsized moves typically coincide with moments of significant market re-evaluation, often tied to Nvidia’s dominance in sectors like artificial intelligence, gaming, and data centers. As Nvidia continues positioning itself as a leader in the AI revolution, traders may see this earnings report as a key indicator of how well the company can meet growing expectations and maintain its growth trajectory. Nvidia’s outsized influence on broader tech sentiment also amplifies the stakes of this earnings report. The stage is set for significant market activity, with options traders pricing in a larger-than-average move. [As Reuters recently highlighted](https://www.reuters.com/technology/nvidias-options-primed-300-billion-price-swing-after-earnings-2024-11-19/) , Nvidia’s options are “primed for a $300 billion price swing,” a testament to the weight the company carries in the technology sector and the broader market. For traders, Nvidia’s historical tendency to undershoot implied moves may suggest caution, but the record of upward surprises in high-impact quarters cannot be ignored. The current pricing of options reflects a growing sense of anticipation that this quarter could deliver another defining moment for the company—and the market. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Amazon Earnings: ORATS Data Signals Higher-Than-Priced Volatility Risk [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Wednesday, February 5th 2025 Amazon Earnings: ORATS Data Signals Higher-Than-Priced Volatility Risk ====================================================================== With implied volatility rising and traders positioning aggressively, ORATS data reveals key insights ahead of Amazon’s earnings report Summary No summary is available for this article. Amazon (AMZN) reports earnings after the close on Thursday, February 6, 2025, and ORATS data signals a market on edge. With implied volatility rising and a history of earnings moves exceeding market expectations, options traders are positioning for potential surprises. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F191d72f7-e2b3-8081-85c1-e1032fccfb74.png&w=3840&q=75) AMZN’s implied earnings move is 6.3%, while its historical average move is 8.1%, suggesting that the market may be underestimating potential volatility. Notable past earnings reactions include: * Feb 2022: +13.5% * Apr 2022: -14.0% * Aug 2024: -8.8% This pattern indicates a tendency for larger-than-expected swings. If this trend holds, actual post-earnings movement could exceed what’s currently priced in. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F191d72f7-e2b3-803a-b615-ea9347a1d918.png&w=3840&q=75) Beyond technicals, several market factors could influence AMZN’s reaction post-earnings: * AWS Growth: Forecasted 19–20% YoY revenue growth, with AI-driven demand a key driver. * Tariff Resilience: Amazon’s automation could help mitigate cost pressures better than competitors. * Consensus Estimates: EPS expected at $1.48 on $187.23B revenue, a 48.45% YoY earnings increase. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Tesla Earnings: Too Calm Before the Potential Storm? [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Tuesday, October 22nd 2024 Tesla Earnings: Too Calm Before the Potential Storm? ==================================================== Political Headwinds and Regulatory Uncertainty Add Complexity to Tesla’s Earnings Ahead of October 23rd Report Summary Tesla's upcoming earnings report is influenced by low expected market volatility, political headwinds, and regulatory uncertainties. Despite an expected earnings move of 6.2%, below its average, Tesla's history of exceeding expectations suggests potential surprises. Elon Musk's political endorsements and the 2024 election could impact investor sentiment, especially among those focused on ESG factors. Regulatory changes and public perception of Musk may also affect Tesla's brand and sales, highlighting the importance of the political context alongside financial performance. With Tesla's earnings announcement just a day away, investors are closely monitoring the market's pricing. According to ORATS data, Tesla's expected move for this quarter’s earnings announcement is the lowest since October 2021. Does this suggest a quiet reaction, or is the market underestimating the potential volatility? The expected earnings move is derived from the straddle price—a combination of a call and a put option expiring immediately after the earnings event. By removing the residual value of the straddle after the event but before expiration and dividing that by the stock price, ORATS estimates the percentage move the market expects. For Tesla, that number is 6.2%, below its 12-quarter average of 7.3%. Historically, however, Tesla has been no stranger to bigger swings. Over the last twelve quarters, Tesla's actual earnings moves averaged 9.2%, consistently exceeding the implied moves. This indicates that while investors expect muted action this time, Tesla has a track record of delivering surprises. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F127d72f7-e2b3-8076-a713-f8da4d058219.png&w=3840&q=75) One major factor influencing Tesla's current stock price might not be earnings—it could be the political climate. Elon Musk, Tesla's outspoken founder, has made waves by publicly endorsing Donald Trump ahead of the 2024 presidential election, which is just two weeks away. Musk's ongoing Twitter/X feuds and his pointed criticism of the Biden administration's policies have placed him in the crosshairs of investors who prioritize environmental, social, and governance (ESG) factors. For many institutional investors focused on ESG, Musk's political leanings and public statements could present a dilemma. As the CEO of one of the world's most influential electric vehicle companies, Musk's support of Trump—who has frequently questioned climate change policies—may alienate investors that favor green initiatives and long-term sustainability. Once viewed as the flagship for eco-conscious investing, Tesla may now be perceived through a more complicated lens. The 2024 election also looms large over the future of the electric vehicle industry. Depending on the outcome, policy changes—such as adjustments to tax credits for electric vehicles or shifts in infrastructure investments—could either boost or hinder Tesla's growth. A more conservative administration could roll back support for clean energy initiatives, while a progressive victory might further incentivize electric vehicle adoption through subsidies and infrastructure investments. In addition, regulatory changes could directly impact Tesla's operations. Potential adjustments to autonomous driving regulations, battery recycling mandates, and environmental standards are all on the horizon. As a company that operates at the forefront of these technologies, any shifts in the regulatory environment could lead to increased costs or new opportunities. Beyond the institutional level, public opinion of Elon Musk has been a topic of fierce debate. His political stances, controversial statements, and high-profile feuds may alter how the broader public views Tesla's brand. While some consumers admire Musk's bold approach, others may be turned off by his increasingly polarizing persona. Public perception plays a significant role in consumer sentiment, which can influence sales—and, by extension, stock price. For Tesla, any decline in brand loyalty or consumer goodwill could affect demand for its vehicles, making this political context even more critical. With earnings dropping after the bell on October 22nd, the question remains: Will Tesla maintain this pattern of bigger-than-expected post-earnings movements, or is the market accurately predicting a more subdued response this time? Political headwinds and Tesla's ongoing evolution from a niche electric vehicle manufacturer to a broader technology and energy company may lead to more tempered reactions in the stock. However, with a company as unpredictable as Tesla—and a founder as polarizing as Musk—one thing remains certain: volatility is never far away. Tesla's upcoming earnings report faces a confluence of factors beyond financial performance. While analyst estimates and implied moves are a good starting point, investors must also weigh the broader political landscape, regulatory risks, and evolving public opinion. As the 2024 election draws closer, policy changes regarding tax credits, autonomous driving, and environmental regulations could all significantly shape Tesla's future. This time, it may not just be the company's earnings that move the stock, but the political forces surrounding it. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Will Meta Surprise Again? ORATS Data Shows Traders Are Bracing for Volatility [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Tuesday, January 28th 2025 Will Meta Surprise Again? ORATS Data Shows Traders Are Bracing for Volatility ============================================================================= Meta’s implied earnings move is significantly lower than historical volatility—are options traders overlooking a potential breakout? ORATS data reveals key positioning trends ahead of the report Summary Meta's upcoming earnings report is anticipated to show a 17% YoY revenue increase, but the implied volatility of 6.8% is significantly lower than the historical average of 13.2%. Traders are positioning bullishly, indicating potential for a larger-than-expected price swing post-earnings. Meta (META) is set to announce earnings after the close on Wednesday, January 29, 2025, and the ORATS dashboard is revealing some intriguing pre-earnings trends. With traders positioning aggressively in options, implied volatility ticking up, and a history of explosive earnings moves, there’s plenty for options traders to dissect. ### Implied vs. Actual Move: A Major Discrepancy The ORATS dashboard is showing that the implied move of 6.8% is well below META’s average actual earnings move of 13.2% over the last 12 quarters. That’s a meaningful gap, especially considering the stock has seen four separate moves over 20% in the past three years of earnings reports. META has seen four separate earnings-related moves exceeding 20% in just the past three years, making the current implied move of 6.8% look historically low. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F189d72f7-e2b3-8031-8ea9-f85078db2070.png&w=3840&q=75) This suggests that options pricing may be underestimating the potential for volatility, creating opportunities for traders looking to position for a larger-than-expected swing. ### Big Trades: Long Delta, Long Premium, and Profitable Today’s largest trades indicate that traders are very long delta and long premium, suggesting a strong bullish bias heading into earnings. The stock is already up +2.61% on the day, and implied volatility is also on the rise—both favorable conditions for these positions. * Net Notional Delta: +327.8 million * Total Premium Bought: $140.4 million * Total Premium Sold: $24.4 million * Total Profit: $2.2 million ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F189d72f7-e2b3-800c-96c7-c9a650b0ef10.png&w=3840&q=75) The combination of long options positioning and rising implied volatility suggests that traders could be setting up for a post-earnings continuation move rather than simply hedging. With both price and IV rising, traders who positioned early in long options premium are seeing gains, a sign of potential bullish continuation. ### Earnings Expectations: A 17% YoY Revenue Jump Meta’s earnings report is expected to show a 17% year-over-year increase in advertising revenue, bringing it to $45.43 billion. Analysts also project earnings per share (EPS) to rise 29% YoY to $6.90. Key factors influencing the upcoming report: * Ad spending trends: A rebound in digital ad demand could fuel stronger-than-expected growth. * User engagement: Meta’s ability to drive ad impressions across platforms like Instagram and Reels remains critical. * Privacy policy changes: Any updates on data-tracking policies could impact future revenue forecasts. ### Takeaway: Is the Market Underpricing Risk? With traders going long delta, volatility creeping up, and historical moves nearly double the current implied move, the ORATS dashboard suggests that options pricing may be too complacent about potential earnings volatility. For traders looking to structure pre-earnings positions, historical patterns suggest there could be value in long-volatility strategies. Stay tuned for post-earnings analysis as we break down the results and how they compare to market expectations. Want to track real-time pre-earnings trends like this? Start analyzing earnings moves like a pro—access [ORATS’ real-time dashboard now](https://orats-site-nextjs-git-development-orats.vercel.app/) . Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Implied Moves Ahead of the 2024 Election: What Markets Are Telling Us [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Monday, October 28th 2024 Implied Moves Ahead of the 2024 Election: What Markets Are Telling Us ===================================================================== As the Election Approaches, Markets Are Sending Signals—Are You Paying Attention? Summary As the 2024 election approaches, financial markets indicate reduced volatility expectations across major segments like gold, energy, and the S&P 500, with implied moves dropping significantly since August. Gold has seen a 42.3% decrease, while energy and the S&P 500 have dropped by 38.9% and 40%, respectively. However, sectors like defense and technology exhibit mixed trends, with defense showing the least decline at 15.4%, reflecting ongoing uncertainty. Overall, the data suggests that the market is not overly concerned about dramatic election-related shifts, although certain sectors remain vulnerable to government policy impacts. By Matt Amberson, Founder & Principal at ORATS As we near the 2024 election, financial markets are giving us important signals about how traders and investors are preparing for potential volatility. While ORATS specializes in analyzing implied moves for corporate events like earnings announcements, the same principles can help us observe changes in implied volatility across different sectors as we approach the election. At ORATS, we calculate implied moves by analyzing the term structure of implied volatility and the value of the at-the-money straddles, around the event, in this case the US election on November 5th. We can show what the implied move that options investors were expecting, and we can show a trend historically. Let's examine the latest data on implied moves across key market segments and sectors and see what the numbers tell us about market expectations as the election draws closer. Economic Segments: The Market's Broader Outlook The chart for economic segments—including the S&P 500 (SPX), Energy (XLE), Gold (GLD), and the 10-Year Bond Fund (TLT)—shows consistent declines in implied moves since August. This indicates that market participants expect less volatility in these areas as we approach the election. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F12dd72f7-e2b3-808e-bd9c-c0285c8e5ba2.png&w=3840&q=75) Key Insights: * Gold (GLD): Implied moves have dropped 42.3% since August, the most of any segment. This suggests that investors feel less concerned about large-scale economic disruptions and have a stable outlook for gold. * Energy (XLE): Implied moves in energy have decreased by 38.9% in the last 90 days, signaling that traders expect relative stability in energy markets. * S&P 500 (SPX): The S&P 500's implied move has fallen by 40% since August first, reflecting broader market expectations of less overall volatility in the short term. * 10-Year Bond Fund (TLT): Bond market volatility has dropped by 23.1% in the past three months, showing relative consistency in the face of interest rate adjustments. Sector-Specific Trends: Election-Driven Uncertainty in Key Areas Turning to specific sectors, we see mixed trends in Technology (XLK), Defense (ITA), and Healthcare (XLV). These sectors show different levels of volatility heading into the election. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F12dd72f7-e2b3-8097-a035-e950d3ee4a2b.png&w=3840&q=75) Key Insights: * Defense (ITA): Implied moves have dropped the least of any sector or segment by only 15.4%, indicating ongoing uncertainty in defense spending based on potential election outcomes. * Technology (XLK): Implied moves have declined by 35.9% since August but recently ticked up. * Healthcare (XLV): Implied moves have dropped by 38.5% over the past three months. What the Data Tells Us So Far When comparing now versus August 1st: * Gold (GLD) and Energy (XLE) have seen significant the largest decreases in implied moves, indicating less uncertainty that existed three months ago. * Technology (XLK) shows some uncertainty tied to regulation, while defense stocks (ITA) remain more volatile, reflecting the unknowns around future government effects on these sectors. Conclusion: What the Implied Moves Say About the Election Implied moves across sectors suggest that the market isn't overly concerned about dramatic shifts related to the election—at least for now. Key economic segments like gold, energy, and the broader stock market are showing less uncertainty, with defense and technology being the exceptions. These sectors remain uncertain, as their futures are closely tied to government policy decisions. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS Analysis: Is Netflix About to Surprise Again? Why Investors May Be Underestimating Earnings Volatility [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Thursday, October 17th 2024 ORATS Analysis: Is Netflix About to Surprise Again? Why Investors May Be Underestimating Earnings Volatility ============================================================================================================ With Netflix's implied move lower than historical averages, could investors be underestimating the potential for a significant post-earnings swing? ORATS dives into the data and historical patterns to explore what might happen next. Summary As Netflix approaches its Q3 earnings report, the implied earnings move is 7.4%, indicating limited market expectations. However, historical data shows Netflix often exceeds these implied moves, particularly after periods of modest reactions. Past examples highlight that after smaller moves, larger surprises can occur, suggesting the market may be underestimating potential volatility. Traders should remain cautious, as Netflix's earnings history indicates a high risk for significant post-earnings swings despite the conservative implied move. As Netflix approaches its Q3 earnings report after the market closes today, options market data indicates a relatively modest move. The current implied earnings move—derived from straddle prices—is 7.4%, signaling that investors are expecting a limited reaction. However, based on historical data, Netflix has a pattern of delivering larger-than-anticipated moves, and there is potential for the stock to deviate from this conservative expectation. Implied Move vs. Historical Reality Netflix has a history of exceeding implied moves, particularly after periods of modest earnings reactions. Speaking of modest reactions, the last earnings report delivered a much smaller actual move of \-1.5% than the implied move of 8.4%. This meager reaction likely explains why the implied move for today's earnings is 7.4%, well below the average absolute earnings move of 11.4% for the past 12 quarterly earnings announcements. However, key historical examples suggest the market could be underpricing the potential for volatility. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F122d72f7-e2b3-8064-917e-c2d389a2b884.png&w=3840&q=75) * In October 2021, Netflix moved just 2.2%, far below the implied move of 5.6%. The following quarter, however, Netflix delivered a significant 21.8% move in January 2022, exceeding the implied move of 7.4% by a large margin. * A similar pattern occurred in April 2023, where Netflix's actual move was 3.2%, compared to an implied move of 8.4%. In the subsequent quarter, the stock moved close to expectations. These examples illustrate that Netflix has a history of unpredictability around earnings, particularly following quarters with lower-than-expected moves. While the implied move for today suggests a more minor reaction, historical data indicates that Netflix may surprise the market with a more significant swing. How We Calculate the Expected Move ORATS uses the straddle of the strike closest to the stock price for the first expiration after earnings. With NFLX near $695, that strike is used, and with earnings tonight, the closest expiration after earnings is Oct 18th. The straddle call price plus the put option price is $51.80 or 7.5%. The straddle calculation has a residual value depending on how many days are left after expiration, in this case, one day, and where the IV is expected to fall. This trims off a little from the raw straddle price to get the earnings move attributable to the earnings announcement. Historical Volatility and Earnings Risk While the market has priced in a 7.4% move for today's earnings, Netflix has consistently shown a higher average move of 11.4% following earnings announcements. Historically, Netflix has been a riskier stock during earnings season, and the current implied move may be underestimating that risk. After quarters where Netflix has had smaller moves—like in October 2021 and April 2023—the subsequent earnings reports tended to deliver larger-than-expected moves, as seen in January 2022's 21.8% move. For traders, it's essential to recognize that while recent moves have been more subdued, Netflix remains a stock that can produce significant post-earnings surprises. This historical behavior makes it a potentially volatile asset around earnings, even when the implied move appears conservative. Conclusion As Netflix prepares to report earnings today, the implied move of 7.4% is lower than the stock's historical average, likely due to the more minor move in the last quarter. However, Netflix's past performance suggests that it has the potential to deliver larger moves than currently anticipated by the market. Historical data shows that Netflix has surprised with significant volatility after periods of muted earnings reactions, and this trend may repeat itself. Traders should be aware that while the market has priced in a conservative move, the risk of a larger swing remains high, based on Netflix's earnings history. Careful consideration of both the implied move and historical performance is vital to understanding the potential risks and rewards as Netflix announces its earnings today. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # The Overlooked Macro Event: Why CPI is Crucial for Zero-Week (0WTE) Traders [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Wednesday, October 9th 2024 The Overlooked Macro Event: Why CPI is Crucial for Zero-Week (0WTE) Traders =========================================================================== Short Term Options & CPI: Prepare for Market Mayhem with Implied Volatility Summary The upcoming Consumer Price Index (CPI) announcement is crucial for zero-weeks-to-expiration (0WTE) traders, as the options market anticipates a significant 0.9% market move. Elevated implied volatility indicates heightened uncertainty and potential for sharp market movements following the CPI release. Traders should prepare strategically, considering options strategies like straddles or vertical spreads to capitalize on the expected volatility. Understanding macroeconomic events like the CPI is essential for informed trading decisions and navigating market dynamics effectively. By Matt Amberson, Founder & Principal at ORATS Tomorrow’s Consumer Price Index (CPI) announcement is a significant event that traders, particularly those who trade zero-weeks-to-expiration (0WTE), should factor into their trading. With the CPI release scheduled for tomorrow morning at 8 a.m. ET, the options market is signaling a potential 0.9% move—a movement traders cannot afford to ignore. Zero-days-to-expiration (0DTE) traders do not feel the effects of pre-market announcements that the 0WTE do. However, these traders still should know about these announcements even though when trading starts on the current day, most of the move has already happened. There is still a period in the opening period when the market has not fully digested the ramifications of the report. This article explores why the CPI is important, how the options market is preparing for it, and why understanding this macroeconomic event is crucial for 0WTE traders. Options market data for SPY, the SPDR S&P 500 ETF Trust, shows a notable increase in implied volatility (IV) for the October 10th, 2024 expiration. The chart illustrates that implied volatility for this expiration is significantly elevated compared to later months, indicating heightened uncertainty in the market or expectations of substantial movement following the CPI release. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F11ad72f7-e2b3-8080-abea-c286cfb363a1.png&w=3840&q=75) The chart highlights several key insights: * Elevated Implied Volatility: The implied volatility for the October 10th expiration is considerably higher, signaling that traders expect significant movement in the underlying ETF. * Short-Term Market Expectation: The spike in IV suggests that traders anticipate a notable move, estimated at around 0.9%, immediately after the CPI release. For 0WTE traders whose positions expire at the end of the trading week, macroeconomic events like the CPI release are crucial. Such reports can create sudden and sharp movements in underlying assets, which can lead to either profitable opportunities or substantial losses depending on positioning. The CPI, as a key indicator of inflation, directly influences investor sentiment and can trigger rapid market adjustments. Ignoring macroeconomic events like the CPI can mean missed opportunities or exposure to unexpected risks for 0DTE traders. With the current data showing an anticipated 0.9% move, traders need to be prepared and strategically position themselves accordingly. For 0DTE traders in the opening part of the day, the market can swing more violently than expected as participants assess the effects of the earlier macro announcement. This can present opportunities with residually high IV, but also risks of large market moves. Regardless, the trader needs to be aware that the report happened, the prior implied move for the event (here a significant 0.9%), and the IV where the market should settle once the information has been digested. The chart provides crucial insights into how traders are positioning themselves ahead of the CPI release. The visual annotations emphasize: * High Implied Volatility Range: The shaded area in the chart clearly indicates the difference between short-term IV and implied volatility for later expirations. The focus on the immediate expiration suggests traders are concentrating their bets on a significant market reaction following the CPI release. The longer-term IVs are the spot where the short-term IVs should settle. * Market Anticipation: The increased IV range and higher open interest for the near-term expiration indicate that traders are actively positioning themselves for an anticipated spike in volatility, likely caused by the CPI results. Tomorrow's CPI announcement is a pivotal macroeconomic event that options traders—especially 0WTE and traders—cannot afford to ignore. The options market has already priced in a significant move, with the implied volatility for the October 10th expiration pointing to a 0.9% market shift. Traders should consider employing strategies such as straddles, iron condor adjustments, or vertical spreads to take advantage of the heightened volatility, based on their risk tolerance and market outlook. Understanding and preparing for macroeconomic events like the CPI allows traders to make informed decisions and capitalize on opportunities. By aligning their strategies with these macro catalysts, traders can better navigate market dynamics and position themselves for success in an ever-evolving trading landscape. — Matt started ORATS.com in 2001 and has served thousands of clients in his two decades at the helm. Before ORATS, Matt worked as a market maker on the floor of the CBOE. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Options Traders' High Expectations Blown Away by Micron's Earnings Move [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Thursday, September 26th 2024 Options Traders' High Expectations Blown Away by Micron's Earnings Move ======================================================================= Ahead of Micron Technology’s (MU) earnings announcement, options traders were preparing for a significant price move. With implied volatility suggesting a 9.5% jump, traders braced for one of the largest earnings-driven shifts of the year. However, even these high expectations were shattered as the move exceeded 16%, surprising traders and scrambling to adjust their positions. Summary Micron’s September earnings blew past already elevated market expectations, delivering a 16% move that exceeded the predicted 9.5%. For traders who were prepared for the upside, the rewards were enormous, but the surprise outcome served as a reminder of the unpredictable nature of earnings season and the risks that come with it. Ahead of Micron Technology’s (MU) earnings announcement, options traders were preparing for a significant price move. With implied volatility suggesting a 9.5% jump, traders braced for one of the largest earnings-driven shifts of the year. However, even these high expectations were shattered as the move exceeded 16%, surprising traders and scrambling to adjust their positions. Expectations vs. Reality Options traders were already expecting Micron’s earnings to trigger a larger-than-usual shift in stock price. The implied move of 9.5% dwarfed the historical 12-quarter average of 5.7%, and the average implied move from options prices of 7.1%. But when the earnings hit, Micron’s stock soared by over 16%, blowing past even the heightened expectations set by the options market. This massive move left many traders scrambling, especially those positioned based on the 9.5% expectation. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F10dd72f7-e2b3-806c-9b67-f36ca30f72c4.png&w=3840&q=75) Traders Positioned for Upside In the day before the earnings report, trading activity leaned heavily toward long deltas, meaning traders were betting on an upward move in the stock price. They also paid higher premiums, expecting a significant upside after Micron’s earnings. One of the largest trades made was a December out-of-the-money call option with a strike price of $120. This trade was executed at $2.95 per contract, with a total trade value of $3.2 million. The bet paid off massively: with Micron’s stock soaring, the value of those calls shot up to $7.40, resulting in a nearly $5 million profit. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F10dd72f7-e2b3-8003-a8e0-cecda135abe0.png&w=3840&q=75) An Echo from March 2024 Interestingly, this isn’t the first time Micron has blown past expectations. In March 2024, traders expected a 9.9% move following earnings, only to see the stock climb by 14.1%. Like today’s earnings surprise, Micron delivered more than expected, continuing a pattern of unpredictable earnings-driven price action. Key Takeaways for Options Traders Micron’s latest earnings performance serves as a potent reminder for options traders: even elevated implied volatility doesn’t always capture the true potential of an earnings-driven move. Here’s what traders can learn from this: * Implied Volatility Isn’t Always Accurate: The implied move of 9.5% was already high, yet Micron’s actual move was much larger, showing that even significant implied volatility may underestimate the true risk. * Long OTM Deltas Paid Off: Traders who were long cheap out of the money call deltas expecting the stock to rise were rewarded handsomely, particularly those who bought call options ahead of the earnings report. * Leverage Can Lead to Massive Gains (and Losses): The $3.2 million call position that turned into a nearly $5 million profit is a prime example of how options traders can make substantial gains in volatile situations—but also how quickly the tide can turn for those on the wrong side of the move. Conclusion Micron’s September earnings blew past already elevated market expectations, delivering a 16% move that exceeded the predicted 9.5%. For traders who were prepared for the upside, the rewards were enormous, but the surprise outcome served as a reminder of the unpredictable nature of earnings season and the risks that come with it. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? 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Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Large Moves Expected for Friday’s Unemployment Report [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Thursday, October 3rd 2024 Large Moves Expected for Friday’s Unemployment Report ===================================================== The October 4th unemployment report is set to be the most critical data point for market movement, impacting everything from Federal Reserve policy to investor sentiment. With jobless claims setting the stage, we’ll track the market’s reaction to this key figure and analyze the implied moves that follow. Summary The upcoming U.S. unemployment report is anticipated to significantly impact market movements, influencing Federal Reserve policy and investor sentiment. Traders are preparing for volatility, with expected moves of 1.0% for SPY, 1.2% for QQQ, and 1.7% for IWM. The report's outcome will guide perceptions of economic growth and inflation, making it a critical focus for market participants. Elevated implied volatility and increased options volume indicate a strong market reaction is expected following the announcement. Tomorrow, the market will focus on the release of the U.S. unemployment report, arguably the most crucial economic data point in the near term. The anticipation surrounding this report is reflected in the options market, signaling heightened volatility as traders brace for the announcement. While international events have made headlines, this unemployment number remains the key to shaping market sentiment and guiding Federal Reserve policy. The unemployment number provides: * Critical insights into the state of the U.S. labor market. * Serving as an indicator for future economic growth. * Inflation trends. * Potential monetary actions by the Fed. As such, traders are already positioning themselves for what could be a significant move in the market following the release. In an environment where inflation concerns continue to weigh heavily on investors' minds, unemployment is one of the most influential metrics in determining the Federal Reserve's next steps. A higher-than-expected unemployment rate may signal that the economy is slowing, reducing the likelihood of further rate hikes. On the other hand, a lower unemployment number could reignite inflation fears and lead to tighter monetary policy. Given the centrality of this report, traders have been adjusting their positions accordingly. As we reported to [The Wall Street Journal](https://www.wsj.com/livecoverage/jobs-report-today-stock-market-dow-sp500-nasdaq-10-04-2024/card/will-the-jobs-report-stoke-stock-market-fireworks--rVFcoJqKq84P0Umr6aCE) , SPY is currently pricing in a 1.0% move for tomorrow, a slight reduction from the 1.1% move expected two days ago. The other major ETFs, QQQ and IWM, show expected moves of 1.2% and 1.7%, respectively, as traders prepare for the report's impact on the tech and small-cap sectors. While these expected moves are slightly lower than earlier in the week, the market's focus on the unemployment data remains clear. The implied volatility for October 4th options is still elevated compared to other expirations, signaling the importance of this data release. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F114d72f7-e2b3-8005-af37-f116eee43276.png&w=3840&q=75) The options market provides a direct window into trader sentiment ahead of major events like the unemployment report. By analyzing implied volatility and expected moves, we can gain insights into traders' positioning for the upcoming announcement. At ORATS, we use straddle pricing to calculate an event's expected move. We begin by determining the price of a long straddle, which involves buying both a call and a put option at the same strike price for the expiration immediately following the event (in this case, October 4th). This straddle price reflects the market's overall expectation for volatility. Next, we estimate the residual value of the straddle after the unemployment announcement using a custom distribution model we've developed specifically for event-driven data like this. The difference between the original straddle price and its post-announcement value gives us the expected move—in this case, 1.0% for SPY. This represents how much the market anticipates SPY could move once the unemployment data is released. ETF Expected Move After Unemployment SPY 1.0% QQQ 1.2% IWM 1.7% As shown in the table, the expected move for SPY is 1.0%, while QQQ and IWM are pricing in slightly larger moves. This reflects the market's focus on how the unemployment report will affect different sectors. The tech-heavy QQQ tends to react more sharply to macroeconomic data, particularly regarding Fed policy. Meanwhile, IWM, which represents small-cap stocks, is often more volatile due to the inherent risks in smaller companies. The slight reduction in expected moves over the past few days suggests that some of the market's fear surrounding this report may have dissipated, but that doesn't mean the unemployment data won't trigger a notable reaction. Elevated implied volatility, particularly for the October 4th options, indicates that traders are preparing for a significant move. In addition to the implied volatility metrics, volume for the October 4th options is noticeably higher, underscoring the market's focus on this event. Traders are likely hedging their positions or making directional bets based on expectations for tomorrow's report. Higher volume in the options market ahead of such events often signals increased activity and the potential for larger-than-usual market swings. Each dot on the chart represents the implied volatility of individual strikes, with purple dots for puts and cyan dots for calls. ORATS' smoothing process, depicted by the orange line, helps to clarify the skew in implied volatility, showing where mispricing or market imbalances may exist. The quality of analysis allows traders to identify opportunities based on volatility trends and positioning ahead of the report. As we head into the unemployment report tomorrow morning, traders should be prepared for increased volatility across the major indices, particularly in SPY, QQQ, and IWM. With a 1.0% move priced into SPY, and higher expected moves in other sectors, the unemployment data will likely set the tone for market activity in the coming days. Traders looking to hedge risk or capitalize on volatility should consider strategies like straddles, vertical spreads, or iron condors to navigate these conditions. With the market placing significant importance on this report, the potential for outsized moves remains high, making this an event that no trader can afford to ignore. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Fed Decision Day, Matt in Reuters, Implied Move Today [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Wednesday, September 18th 2024 Fed Decision Day, Matt in Reuters, Implied Move Today ===================================================== Fed Day: Matt Amberson is quoted in Reuters showing the market is implying a 1.1% move Summary It is Fed announcement of rate cut day: Matt Amberson is quoted in Reuters mentioning that the market is implying a 1.1% move Matt Amberson of ORATS was quoted in [Reuters](https://www.reuters.com/markets/rates-bonds/traders-brace-least-predictable-fed-meeting-years-2024-09-18/) this morning about the implied move for the market based on options prices. The SPY option chain, a visual representation of all available call and put options for the S&P 500 ETF, is offering valuable insights into the market's expectations. Below is the TradeBuilder tab in the ORATS Dashboard of options tools. The orange dots above the red bars show the implied volatility for each expiration. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F105d72f7-e2b3-802c-83b9-fee48c5ac887.png&w=3840&q=75) Decoding the Volatility Spike The "red" highlighted area on the chart signals increased volatility. This spike likely reflects the market's uncertainty leading up to the Federal Reserve announcement. Investors are anticipating potential market movements, and options prices are adjusting accordingly. ORATS' Estimation: A 1.1% Move Based on our analysis of the implied volatility term structure, we estimate that the market is pricing in a potential move of 1.1% in the SPY ETF's price. This suggests that traders anticipate a significant market shift following the Fed's announcement. Understanding Implied Volatility Implied volatility (IV) is a key metric in options trading. It represents the market's expectation of future price fluctuations. A higher IV indicates greater uncertainty and can lead to higher option premiums. The Steep Term Structure The shape of the implied volatility term structure, where options with longer expiration dates have significantly higher IV than those with shorter expiration dates, is often indicative of a potential market move. In this case, the steep term structure suggests that the market is anticipating a more significant move than would be typical. Potential Market Scenarios * Rate Hike: If the Fed raises interest rates more aggressively than expected, it could lead to a sell-off in the stock market, including the SPY ETF. * Rate Pause or Cut: The Fed's dovish stance, such as pausing or cutting rate hikes, could boost market sentiment and lead to a rally in the SPY ETF. * Mixed Message: If the Fed's announcement is perceived as ambiguous or contradictory, it could increase market volatility and uncertainty. Conclusion The SPY option chain provides valuable insights into the market's expectations ahead of the Federal Reserve announcement. ORATS' analysis suggests that a significant move is likely in the cards. Traders who understand the dynamics of implied volatility and can effectively interpret the options market can potentially capitalize on these opportunities. Remember, while our analysis indicates a potential 1.1% move, market movements can be unpredictable, and managing risk and diversifying your portfolio is essential. For more in-depth analysis and expert insights, visit ORATS.com. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Large Moves Expected for the Election and Friday’s Unemployment Report [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Tuesday, October 1st 2024 Large Moves Expected for the Election and Friday’s Unemployment Report ====================================================================== With the U.S. election and a critical unemployment report approaching, options markets are pricing in large swings. Implied volatility suggests significant moves in major ETFs, with traders preparing for uncertainty in both the short and long term. Summary As the U.S. presidential election on November 5, 2024, and the unemployment report on October 4, 2024, approach, the options market indicates significant expected volatility. Traders are preparing for large price swings, particularly in major ETFs, with the election anticipated to drive more volatility than the unemployment report. Implied volatility has increased notably for both events, reflecting market sentiment and potential impacts on sectors sensitive to economic changes. Traders should analyze these developments to navigate the uncertain market landscape effectively. As the U.S. approaches two major events—the presidential election on November 5, 2024, and the unemployment report due on October 4, 2024—the options market is signaling large, outsized moves. Traders are betting heavily on these events, and the resulting shifts in implied volatility reflect significant expectations for market movement. These two key dates are poised to shape market sentiment, with options traders bracing for short-term and longer-term volatility. By analyzing implied volatility's term structure and isolating these events' effects, ORATS provides insights into how traders are positioning themselves for potential price swings. This article will break down the significance of these events, explain how implied volatility is calculated, and provide traders with actionable insights for navigating these uncertain times. ### Election Driving Volatility into November The U.S. presidential election, set for November 5, 2024, is driving volatility into November as options traders anticipate significant price swings surrounding the election and its aftermath. The closest relevant expiration date is November 8, 2024, just three days after the election. This expiration date has only been active for three trading days, but it is already showing elevated implied volatility compared to expirations before the election. The chart below illustrates how the November 8 expiration stands out regarding implied volatility and open interest. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F112d72f7-e2b3-8064-920d-fa434a5c3104.png&w=3840&q=75) The SPY (S&P 500 ETF) chart shows that, while open interest for the November 8 expiration is relatively low due to limited trading activity, market makers already imply a move of nearly 2% on expiration day. This reflects traders’ expectations of significant market volatility surrounding the election. Traders are positioning for potential price swings as the market reacts to election results and policy changes, particularly in politically sensitive sectors such as healthcare, energy, and technology. As we approach the election, implied volatility for the November 8 expiration will likely increase as uncertainty rises, reinforcing the notion that traders are bracing for substantial moves. ### Unemployment Report: A Near-Term Driver of Volatility However, before the election, the market will be heavily focused on the release of nonfarm payrolls and the unemployment rate, scheduled for Friday, October 4, 2024. This report will be released at 8:30 AM, and traders are closely watching these critical economic indicators to gauge the health of the economy and assess potential Federal Reserve actions. The October 4 expiration shows a marked increase in implied volatility, signaling that the market is anticipating a substantial move following the report. The implied volatility has risen from 22.1% to 28.8%, translating into an expected move of approximately 2%. This can be seen in the following chart of the IWM (Russell 2000 ETF), which shows the significant increase in volatility for the October 4 expiration. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F112d72f7-e2b3-80bb-87fa-f2f06b7d2cfd.png&w=3840&q=75) This spike in implied volatility indicates that traders are preparing for potential surprises in the unemployment data. Whether the report beats or misses expectations, it is likely to significantly impact overall market sentiment, particularly for sectors sensitive to economic growth. The unemployment report is expected to influence traders' views on inflation and future Federal Reserve actions, further driving volatility. ### Event Implied Moves Across Major ETFs To quantify how the market is pricing in moves for these two events, we can look at the implied moves for three major ETFs: SPY (S&P 500), QQQ (Nasdaq 100), and IWM (Russell 2000). The table below highlights the implied moves for both the unemployment report and the election. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F112d72f7-e2b3-8014-b6f9-dddf222f426a.png&w=3840&q=75) As the table shows, the market is pricing in larger moves for the election than for the unemployment report across all three ETFs. The IWM ETF, which represents smaller-cap, more volatile stocks in the Russell 2000, implies the largest moves, with a nearly 3% expected swing for the election. This is a significant indication of how smaller-cap stocks, more sensitive to macroeconomic events, are expected to react to the election results. While the implied moves for the unemployment report are smaller than those for the election, they are still notable. SPY is pricing in a 1.1% move, QQQ at 1.4%, and IWM at 1.9%, reflecting traders’ anticipation of potential market shifts based on the outcome of the unemployment data. ### Term Structure Analysis: A Tool for Market Expectations Implied volatility is a critical tool options traders use to gauge market expectations for future price swings. By analyzing the term structure of implied volatility—how volatility varies across different expirations—traders can gain insight into how the market is pricing in uncertainty around specific events. The term structure for the election shows a sharp increase in volatility for the November 8 expiration, indicating that traders are bracing for a major event that could cause significant market moves. Similarly, for the unemployment report, the term structure for the October 4 expiration shows a large increase in volatility, suggesting that traders expect market swings based on the report’s outcome. ### Market Effect Isolation: Focusing on Key Events One of the challenges of analyzing implied volatility is isolating the impact of specific events. In the options market, volatility can be influenced by various factors, including earnings reports, macroeconomic data, and geopolitical events. To focus on the election and the unemployment report, ORATS isolates these events by comparing the implied volatilities of expirations that include these events with those that do not. This method of isolating event-driven volatility is critical for traders who want to develop targeted strategies and understand how the market reacts to key catalysts like the election and unemployment report. ### Conclusion: Insights for Traders With both the U.S. presidential election and the unemployment report driving market volatility, traders need to be prepared for potential market swings in the coming days and weeks. By analyzing the term structure of implied volatility and isolating the effects of these key events, traders can gain valuable insights into how the market is pricing in uncertainty. As the election and unemployment report approach, traders should remain vigilant, understanding that these two events are set to shape market sentiment and drive volatility. By using tools like ORATS’ term structure analysis, traders can position themselves for success in an uncertain market environment. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # What Intel’s Volatility Tells Us About the Potential Qualcomm Acquisition [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Monday, September 23rd 2024 What Intel’s Volatility Tells Us About the Potential Qualcomm Acquisition ========================================================================= The options market offers a unique perspective on the deal's likelihood and potential implications. One of the most crucial indicators to watch in this context is implied volatility (IV). Summary Intel's rising implied volatility, as evidenced by the data, suggests that the market remains uncertain about Qualcomm's potential acquisition. For options traders, this presents both challenges and opportunities. By understanding the factors driving IV and utilizing the right tools, traders can navigate the market's uncertainties and potentially profit from the increased volatility. As the situation evolves, keeping a close eye on IV and other market indicators will be crucial for staying ahead of the curve. As the tech world continues to buzz with rumors of a potential acquisition of Intel Corporation (INTC) by Qualcomm Incorporated (QCOM), the options market offers a unique perspective on the deal's likelihood and potential implications. One of the most crucial indicators to watch in this context is implied volatility (IV). Understanding Implied Volatility Implied volatility is a market-derived measure that reflects an underlying asset's expected future price fluctuations. In simpler terms, it gauges the market's perception of risk. IV is forward-looking, unlike historical volatility, which looks at past price movements. It is determined by the prices of options on the asset, which means it embodies the collective sentiment of market participants about the asset's future price volatility. A higher IV suggests that the market anticipates more significant price swings, while a lower IV indicates a more stable outlook. This is particularly important for options traders because IV is a key component in pricing models like the Black-Scholes model. When IV increases, the premiums for options also tend to rise, making them more expensive to purchase but potentially more profitable if the anticipated volatility materializes. Intel's IV: A Market Sentiment Indicator When we examine Intel's long-term IV, a clear upward trend has emerged since the takeover rumors surfaced. The IV for Intel has risen from around 38% to 48%, reflecting a significant increase in market uncertainty surrounding the company’s future. This rise in IV is a strong indicator that the market is expecting greater price fluctuations, which could be due to several factors associated with Qualcomm's potential acquisition. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F10ad72f7-e2b3-80ec-b915-dfd3b66d24ee.png&w=3840&q=75) Key Takeaways from Intel's IV: * Deal Uncertainty: The elevated IV levels suggest the market is skeptical about the deal's likelihood and potential benefits. The jump in IV implies that investors are preparing for significant movement in Intel’s stock price, driven by the uncertainty of whether the acquisition will go through. * Regulatory Hurdles: The potential regulatory challenges associated with such a large merger could also affect the market's uncertainty. Both Intel and Qualcomm are major players in the semiconductor industry, and a merger of this magnitude would likely face intense scrutiny from regulators in multiple jurisdictions. * Potential Price Swings: The higher IV suggests that investors anticipate significant price movements in Intel's stock, either up or down. This could mean that while some traders are betting on the deal pushing Intel's stock higher, others might be hedging against a potential negotiation collapse or regulatory pushback. Qualcomm's Implied Volatility and Insider Activity The story of implied volatility is not limited to Intel. Qualcomm's long-term IV has also increased in the past few months, rising to around 38%. This rise in IV suggests that the market perceives a higher level of risk or uncertainty in Qualcomm's stock, likely tied to the same acquisition rumors. In addition to the rising IV, Qualcomm's insider activity has been notable. The graph shows several red triangles, indicating significant insider selling over the course of the year. Insider selling can be a red flag for investors, particularly when it coincides with rising IV. It suggests that those with the most intimate knowledge of the company's operations might be preparing for potential volatility or downside risks. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F6d3b44fd-2e9b-4437-a3f2-c99d23e32256.png&w=3840&q=75) The Broader Implications for the Market The implications of these IV trends extend beyond Intel and Qualcomm. The semiconductor industry could be poised for increased volatility, especially if the acquisition goes through. A merger of this scale could set off a wave of M&A activity in the sector as competitors react to the consolidation of two major players. These developments highlight the importance of monitoring implied volatility as a leading indicator of market sentiment and potential future price movements for the broader market. The rising IVs in both Intel and Qualcomm suggest that the market is on edge, waiting to see how the situation will unfold. Implications for Options Traders Understanding IV is crucial for options traders. A higher IV generally leads to higher option premiums, which means that options contracts on Intel and Qualcomm will be more expensive. However, this also presents potential trading opportunities. * Hedging Strategies: Options can be used to hedge existing positions or to protect against potential downside risk. With a higher IV, the cost of these hedges will be higher, but they could prove invaluable in a volatile market environment. Traders might consider using put options to protect long positions in Intel or Qualcomm or using options spreads to limit the cost of these hedges. * Volatility-Based Strategies: Experienced traders can employ volatility-based strategies to capitalize on the increased IV. This might involve selling options to capture the high premiums or using complex strategies like straddles or strangles, which benefit from large price movements in either direction. These strategies require a deep understanding of how IV affects options pricing and the potential risks involved. Utilizing ORATS Tools Navigating the complexities of implied volatility requires the right tools, and ORATS provides a suite of resources that can help traders analyze IV and make informed decisions. * IV Charts: ORATS offers detailed IV charts that allow traders to visualize historical and current IV levels for various options contracts. This can be particularly useful for identifying trends and potential opportunities in the options market. * Volatility Indexes: ORATS also provides indices that track overall market volatility and its impact on specific sectors or asset classes. This can give traders a broader perspective on how volatility evolves across the market. * Option Greeks: Understanding the option Greeks—delta, gamma, theta, and vega—is essential for managing risk and reward in options trading. ORATS tools can calculate these Greeks, helping traders understand how changes in IV, time decay, and other factors affect their positions. By leveraging ORATS tools, traders can better understand implied volatility and its implications for their trading strategies. Whether you're looking to hedge your portfolio, capitalize on market movements, or understand the risks involved, these tools can provide the necessary insights. Conclusion Intel's rising implied volatility, as evidenced by the data, suggests that the market remains uncertain about Qualcomm's potential acquisition. For options traders, this presents both challenges and opportunities. By understanding the factors driving IV and utilizing the right tools, traders can navigate the market's uncertainties and potentially profit from the increased volatility. As the situation evolves, keeping a close eye on IV and other market indicators will be crucial for staying ahead of the curve. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Nike’s Leadership Transition: A New Era Begins Under Elliott Hill and the Market Likes It [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Friday, September 20th 2024 Nike’s Leadership Transition: A New Era Begins Under Elliott Hill and the Market Likes It ========================================================================================= Nike Inc. (NKE) has long been a giant in the global sportswear market, synonymous with innovation, athleticism, and cultural relevance. But like any major corporation, it has faced its share of leadership challenges. Recently, Nike made a decisive move by replacing its CEO, John Donahoe, with company veteran Elliott Hill. Summary Nike’s leadership transition marks the beginning of a new chapter in the company’s storied history. With Elliott Hill at the helm, Nike is poised to regain its footing and continue its legacy of excellence. The positive market reaction to Hill’s appointment underscores the confidence that investors and analysts have in his ability to lead the company forward. As Nike navigates the complexities of the modern retail environment, its focus on innovation, consumer engagement, and strategic growth will be critical to its success. While challenges remain, the company’s strong foundation and leadership make it well-positioned to thrive in the years ahead. In the coming months, all eyes will be on Nike as it embarks on this new journey. With a renewed sense of purpose and a seasoned leader at the helm, Nike is ready to face the future with confidence and determination, the stock price and options market seem to agree. Nike Inc. (NKE) has long been a giant in the global sportswear market, synonymous with innovation, athleticism, and cultural relevance. But like any major corporation, it has faced its share of leadership challenges. Recently, Nike made a decisive move by replacing its CEO, John Donahoe, with company veteran Elliott Hill. This leadership change marks a significant shift for the company and has sparked positive reactions in the stock market and in the options market, signaling potential for a revitalized future. Options traders got long yesterday betting on NKE moving higher. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F107d72f7-e2b3-808a-b016-caa25fae13c7.png&w=3840&q=75) The End of the Donahoe Era John Donahoe’s tenure as CEO of Nike was met with mixed reviews. A seasoned executive with experience leading companies like eBay, Donahoe was expected to bring a fresh perspective to Nike. However, his time at eBay was marred by controversy, particularly his decision to resist spinning off PayPal, a move that many analysts believe would have unlocked significant value for shareholders. This decision left a lingering question mark over his leadership capabilities, and his transition to Nike was closely watched. During his time at Nike, Donahoe faced a challenging landscape. The COVID-19 pandemic disrupted global supply chains and shifted consumer behavior, forcing companies to adapt rapidly. While Donahoe navigated these challenges with a steady hand, critics argued that his strategic decisions lacked the boldness and vision that Nike needed to maintain its competitive edge. The company’s performance under his leadership was solid but not spectacular, leading to growing speculation about a potential leadership change. Elliott Hill: A Familiar Face with a Proven Track Record Elliott Hill’s appointment as CEO marks a return to Nike’s roots. A company veteran with over three decades of experience at Nike, Hill is deeply familiar with the brand’s culture, values, and operations. His career at Nike has been marked by a series of successful leadership roles, including his work as President of Consumer and Marketplace, where he played a pivotal role in driving Nike’s global growth strategy. Hill’s deep understanding of Nike’s business and his track record of success make him a natural choice to lead the company into its next chapter. His appointment has been well-received by both employees and investors, who view him as a steady hand capable of guiding Nike through the complexities of the modern retail environment. Positive Market Reaction and the Road Ahead The market’s response to Hill’s appointment has been positive. Nike’s stock jumped 7% in pre-market trading following the announcement, reflecting investor confidence in Hill’s ability to steer the company back to its glory days. This optimism is not unfounded. Hill’s tenure at Nike has been marked by a keen understanding of consumer trends, strategic innovation, and a commitment to maintaining Nike’s status as a leader in the sportswear industry. One of the key factors driving renewed interest in Nike is the resurgence of college sports. As college athletics gain momentum post-pandemic, Nike is well-positioned to capitalize on this trend. The brand’s deep ties to college sports, including its sponsorship of major athletic programs, provide a strong platform for growth. College sports not only drive sales of Nike products but also reinforce the brand’s association with athletic excellence. However, it’s not all smooth sailing. Nike continues to face significant challenges in its retail partnerships. The shifting dynamics of the retail landscape, characterized by the rise of e-commerce and the decline of traditional brick-and-mortar stores, present ongoing hurdles for the company. While Nike has made strides in enhancing its direct-to-consumer strategy, the company must continue to innovate and adapt to maintain its market position. The Options Market: A Reflection of Market Sentiment The options market provides additional insight into the market’s view of Nike’s future. Yesterday’s options activity revealed a strong bias toward long delta positions, indicating that traders are betting on further gains in Nike’s stock. However, the profitability of these positions remains uncertain, as it’s unclear whether traders are opening or closing these positions. The options market’s enthusiasm reflects a broader sense of optimism about Nike’s prospects under Hill’s leadership. While there are still challenges to overcome, the company’s strong brand, innovative product offerings, and strategic leadership position it well for future success. Conclusion: A New Chapter for Nike Nike’s leadership transition marks the beginning of a new chapter in the company’s storied history. With Elliott Hill at the helm, Nike is poised to regain its footing and continue its legacy of excellence. The positive market reaction to Hill’s appointment underscores the confidence that investors and analysts have in his ability to lead the company forward. As Nike navigates the complexities of the modern retail environment, its focus on innovation, consumer engagement, and strategic growth will be critical to its success. While challenges remain, the company’s strong foundation and leadership make it well-positioned to thrive in the years ahead. In the coming months, all eyes will be on Nike as it embarks on this new journey. With a renewed sense of purpose and a seasoned leader at the helm, Nike is ready to face the future with confidence and determination, the stock price and options market seem to agree. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Did 0DTEs Contribute To The Crash on August 5th? [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Tuesday, August 13th 2024 Did 0DTEs Contribute To The Crash on August 5th? ================================================ Analyzing skew and IV levels can help explain the recent market correction Summary 0DTE options trading, usually balanced and liquid allowing market makers to hedge their short put skewed normal positions, turned against the norm on August 2nd the trading day before the mini-crash on August 5th. Matt Amberson, Principal of ORATS, has argued that the trading in 0DTE options has helped to stabilize markets since their inception in May of 2022. Since that time the slope which measures the relationship between put and call implied volatility (IV) has fallen into a different range paradigm where the prior support has become the resistance. This fall shows that market makers have pulled back on bidding up the puts that they are normally short because of natural long hedgers and raised up the calls they get long because of all the call writers. Matt argues that the balanced and large trading in 0DTEs and related shorter dated options allows the market makers to buy in puts and sell calls, and alleviates their having to keep the skew slope elevated towards the puts. However, the mini-crash on the fifth of August things changed. Things actually changed in the days preceding the fifth. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fbefdcedf-6382-46e8-9d87-e670a747e466.png&w=3840&q=75) On the morning of August 5th, minutes before the open of regular trading, the VIX that trades in the pre-market hit an astronomical 65%. Matt was quoted, “The spike was before the open and probably from panicking traders in a thin market. I would ignore the 65% print.” Five minutes after the market opened that day, the IV30day was about 30% and the VIX was about 40% owing to the large skew in the SPX. The S&P moved that day at a historical volatility of 37%. The IV30day way-out-of-the-money skewed low strike puts went from 36% IV the night before to 90% in the morning as small-priced puts were bid up. The 0DTE IV was very elevated to about 80%. Matt’s take is that the options prices behaved as they should for such a fall in the underlying market. The 0DTE contributed by not being there for the market makers. Market makers probably did contribute to exacerbating the downward move because their positions got away from them and they probably did have negative gamma. I say this because of the huge move in skew slope from the first to the second, from a new normal of about 5% to 9%. * July 31 slope=4.8% and call volume 545k put volume 612k * Aug 1 at the close slope=5% = normal. EOD 0DTE call volume 1050k put volume 986k * Aug 2 mid-day slope=8%!. EOD 0DTE call volume 765k, put volume 889k * Aug 5 mid-day slope=9% peak. EOD 0DTE call volume 496k, put volume 616k August 2nd was the pivotal day when put volume out paced call volume and the 0DTE liquidity went from protector to villain for the market makers. Now slope is back to an elevated 7% but down from 9% as things settle down to an unhappy calm. Recently, Matt was also on Yahoo! Finance sharing his thoughts on NVDA and how traders can best navigate these volatile markets. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS featured in IBKR Campus Quant Blog and Yahoo! Finance [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) In the Media Sunday, August 4th 2024 ORATS featured in IBKR Campus Quant Blog and Yahoo! Finance =========================================================== ORATS was featured in IBKR Campus for research on 180 million backtests. Summary ORATS was featured in IBKR Campus for conducting a research study on over 180 million options strategies across 100+ stocks and 11 strategies. The study provides valuable insights for optimizing trading strategies. Additionally, Matt from ORATS discussed NVDA and market navigation on Yahoo! Finance. In the largest group of options backtests ever studied, [Option Research and Technology Services (ORATS)](https://orats.com/ib?utm_source=ib&utm_campaign=quantblog)  recently published over 180 million options strategies spanning 100+ stocks and 11 strategies. In this article, we share exclusive insights from this massive study that will help you improve and optimize your trading strategies. To gain access to millions of pre-canned backtests and to build your own custom backtests, please visit [https://orats.com/backtester](https://orats.com/backtester) . Recently, Matt was also on Yahoo! Finance sharing his thoughts on NVDA and how traders can best navigate these volatile markets. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Earnings Straddles Are Having Their Moment](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F305d72f7-e2b3-802e-8dfc-efd5e26905b5.png&w=3840&q=75)\ \ Earnings Straddles Are Having Their Moment\ \ Strong realized moves and shifting volatility expectations have produced one of the most favorable earnings seasons for straddle buyers in years.](https://orats.com/blog/earnings-straddles-strong-season-2026) [![On Risk Management and Path-Dependent Trades: Lessons from Captain Condor](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-8031-a4ec-e1530763f5c8.png&w=3840&q=75)\ \ On Risk Management and Path-Dependent Trades: Lessons from Captain Condor\ \ ORATS cited by Bloomberg on an options market loss](https://orats.com/blog/lessons-from-captain-condor-risk-management-path-dependent-trades) [![Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b4d72f7-e2b3-80ea-80dc-e7f2a2885f33.png&w=3840&q=75)\ \ Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)\ \ Why financial media, trading desks, and quant researchers depend on ORATS data every day](https://orats.com/blog/trusted-options-data) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # ORATS featured in MSN for earnings season report [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) In the Media Wednesday, August 14th 2024 ORATS featured in MSN for earnings season report ================================================ Read the full article on MSN discussing ORATS data on earnings straddles. Summary ORATS was featured in MSN for its data on earnings straddles, highlighting its trading tools package that offers visuals and an option scanner to analyze the profitability of long vs. short straddles during earnings season. ORATS was recently featured in MSN for our data on earnings straddles. Read the full article here: [https://www.msn.com/en-ca/money/topstories/volatility-hobbles-options-market-bets-on-earnings-fueled-us-stocks-swings/ar-AA1otrHp](https://www.msn.com/en-ca/money/topstories/volatility-hobbles-options-market-bets-on-earnings-fueled-us-stocks-swings/ar-AA1otrHp) In the [trading tools package](https://orats.com/trading-tools) , we offer rich visuals during earnings season to help you understand the profitability of long vs. short straddles. The package also includes full access to the option scanner for trade implementation. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fa6751bed-6ea9-467b-a1c2-7dd89df38e2c.png&w=3840&q=75) ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F13d9ef54-f022-4e75-b7a0-54ea932a85c3.png&w=3840&q=75) Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Earnings Straddles Are Having Their Moment](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F305d72f7-e2b3-802e-8dfc-efd5e26905b5.png&w=3840&q=75)\ \ Earnings Straddles Are Having Their Moment\ \ Strong realized moves and shifting volatility expectations have produced one of the most favorable earnings seasons for straddle buyers in years.](https://orats.com/blog/earnings-straddles-strong-season-2026) [![On Risk Management and Path-Dependent Trades: Lessons from Captain Condor](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-8031-a4ec-e1530763f5c8.png&w=3840&q=75)\ \ On Risk Management and Path-Dependent Trades: Lessons from Captain Condor\ \ ORATS cited by Bloomberg on an options market loss](https://orats.com/blog/lessons-from-captain-condor-risk-management-path-dependent-trades) [![Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b4d72f7-e2b3-80ea-80dc-e7f2a2885f33.png&w=3840&q=75)\ \ Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)\ \ Why financial media, trading desks, and quant researchers depend on ORATS data every day](https://orats.com/blog/trusted-options-data) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Implied Dividends: ORATS' Approach to Market Consensus [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Data API Friday, November 22nd 2024 Implied Dividends: ORATS' Approach to Market Consensus ====================================================== Gain Market Insights with ORATS' Implied Dividend Analysis—A Powerful Tool for Informed Trading Decisions Summary ORATS' approach to calculating implied dividends utilizes put-call parity relationships to derive market-reflective dividend expectations from options prices. By partnering with Wall Street Horizon and employing rigorous quality control, ORATS provides insights into market sentiment, helping traders identify discrepancies between implied and actual dividends. The methodology includes calculating baseline dividend yields, residual yields, and adjusting for market conditions, allowing clients to anticipate potential dividend changes and make informed trading decisions. The implied dividend feed serves as a powerful tool for equities traders, options traders, income investors, and analysts, offering real-time data and insights into future dividend expectations. Understanding dividend expectations is critical for traders, investors, and analysts alike. ORATS' process of calculating implied dividends offers a unique glimpse into market sentiment, reflecting the expertise of professional options traders. In this article, we explore the key steps in our implied dividend calculation process, why it matters, and who can benefit from it. Implied Dividends Derived from Options Prices At ORATS, implied dividends are not derived solely from projected announcements. Instead, we use put-call parity relationships to extract them directly from options prices. This approach provides a more market-reflective view of dividend expectations. We start by partnering with Wall Street Horizon to access base dividend information. This foundational data includes announced dividends and allows us to analyze the Net Present Value (NPV) of discrete dividends to derive a continuous dividend yield. By comparing announced dividends against the market's implied dividends, we get a reality check on what the market is pricing in. If we see discrepancies, our forecasts are adjusted accordingly, with all values converted to USD for consistency across foreign dividends. We measure two key implied dividend values: annIdiv, the annual implied dividend, and impliedNextDiv, the next implied dividend payment. This information is critical for traders who want to compare market expectations against actual dividend projections. Discrepancies between the implied and actual dividends often highlight trading opportunities, giving our clients a competitive advantage. To ensure the highest quality of our data, ORATS employs an in-house dividend consultant for special cases. We make adjustments for stock splits, conform to OCC rules for special dividends, and maintain a robust historical database back to 2007. This meticulous quality control guarantees the reliability of our implied dividend data. Calculating Dividend Yield: The Foundation The calculation of implied dividends begins with establishing a baseline dividend yield, which forms the foundation of our insights. This baseline is derived from projected discrete dividends and the risk-free yield rate. We use publicly available company information, such as historical dividend payments and earnings announcements, to establish projected dividends, while the risk-free rate, typically based on government bond yields, serves as a benchmark for comparison. The combination of these components creates an initial estimate of what the dividend yield should be. However, this is just the starting point. We refine this baseline with market data to provide a more accurate, market-driven representation of dividend expectations. Solving for Residual Yield and Aligning Call/Put Volatilities An essential part of the ORATS methodology involves solving for residual yield to ensure that implied volatilities for call and put options align properly. Residual yield helps account for real-world market factors, such as hard-to-borrow costs and other frictions that can influence pricing. We begin by calculating the residual yield rate at the 50 delta (at-the-money) point, representing the adjustment necessary for accurate alignment. For example, an implied rate of -0.055 translates to a -5.5% adjustment. This adjustment reflects costs associated with borrowing stock and other market realities. To maintain accuracy, delta weighting is employed: options closer to 50 delta are assigned higher weights, while those with wider bid-ask spreads receive lower weights. This ensures that outlier prices do not unduly influence results. Furthermore, market width adjustments are calculated in implied volatility terms, giving higher confidence to options with tighter bid-ask spreads and assigning lower weights to options with lower liquidity. To account for variations across different deltas, we also calculate residualRateSlp—the slope of the residual rate linear regression. This allows us to adjust the dividend yield based on call delta, ensuring a consistent representation across different option strikes. The reliability of these calculations is continuously monitored through quality checks. We use residualR2, an indicator of the quality of the residual rate regression, to confirm the robustness of our calculations. High r-squared values indicate greater reliability, which is essential for traders relying on our data for their decision-making. Incorporating Dividends Across Expirations Incorporating dividends across various expiration dates is a complex task, and ORATS takes a comprehensive approach to ensure accuracy. Our system uses data from Wall Street Horizon to track dividend frequency (divFreq) and the growth rate (divGrwth) of forecasted dividends. We maintain a thorough record of historical patterns and seasonality, employing our in-house consultant to handle special situations. We forecast dividends up to 2.67 years into the future, calculating the expected number of dividend payments before each expiration, the NPV of each expected dividend, and its impact on put-call parity relationships. This helps create a full view of dividend expectations across all expirations. Our residual dividend analysis compares announced dividends with market-implied values to identify discrepancies. We calculate several key values: annActDiv (actual projected annual dividend), annIdiv (market-implied annual dividend), nextDiv (next expected dividend), and impliedNextDiv (next implied dividend). Any differences between these values often signal opportunities for traders. A rigorous quality control process helps maintain the reliability of these forecasts. We adjust our projections when market prices suggest different expectations, convert all foreign dividends to USD, and ensure compliance with OCC rules for special dividends. This consistency is maintained across different time horizons, ensuring a uniform view of dividend expectations. To avoid calendar arbitrage, we adjust for changes in hard-to-borrow rates over time and continuously monitor put-call parity relationships across all expirations. This ensures that implied dividends are consistent throughout the volatility surface. Weighted Annualized Implied Dividend and Smoothing Our methodology for calculating the weighted annualized implied dividend focuses on smoothing out market fluctuations to provide a reliable measure of dividend expectations. We assign higher weights to near-term expirations due to their greater influence on current market dynamics. Additionally, options with higher confidence scores are given more weight in our calculations. We start with put-call parity calculations for each expiration and apply the residual yield rate adjustments to account for hard-to-borrow costs and other factors that fade over time. This process results in a continuous curve that reflects dividend expectations consistently across all expirations. To calculate the annual implied dividend, we combine weighted inputs from all expirations, compare implied values to announced dividends, and factor in seasonality and market width. By maintaining consistency across expirations, we prevent calendar arbitrage opportunities and ensure that our implied dividend values accurately reflect market sentiment over different time frames. Tracking changes in implied dividends over time allows us to compare short-term versus long-term market expectations, monitor divergences from announced dividends, and adjust for evolving market conditions. This comprehensive approach provides our clients with a holistic understanding of dividend trends. Market Expectations and Comparison ORATS uses implied dividends to gauge market expectations and identify potential opportunities. By comparing annIdiv (market-implied annual dividend) to annActDiv (projected annual dividend), we can discern how the market's sentiment differs from the broader consensus. Confidence scores are derived from various market quality factors, such as tight bid-ask spreads, higher option volume, greater market depth, and more activity around at-the-money strikes. The quality of our calculations heavily depends on market conditions. We prioritize at-the-money options, as they tend to have tighter spreads and provide more reliable signals. Conversely, wide markets receive lower confidence ratings. This approach ensures that our clients receive the most accurate dividend data possible. One of the key insights that ORATS provides is the ability to detect potential dividend changes before they are announced. By examining divergences between impliedNextDiv, nextDiv, and historical dividend patterns, we can often identify shifts in market sentiment that may signal future dividend changes. These insights are invaluable for traders and investors looking to stay ahead of market movements. Our process includes tracking key market indicators, such as borrow30 and borrow2y rates, as well as residualRateSlp, which helps identify systematic pricing differences. By monitoring changes in implied dividends and comparing them to sector averages and seasonal trends, we provide clients with a comprehensive understanding of where dividend expectations are headed. Key Insights and Advantages of ORATS’ Approach The implied dividend feed from ORATS captures the collective intelligence of professional options traders. By inverting the pricing model, we derive consensus dividend levels across expirations, providing a distilled and actionable view of market sentiment. This complex process is simplified into an easy-to-use resource, saving our clients time and effort. Ease of Access is a core advantage of the ORATS approach. Delivered through a straightforward API, our implied dividend feed provides real-time data that can be seamlessly integrated into trading models and analysis tools. Broad applicability means that this feed is useful for equity traders, options traders, analysts, and income investors alike. Moreover, implied dividends act as a leading indicator, offering early warnings for potential dividend changes before official announcements. This gives our clients an edge in anticipating market movements and making more informed trading decisions. The feed is updated throughout the day, ensuring real-time accuracy and allowing users to react quickly to market signals. This level of responsiveness is crucial in today's fast-moving financial environment, where conditions can change in an instant. Why Implied Dividends Matter Implied dividends provide critical insights into future dividend expectations, helping traders and analysts forecast corporate behavior and assess dividend sustainability. For options pricing, implied dividends are essential to accurately value options that are sensitive to dividends, such as calls and puts on dividend-paying stocks. Additionally, implied dividends serve as indicators of market sentiment. Subtle shifts in these values can reflect changes in investor confidence or expectations regarding corporate policies. By monitoring these shifts, ORATS clients gain a deeper understanding of underlying market dynamics. Who Benefits from ORATS’ Implied Dividend Feed? The ORATS implied dividend feed is a powerful tool for a wide range of market participants: * Equities Traders: By comparing implied dividends to analyst projections, equities traders can identify discrepancies that may point to undervalued or overvalued stocks. * Options Traders: Implied dividends are crucial for enhancing pricing models, particularly for dividend-sensitive options, and for fine-tuning hedging strategies. * Income Investors: For income-focused investors, implied dividends provide insights into potential dividend bargains or risks, offering a market-driven perspective on dividend sustainability. * Analysts: Analysts benefit from unique insights into corporate payout expectations that may not be immediately apparent from standard dividend projections, helping to enhance their analysis. Conclusion The implied dividend feed from ORATS distills professional market research into an accessible, real-time resource. Whether you are forecasting dividends, searching for income investing opportunities, or identifying undervalued stocks, ORATS has done the heavy lifting, allowing you to focus on making informed decisions. By capturing the market's consensus on dividends, ORATS provides an early warning system for potential changes, giving you a valuable edge in today’s data-driven trading environment. The accuracy, reliability, and ease of access provided by ORATS' implied dividend feed make it an indispensable tool for anyone looking to stay ahead in the financial markets. From equities traders and options traders to analysts and income investors, ORATS offers a powerful way to harness market sentiment and transform it into actionable insights. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Solving All Your Options Analysis Problems with the ORATS API — A Coding Blueprint](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2097d846-57b9-4d4c-8cd4-84e5e80e4916.png&w=3840&q=75)\ \ Solving All Your Options Analysis Problems with the ORATS API — A Coding Blueprint\ \ Read a quick overview of the advantages of the ORATS APIs and how to use them in Python.](https://orats.com/blog/solving-all-your-options-analysis-problems-with-the-orats-api-a-coding-blueprint) [![How to Explore Endpoints in the API Console](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fe90680b2-81e5-4cc2-a0d8-2e95be7ed35e.png&w=3840&q=75)\ \ How to Explore Endpoints in the API Console\ \ Learn how to use the ORATS API Console to find your API token and explore the different endpoints.](https://orats.com/blog/how-to-explore-endpoints-in-the-api-console) [![Get 1-Minute Options Data in Excel](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F4dd79f3c-21b8-4c73-aeb8-35cf1ba089cd.png&w=3840&q=75)\ \ Get 1-Minute Options Data in Excel\ \ Use the ORATS data API in Excel VBA to get options data including volatility, theoretical values, greeks and strikes information in your worksheet.](https://orats.com/blog/get-1-minute-options-data-in-excel) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # China's Surprise Stimulus Shocks Global Markets, Catches Options Traders Off Guard [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Tuesday, September 24th 2024 China's Surprise Stimulus Shocks Global Markets, Catches Options Traders Off Guard ================================================================================== China’s stronger-than-expected stimulus package has upended global markets, catching options traders off guard and triggering significant price movements in FXI. Summary China sent shockwaves through global markets yesterday with the announcement of stronger-than-expected stimulus measures. As Asian markets surged, with China and Hong Kong equities rising more than 4%, traders scrambled to adjust their positions. Prior to the announcement, options traders were largely betting against any major upside, a strategy that was quickly tested as the market reacted bullishly. By Matt Amberson | ORATS China sent shockwaves through global markets yesterday with the announcement of stronger-than-expected stimulus measures. As Asian markets surged, with China and Hong Kong equities rising more than 4%, traders scrambled to adjust their positions. Prior to the announcement, options traders were largely betting against any major upside, a strategy that was quickly tested as the market reacted bullishly. Traders Were Heavily Short Pre-Stimulus Before the stimulus announcement, traders had built significant short positions in the iShares China Large-Cap ETF (FXI), a key proxy for Chinese equities. The chart of FXI shows that traders were primarily positioned for limited upside. According to the options data, the Net Dollar Delta and Total Short Dollar Delta indicate that traders were largely short on Chinese stocks, expecting muted price movements. The FXI options market yesterday showed a short delta of -123 million, meaning traders were betting against substantial price increases. This bearish sentiment was prevalent among traders as they anticipated the Chinese economy to continue underperforming. Selling call options was a popular strategy, as it allowed traders to collect premiums in what they expected to be a low-volatility environment. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F10bd72f7-e2b3-80b4-bb3f-dce0724d45ce.png&w=3840&q=75) Call Selling Strategy Dominated the Market One of the clearest signs that traders were unprepared for the bullish market move is the large short call positions taken just before the announcement. A significant example of this is in row 1 of the FXI options data, where 90,000 contracts were sold at the 29.5 strike price, expiring on October 18th, 2024. Traders who sold these calls were betting that FXI would remain below $29.50, aiming to collect the premium from selling the options. This strategy—selling call premiums—was based on the assumption that the market would remain stagnant or decline slightly. Traders were willing to sell calls at the 29.5 strike, expecting limited upside for Chinese equities. This, however, proved to be a miscalculation as the stimulus package sent markets soaring, leaving these short call sellers vulnerable to significant losses. The Stimulus Surprise China’s announcement of its stimulus package caught most traders off guard. The measures, which included significant infrastructure spending, tax cuts, and monetary easing, were stronger than anticipated. As a result, Chinese stocks surged, driving up the price of FXI and pushing it toward key resistance levels. In the FXI chart, we see that prices spiked, heading toward the double-top resistance at $29. This price level has been a historical point of resistance for the ETF, and traders who had sold calls at the 29.5 strike were caught off guard as the market rallied closer to that level. The sudden market move caused a reversal in fortune for many traders who had shorted calls, leading to notable losses. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F10bd72f7-e2b3-8090-bddb-ea2f2af0104e.png&w=3840&q=75) Losses Pile Up for Short Call Sellers This illustrates the inherent risk in selling call options—while it can be profitable in low-volatility environments, a sudden market-moving event can quickly reverse profits. The stimulus package created a perfect storm for short call sellers, who were expecting a calm market but instead faced sharp price increases that put their positions underwater. The Fed's Plans Complicated by China’s Move The global market implications of China’s stimulus package are significant, particularly for the Federal Reserve. U.S. markets, including the S&P and Nasdaq futures, saw modest gains of 0.1% following the announcement. However, traders remain uncertain about the longer-term effects of China’s stimulus on global inflation. One of the primary concerns is whether China’s stimulus will fuel global inflation, particularly through rising demand for commodities and raw materials. If inflation picks up, it could force the Federal Reserve to reconsider its monetary policy. Traders had been expecting the Fed to ease interest rates, but rising inflation might prevent this, keeping rates higher for longer. This uncertainty is reflected in the market's muted response in the U.S. Futures oscillated between gains and losses, with traders unsure of how to position themselves amid the potential inflationary pressures China’s actions could trigger. The Federal Reserve’s path toward easing monetary policy may now be less clear, adding a new layer of complexity to an already volatile market environment. FXI Options Activity Signals Trader Confusion The FXI options data underscores the confusion and surprise experienced by traders. Large call spreads and short call strategies dominated the market prior to the stimulus announcement. Many of these positions, particularly the short call positions, are now in jeopardy. For example, traders using strategies like the short call spread (seen in row 3) were betting on limited upside. This strategy involves selling a call at a lower strike and buying a call at a higher strike, capturing the premium if the underlying stock stays within a certain range. However, with the market rallying, these positions are at risk of being breached, further adding to trader losses. What Comes Next for Traders? In the wake of China’s surprise stimulus, traders are reassessing their positions. Those who were short and had sold call options now face the challenge of managing losses, while volatility is expected to remain elevated in the near term. The sudden price movement has caught many by surprise, but the situation also presents opportunities for those able to pivot quickly. For traders still positioned in FXI, monitoring key technical levels, such as the $29 resistance, will be critical. If FXI breaks through this level, it could signal further bullish momentum, leading to more pain for short sellers. Additionally, the trajectory of U.S. inflation and the Federal Reserve’s response to these global economic developments will likely influence market sentiment in the coming weeks. Conclusion China’s stronger-than-expected stimulus package has upended global markets, catching options traders off guard and triggering significant price movements in FXI. Traders who had shorted calls, expecting minimal upside, now face losses as the market rallied sharply in response to the stimulus. With inflationary concerns looming, the Federal Reserve’s plans may also be impacted, adding uncertainty to an already volatile environment. For now, traders are left to navigate the fallout and reassess their strategies as the market adjusts to this new reality. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Risk Magazine Features Matt Amberson in 0DTE Article [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Monday, July 22nd 2024 Risk Magazine Features Matt Amberson in 0DTE Article ==================================================== Matt shares his thoughts on 0DTE options effect. Summary 0DTE options have had a profound effect on the market because of how market makers have used them to reduce their position risk. Matt Amberson was quoted multiple times in the recent Risk Magazine article [“Taming of the skew sparks new debate over 0DTEs”](https://www.risk.net/markets/7959717/flattening-skew-sparks-new-debate-over-0dtes) in their July 19th edition. Matt has consistently argued that since their inception in May 2022, 0DTE options will help market makers greatly reduce risk to their books and stabilize the markets. This happened very shortly after options with daily expirations were introduced, as evidenced by changes to the overall put-call skew of the options market. Historically, market makers have a systematic position of short out-of-the-money puts and long calls. The puts result from regulatory mandates on large financial institutions to have downside protection and natural hedgers of long stock portfolios. Long calls on market makers' books come from the most popular options strategy of overwriting or selling calls against long positions. Market makers responded to their systematic trading by raising the relative prices of puts and lowering the call prices, creating a skewed view of the pricing relationship. This heightened skew is evident in the S&P options compared to the component single stock skews. 0DTE options came out of the gate with large volumes and balanced trading. They did not have the typical inclination to buy puts and sell calls seen in longer-dated SP options. This balanced trade allowed market makers to buy puts and sell calls in the newly enhanced short-term trading, and this has led to a flattening of the put-call skew, with put prices falling and calls rising in proportion across the many expirations of options. This behavior is clear in the following chart. The support has become the resistance in Slope. Another effect of the market makers has been to increase position size, which has led to higher volume and a more muted volatility in the overall market. Market makers are natural hedgers. At the same time, other options participants will put on a position and not usually change if the market moves. Market makers are different. They will actively hedge their position as market levels change their relative exposure to profit or losses. For example, when market makers were short puts out of balance, and the markets started to pall, the relative importance of the out-of-the-money puts would rise, causing them to incur losses and have to sell the underlying to offset the potential losses of further downward market moves to their options positions. Conversely, if the market rose, they would sell the underlying as they say the value of their calls starts rising and have to lock in any gains they might have. The flip in the behavior of market makers since the introduction of 0DTEs has caused the put call skew to flatten moves to the downside not to be as violent and upside moves are not met with as much selling and be more pronounced. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F4b547af8-f8b5-49a1-a7e6-9ef2ced0eff2.png&w=3840&q=75) Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Best Option Scanners of 2025 [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Trading Tuesday, December 31st 2024 Best Option Scanners of 2025 ============================ A comprehensive list of the most recommended Option Scanners Summary A comprehensive overview of the top option scanners for 2025, highlighting ORATS for advanced analytics, Barchart for user-friendly features, Market Chameleon for earnings insights, Option Samurai for simplicity, and OptionStrat for strategy optimization, catering to both beginners and seasoned traders. Over the years, options scanning technology has evolved tremendously. What once was based on a basic screening filter now comes with real-time data, machine learning insights, and advanced analytics. These scanners no longer filter options but optimize strategies, predict volatility, and maximize profit potential in seconds. But when one has so many choices to sift through, choosing the correct option scanner is challenging. Which of them actually makes an investment worth the penny? Whether you’re a seasoned trader diving into multi-leg strategies or a beginner stepping onto that first step, this article ranks and evaluates the best option scanners of 2025 based on features, pricing, and strengths. Let’s dive right in! ### 1\. ORATS ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F16dd72f7-e2b3-800f-99f0-dcdf1e84270e.png&w=3840&q=75) [ORATS (Option Research & Technology Services)](https://orats.com/?utm_source=medium&utm_campaign=best-option-scanners-of-2025)  is the leader in options analytics, offering advanced tools for traders of all levels. Their [Option Scanner](https://orats.com/option-scanner?utm_source=medium&utm_campaign=best-option-scanners-of-2025)  combines powerful analytics, live data for over 5,000 symbols, and customizable features, enabling precise and efficient strategy building. With proprietary edge calculations and seamless integration with trading tools, ORATS adapts to both beginners and professionals seeking top-tier performance. ### Key Features * Proprietary Theoretical Edge Calculations: ORATS leverages unique metrics like D%, F%, and S% to provide insights into theoretical edge calculations, helping traders identify opportunities with high precision. * Integration with Backtesting and Implementation: Seamlessly transition from scanning to backtesting and executing strategies. This integration ensures traders can validate their strategies before live implementation, minimizing risks. * Stock Scanner Integration: The platform doesn’t stop at options. With built-in stock scanning capabilities, traders can comprehensively evaluate underlying assets before formulating options strategies. * Customizable Strategies: ORATS supports multi-leg strategies ranging from 1 to 4 legs, empowering traders to craft calendars, verticals, and complex multi-leg spreads tailored to their needs. * Live Data Capabilities: The platform provides real-time data for over 5,000 symbols, ensuring traders have the most up-to-date market information for decision-making. * Broker Integration for Direct Trade Execution: ORATS integrates with top brokers, allowing users to execute trades directly from the platform. This eliminates the need for switching between systems, streamlining the trading process. * Robust Entry Criteria for Strategies: Particularly useful for advanced strategies like calendars, the scanner allows users to set detailed entry criteria to fine-tune trade setups. * Competitive Pricing with Trial Options: ORATS offers flexible pricing plans, making it accessible to both retail and institutional traders. Their trial options provide an excellent opportunity for users to explore the platform’s capabilities. ### Strengths * Institutional-Grade Analytics: Proprietary metrics and advanced features cater to professionals while remaining accessible to individual traders. * Comprehensive Toolset: From scanning and backtesting to trade execution, the platform supports the entire trading lifecycle. * Customizability: Multi-leg strategies and detailed entry criteria empower users to fine-tune strategies for optimal results. * Real-Time Market Data: Live updates ensure traders are always equipped with the latest information. ### Pricing ORATS offers competitive pricing tailored to meet diverse trading needs: * Individual Plan: $99/month with features like real-time data, options scanning, and 100 backtests per month (10 during the trial). A 14-day trial is available for $29. * Professional Plan: For advanced users, this plan provides extended features. Pricing details are available on request. The accessible trial pricing allows traders to explore the scanner’s powerful features before committing to a subscription, making it an excellent entry point. In summary, [ORATS’ Option Scanner](https://orats.com/option-scanner)  is undoubtedly the most versatile and robust tool for options traders in 2025. With proprietary analytics, real-time data, and integration with backtesting and execution, it empowers traders to make informed decisions and craft high-precision strategies. Whether you’re just starting your options journey or are a seasoned professional, ORATS stands out as the go-to choice for all your options trading needs. ### 2\. Barchart ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F16dd72f7-e2b3-8078-9b24-f6b95b0df415.png&w=3840&q=75) [Barchart](https://www.barchart.com/options/options-screener?orderBy=baseSymbol&orderDir=asc) , a renowned platform in the financial analytics world, offers an advanced Options Screener as part of its suite of trading tools. Designed for both beginner and advanced traders, the [Barchart Options Screener](https://www.barchart.com/options/options-screener?orderBy=baseSymbol&orderDir=asc)  provides many scanning capabilities in a user-friendly interface, making it easy for users to identify lucrative trading opportunities in the options market. Its integration with Barchart Premier further enhances the user experience by unlocking advanced tools and functionalities. ### Key Features * Customizable Screeners: Barchart’s Options Screener offers extensive customization options, allowing traders to filter options based on key parameters such as implied volatility, expiration dates, strike prices, and more. This helps users customise the screeners to their specific trading needs. * Advanced Analytics: The platform provides analytics like options flow, time and sales, and volatility trackers. These tools allow traders to better understand the market sentiment and identify profitable trades. * Historical Charts & Data: Users can access historical data of options indicators, which will help them in trend analysis and backtesting. But for those data to be for an extensive period, you should be a premier member. * Screener Integration: The Options Screener integrates with the other platform’s tools, such as stocks and ETF screeners, which allows you to monitor concurrently multi-asset portfolios. * Multi-Leg Strategies: Barchart supports advanced multi-leg strategies, empowering traders to implement complex trades like spreads and straddles with ease. * Educational Resources: The platform includes educational content and tutorials aimed at helping new traders understand and effectively use the screener’s functionalities. ### Strengths * Ease of Use: Barchart’s user-friendly interface makes it accessible even for new traders. The screener’s customization options further enhance its usability. * Data Access: Premier members can access extensive historical data, including real-time updates and historical trends, allowing them to analyze market conditions more easily. * Cost-Effective: Starting at $29.95/month, Barchart Premier offers solutions that offer a 360 view to your portfolio. * Integration with Other Tools: The platform’s option screener integrates with other Barchart tools (like equity screeners), making it a one-stop solution for traders managing diverse portfolios. ### Weaknesses * Limited Free Features: The free plan is restricted to basic tools, which will not be enough for demanding users. * Advanced Features Behind a Paywall: Features like options flow, volatility data, and advanced analytics are only available to Premier members, which might be a deterrent for budget-conscious traders. * Less Focused on Multi-Leg Customization: While the platform supports multi-leg strategies, its depth and flexibility may not match specialized competitors like ORATS or Option Samurai. ### Pricing Barchart (except for the free plan) offers its Premier subscription with three plans: * Monthly Plan: $29.95/month. * Annual Plan: $199.95/year ($16.67/month, a 45% savings). * 2-Year Plan: $368 for two years ($15.33/month, a 51% savings). All plans include a free 30-day trial, giving the new user ample time to explore the platform before committing. Premier features include ad-free browsing, advanced analytics, historical data access, and more. To conclude, [Barchart’s Options Screener](https://www.barchart.com/options/options-screener?orderBy=baseSymbol&orderDir=asc)  is a robust and versatile tool for traders looking to enhance their market analysis and strategy execution. While it has good analytics and integration across asset classes, you have to be a paid member to utilize its full capabilities. However, Barchart remains a strong contender in the options scanning space for traders looking for a value-for-money balance. ### 3\. Market Chameleon ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F16dd72f7-e2b3-80c8-9ea6-d3dfc1091c07.png&w=3840&q=75) [Market Chameleon](https://marketchameleon.com/Screeners/Options)  is a well-established player in the world of financial analytics, specializing in a wide array of tools and insights focused on options traders. Its [Option Screener](https://marketchameleon.com/Screeners/Options)  stands out as a tool specifically designed to serve both beginners and professional traders. With user-friendly features and advanced analytics, Market Chameleon’s screener is a popular choice for many in finding high-potential options trades. ### Key Features * Versatile Screening Capabilities: The platform provides a range of filters for options screening, including implied volatility, delta, gamma, and historical volatility comparisons. Traders can filter their search with their own criteria to align with specific trading strategies. * Earnings Analysis: An important feature is the earnings analysis tool, which allows the users to assess the impact of earnings announcements on options prices and volatility. This feature is ideal for strategies centered around earnings events. * Unusual Options Activity: Market Chameleon tracks and shows unusual options activity, helping traders identify significant market moves and potential opportunities based on volume and volatility spikes. * Pre-Built and Customizable Screeners: The platform offers pre-built screeners for common strategies like covered calls and spreads so the user can immediately jump-start without a lot of effort while also allowing users to create custom scans tailored to their specific tastes. * Trade Idea Generation: Market Chameleon’s screener is equipped with tools for generating actionable trade ideas, such as arbitrage opportunities, mispriced options, and high-probability strategies. ### Strengths * Earnings-Focused Analytics: The earnings analysis and event-driven tools are highly important for traders focusing on short-term trades based on volatility. * Rich Historical Data: Market Chameleon provides historical data and backtesting options, allowing users to validate strategies against historical market conditions. * User-Friendly Interface: The platform is designed with a user-friendly layout, allowing traders of all levels to navigate and use it effectively. * Comprehensive Educational Resources: With tutorials and educational content, Market Chameleon provides traders information to expand their knowledge and improve their skills. ### Weaknesses * Pricing Barrier: At $99 per month, the platform’s premium pricing might be a hurdle for traders looking for value-for-money solutions, especially those just starting out. * Limited Real-Time Data: While the platform offers powerful analytics, it does not provide the same real-time data depth as some other tools like ORATS. * Steep Learning Curve: Even though the user interface looks friendly, there still is a steep learning curve for novice traders. ### Pricing Market Chameleon offers a Premium Plan priced at $99 per month, which includes a 7-day free trial. This paid plan provides access to all advanced features, including the full suite of options screeners, historical data, and earnings analysis tools. In summary, [Market Chameleon’s Option Screener](https://marketchameleon.com/Screeners/Options)  is a robust and versatile tool for traders looking to identify and capitalize on opportunities in the options market. While earnings analysis and trade idea generation are at an advanced level, their higher cost and potential learning curve may make them less appealing to budget-conscious or beginner traders. Nonetheless, for traders seeking advanced analytics and actionable insights, Market Chameleon is a strong alternative as an option screener. ### 4\. Option Samurai ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F16dd72f7-e2b3-80e3-9f56-d14cc2c2d0dd.png&w=3840&q=75) [Option Samurai’s Option Screener](https://blog.optionsamurai.com/option-screener/)  is a robust platform for individual investors looking to discover profitable trading opportunities in the options market. Its stress on balancing risk and return makes it stand out, offering a well-designed interface backed by powerful analytics to help traders make informed decisions. ### Key Features * Scanning Capabilities: Option Samurai scans over a million options contracts, balancing between technical and fundamental data. It analyzes key metrics such as implied volatility, ATR (Average True Range), dividend ex-dates, and earnings dates to ensure traders receive the most relevant opportunities. * Predefined and Customizable Scans: Traders can use predefined screeners for well-known strategies or create custom scans according to their criteria. The platform constantly monitors and updates these scans to align them with the changing market. * Optimize Options Strategies: The Options Optimizer tool helps users find their market’s best strategies, strikes, and expirations. This feature evaluates multiple combinations to pinpoint optimal trades that align with the user’s goals. * Detailed Insights: The Analyze Tab merges critical information about selected trades, strategies, and stocks, guaranteeing traders have everything to decide without switching between multiple tools. * Alerts and Workflow Integration: Alerts notify users of new opportunities matching their scans, eliminating the need for constant monitoring. Also, the platform integrates with Excel and Google Sheets, allowing traders to include Option Samurai’s data in tools that they are more familiar with. ### Strengths * User-Friendly Design: Option Samurai focuses on individual investors with simplicity and relevance. The predefined scans and Analyze Tab make it a valuable tool for traders of all levels. * Customization: The ability to optimize options strategies and customize scans to personal preferences is an important advantage, allowing traders to fine-tune the screener to their taste. * Alerts and Integration: Alerts and spreadsheet plugins save time and streamline trading decisions, making the platform ideal for effortless trading. * Affordable Pricing: Option Samurai provides competitive pricing compared to other platforms with a monthly subscription of $49 or an annual plan of $450 ($37.50 per month). Additionally, the 14-day free trial offers a risk-free experiment with its features. ### Weaknesses * Limited Community Support: Option Samurai lacks active user communities or forums, which can be found on other platforms and could make troubleshooting or sharing trading ideas easier. * Data Scope: While the platform offers all known metrics, its live data or historical capabilities may not be as extensive as those of competitors like ORATS. ### Pricing Option Samurai offers two subscription tiers: * Monthly Plan: $49 per month. * Annual Plan: $450 per year (equivalent to $37.50/month). A 14-day free trial allows users to explore predefined scans and create custom strategies before committing. In conclusion, [Option Samurai](https://blog.optionsamurai.com/option-screener/)  is ideal for traders desiring a balance of simplicity and advanced analytics. Its tailored scans, optimization tools, and workflow integration provide a reliable solution for options trading. Its competitive pricing and user-focused design make it a useful tool for individual investors aiming to improve their trading strategies. ### 5\. OptionStrat ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F16dd72f7-e2b3-8021-9533-fbb394d39669.png&w=3840&q=75) [OptionStrat’s Options Trade Optimizer](https://optionstrat.com/optimize)  is a specialized tool designed to help identify and analyze option trading strategies. This product is made for traders who want to maximize profitability by optimizing trade configurations with real-time insights and progressive evaluation tools. ### Key Features * Strategy Optimization: The optimizer assesses multiple options strategies, helping traders identify the most effective mixtures of strikes, expirations, and risk-reward ratios for their market view. * Market Event Integration: Traders can monitor market events such as earnings reports or ex-dividend dates to evaluate their impact on specific strategies. * Historical Strategy Tracking: Save and track previous strategies to analyze historical performance and help on future trades. * Real-Time Data: For users on the Live Flow Plan, real-time options flow and price updates ensure timely decision-making, a critical feature for active traders. * Custom Filters and Alerts: The platform lets traders to set personalized alerts for specific market setups and save custom filters, ensuring relevant strategies filter the noise. * Chance of Profit & Risk Metrics: Visualizes the chance of success for each strategy, allowing traders to make informed decisions based on risk-reward setups. Displays net Greeks for multi-leg strategies, offering a broad view of the strategy’s events like price changes, volatility, and time decay. ### Strengths * User-Friendly Interface: The platform’s interface makes it convenient for traders of all skill levels, offering a pleasant experience for creating and analyzing strategies. * Comprehensive Optimization: Features like volume overlay, probability charts, and net Greeks allow traders to evaluate multiple scenarios and select the best-fit strategy for their market view. * Custom Filters and Alerts: Traders can personalize their experience, ensuring they only receive information relevant to their trading system. ### Weaknesses * Limited Data on Free Plan: While the Free plan offers access to the optimizer, the data is delayed, which may not suit traders seeking their edge with fast timeframes. * Lack of Advanced Charting Tools: The Trade Optimizer provides visualizations for strategy comparison but lacks more advanced charting capabilities that some competitors offer in their platforms. ### Pricing OptionStrat’s Options Trade Optimizer is available under three pricing plans: * Free Plan: Access with delayed data and limited features. * Live Tools Plan: $19.99 monthly for delayed tools and historical data. * Live Flow Plan: $59.99 monthly, unlocking real-time options flow and all premium features. A 7-day free trial is offered for both premium plans, allowing traders to test the optimizer’s capabilities before committing. In summary, [OptionStrat’s Options Trade Optimizer](https://optionstrat.com/optimize)  is a powerful and user-friendly solution for traders aiming to simplify the decision-making process on their options trades. By offering real-time data, probability metrics, and customizable filters, the optimizer allows users to make data-driven decisions confidently. While advanced charting features are missing, its ease of use and focus on strategy optimization make it a strong competitor for traders looking for a tool to help them with their options trading. ### Final Thoughts Options scanners are not extras but are now absolutely integral parts of a trader’s options-trading arsenal that aim at seeking an edge on the options market. Be it complex analytics (ORATS), detailed earnings insights (Market Chameleon), or inexpensive simplicity (Option Samurai), a scanner is available to serve your purpose. For beginners, Option Samurai has an intuitive platform to begin with. Meanwhile, advanced traders will appreciate the depth and versatility of ORATS. Barchart and Market Chameleon cater to traders seeking rich data and event-driven opportunities, while OptionStrat’s optimizer simplifies the process of refining trade setups. The features like AI-powered scans and automated trade execution are very likely to become part of these scanning technologies, thereby increasing the speed and the smarts involved in trading. Whichever tool you choose, these scanners are here to help you uncover opportunities and trade with confidence. With that, you’ve reached the end of the article. I hope this guide helps you find the perfect option scanner to level up your trading game. Thank you for reading! Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What Is a Volatility Surface? Why Traders Use It](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e0d72f7-e2b3-8075-ad7e-de601a888365.png&w=3840&q=75)\ \ What Is a Volatility Surface? Why Traders Use It\ \ A framework for evaluating options pricing using term structure and strike structure](https://orats.com/blog/understanding-volatility-surfaces) [![ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25fd72f7-e2b3-80a5-aaa5-eec1b0b2efa4.png&w=3840&q=75)\ \ ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools\ \ ORATS is pleased to announce the promotion of our beta dashboard to full production status, bringing powerful new capabilities to options traders and institutional clients.](https://orats.com/blog/launch-enhanced-production-platform-with-ai-assistant-trading-tools) [![Find Stocks With Undervalued Implied Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fe44bc12d-b1ac-4fe3-b650-71713c075613.png&w=3840&q=75)\ \ Find Stocks With Undervalued Implied Volatility\ \ Use the Low IV30d scan in the ORATS stock scanner to identify stocks with undervalued implied volatility.](https://orats.com/blog/find-stocks-with-undervalued-implied-volatility) Contact Us Questions about the API requirements? 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Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Matt Amberson Quoted by Reuters on KRE Banking ETF [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Thursday, February 1st 2024 Matt Amberson Quoted by Reuters on KRE Banking ETF ================================================== See how KRE has been impacted by the news of NYCB and get a glimpse of the latest time and sales data. Summary The SPDR S&P Regional Banking ETF (KRE) has been negatively affected by problems in commercial lending at NYCB New York Community Bancorp. Implied volatility has increased since the news, with option volume and trading activity significantly higher than usual. KRE the SPDR S&P Regional Banking ETF has seen a lot of negative action recently. Dragged down by problems from commercial lending at NYCB New York Community Bancorp, KREs options have been busy. See the [Reuters Story HERE.](https://www.reuters.com/markets/us/traders-play-defense-regional-bank-etfs-options-shares-sink-2024-02-01/) Implied volatility is way up since news of NYCB has come out Tuesday after the bell. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fbe10347e-b706-419f-b850-6fd00a8dc189.png&w=3840&q=75) Tuesday, before the fall 5% yesterday, IV was 27.5%. Yesterday IV was around 30%. Today, IV hit a high of 38%, and we saw significant vol selling sending IV down to still high levels of 35%. Volume is heavy at almost five times usual. Option volume today:569,818 Option volume 20d avg:109,000 Option volume today / 20d avg:5.2x Traders are neutral delta, short options premium, unprofitable, and could be opening or closing positions based on the assessment of trades today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd1fbeaeb-7691-45a0-959c-76ef3c3bc54c.png&w=3840&q=75) Net Dollar Delta -2,263,575 Total Long Dollar Delta 67,599,684 Total Short Dollar Delta -69,863,259 Total Premium ($) -5,482,875 Total Bought ($) 5,997,822 Total Sold ($) -11,480,697 Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # MarketWatch Talks to ORATS About This Earnings Season [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Monday, February 12th 2024 MarketWatch Talks to ORATS About This Earnings Season ===================================================== Matt talks with Tomi Kilgore of MarketWatch to discuss this highly volatile earnings season. Summary Matt Amberson of ORATS discusses the current earnings season with Tomi Kilgore of MarketWatch. This season has been the most volatile in the past five years, with stocks moving more than what was implied by options pricing. The implied volatility of the market has remained low compared to previous seasons, resulting in larger actual moves. The guidance from companies is highly anticipated, and any misses or gains are closely watched. Matt Amberson, Principal of ORATS, sat down with Tomi Kilgore of MarketWatch to discuss this earnings season. This earnings season that started in January is the most volatile since we started this measurement five years ago. ORATS meticulously calculates the expected move as implied by the options straddle pricing in the market, adjusting the straddle by the amount expected to be left over after earnings are announced. The actual earnings move is then compared to the implied earnings move and is tracked by earnings season. Each earnings season is about 6 weeks long. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fbe2b10de-a870-461a-bc52-41bab05bf6b5.png&w=3840&q=75) The first table is the current earnings season. The number to keep an eye on is the 129% highlighted in green at the bottom right of the table. That represents how much more on average stocks have moved compared to what was implied. We rarely see it above 110% this far into the earnings season. The numbers above the 129% represent the weekly average. The second table is the last 12 earnings season average. The 104% in the bottom right is the average actual earnings move over implied. You can say that options holders we up 4% holding straddles. As an example for one day below, notice the top names in the graph and the green Actual/Expected Earn Move are so much greater than the negative moves. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25ecf9c9-c1d5-4415-ba91-27703024cef1.png&w=3840&q=75) Many of the past earnings season have coincided with macro events that drove implied volatility of the market higher. With straddles already elevated, the subsequent earnings moves were not as dramatic versus what was implied. This season, the implied volatility of the market has remained low compared to past earnings seasons. Starting from a lower base IV, the additional earnings effect implied by the options prices are often not enough to make up for actual moves. This earnings season is on pins and needles to hear the guidance from companies. The soft vs hard landing debate plays out in the reported earnings and any miss is punished and gains are celebrated. Read the MarketWatch [Story here.](https://www.marketwatch.com/story/stocks-have-been-moving-a-lot-more-than-usual-after-earnings-heres-why-and-what-it-could-mean-34e9d66c?mod=tomi-kilgore) Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Trading TSLA’s lowest slope in three years [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Monday, April 29th 2024 Trading TSLA’s lowest slope in three years ========================================== TSLA’s sharp decline in slope today presents new trading opportunities for those looking to maximize a change in options skew. Summary Tesla's stock soared after news broke of the potential introduction of full self-driving (FSD) in China. The article discusses the effect on TSLA's slope and presents trading opportunities, such as a short risk reversal or a long put diagonal. The current slope is the cheapest seen in three years, and while stocks typically revert to a positive slope, the article raises the question of whether this could be the start of a new beginning for TSLA. News broke overnight that Tesla’s full self-driving (FSD) could soon make an appearance in China: [https://theweek.com/business/elon-musk-tesla-china-self-driving-cars](https://theweek.com/business/elon-musk-tesla-china-self-driving-cars) Elon’s surprise visit to Beijing caused the stock to soar early Monday morning, up over 15% by the end of the day. In this article, we take a look at the effect on TSLA’s slope and how you can trade based on the recent announcement. The outlook tab in the analyzer shows TSLA’s slope today as significantly undervalued, based on comparisons to it’s closest SPDR sector ETF (XLY), to the ORATS forecast of slope, and to it’s 1-year percentile. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F6c575c4a-11e4-4378-b966-6fe9d580e0b6.png&w=3840&q=75) An undervalued (or cheap) slope indicates that the higher strike calls are more expensive, or overvalued, compared to the lower strike puts ([https://orats.com/university/stock-scanning#put-call-skew-cheap](https://orats.com/university/stock-scanning#put-call-skew-cheap) ). Looking at the IV skew for the week of May 17th, we see that the five delta calls have an IV of 84, while the 5 delta puts have an IV of 62. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F8b99d87a-3189-43f4-bfd7-d6cda79fe70d.png&w=3840&q=75) This disparity is especially unique for TSLA, which typically has a positive slope (lower strike puts are more expensive than higher strike calls). TSLA’s high volatility and bearish price trends over the past two years have contributed the positive slope. You can see in the following months that the slope begins to level off. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F07b9e78d-1498-40b4-8030-f5bf376e23cb.png&w=3840&q=75) In fact, it’s worth pointing out that this is the cheapest slope we’ve seen on TSLA in three years. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F160771f6-42ba-4b4f-b86c-8f6c7f67654c.png&w=3840&q=75) Stocks typically don’t see a negative slope for long. Slope tends to revert to the positive side because stocks normally drop faster than they go up, causing the implied volatility of the lower strike puts to be higher than the higher strike calls. The sharp decrease in slope today presents some interesting trading opportunities for TSLA. A short risk reversal trade maximizes the change in slope by selling the higher IV call and buying the lower IV put. However, this would mean being short delta, which might not be a good idea if TSLA stock continues to see good news. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fa11ef400-1714-4f6d-9bc0-a17c7e886566.png&w=3840&q=75) An alternative trade is one Matt demonstrated on a [recent episode of Driven by Data](https://www.youtube.com/watch?v=mA49TdCEf2A) - our live webinar series. A long put diagonal, when set up correctly, can minimize your exposure to the Greeks while maximizing the profit potential from the change in slope. You’re buying the lower strike put at a further expiration while selling the higher strike put at a closer expiration. This trade is also long delta, meaning you’d be profitable if the stock continues to go up. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fc6b51e66-ace4-438c-a89e-f455de1b38e4.png&w=3840&q=75) If you’re considering trading the above spreads, please first try our [paper trading platform](https://orats.com/trading) . These are not trade recommendations, and we encourage you to try out strategies in a paper trading environment before investing real money. Do you think this is the start of a new beginning for TSLA, or just a one-time fall in the slope? Leave your thoughts on the trades in the [new Community tab](https://dashboard.orats.com/community) in the dashboard. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Matt Discusses Earnings Season With Reuters [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) In the Media Monday, August 7th 2023 Matt Discusses Earnings Season With Reuters =========================================== Higher profit for straddle owners this season Summary ORATS publishes an earnings season report that follows the performance of owning straddles before earnings and comparing the implied move in the stock to the actual move. This earnings season has been profitable to straddle owners. [Saqib Iqbal Ahmed at Reuters interviewed Matt Amberson](https://www.reuters.com/markets/us/options-bets-earnings-fueled-volatility-us-stocks-paying-off-2023-08-07/) , Principal of ORATS, today about the current earnings season. ORATS publishes an earnings season report that tracks the performance of the implied move in the underlying stock after earnings are announced. Using the straddle prices and proprietary calculations that estimate the shape of the distribution of earnings moves, ORATS nets the expected value of the straddle after earnings against the current price to get an accurate representation of the market’s expectation of stock movement. Straddles profit if the stock moves in either direction greater than the implied move. ORATS tracks the weekly performance of these straddles during earnings season. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1ff04d83-2de3-479d-aeaa-8e77c45a1778.png&w=3840&q=75) Usually, the performance of straddles is poor in the first two weeks, improves in weeks 3 & 4 and is break-even in weeks 5 & 6 as earnings season winds down. This earnings season has been kind to options holders with a +8% profitability estimated by comparing the actual moves to the implied moves in the stock. Find out more and sign up at [https://orats.com/earnings](https://orats.com/earnings) Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Earnings Straddles Are Having Their Moment](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F305d72f7-e2b3-802e-8dfc-efd5e26905b5.png&w=3840&q=75)\ \ Earnings Straddles Are Having Their Moment\ \ Strong realized moves and shifting volatility expectations have produced one of the most favorable earnings seasons for straddle buyers in years.](https://orats.com/blog/earnings-straddles-strong-season-2026) [![On Risk Management and Path-Dependent Trades: Lessons from Captain Condor](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-8031-a4ec-e1530763f5c8.png&w=3840&q=75)\ \ On Risk Management and Path-Dependent Trades: Lessons from Captain Condor\ \ ORATS cited by Bloomberg on an options market loss](https://orats.com/blog/lessons-from-captain-condor-risk-management-path-dependent-trades) [![Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b4d72f7-e2b3-80ea-80dc-e7f2a2885f33.png&w=3840&q=75)\ \ Why Leading Financial Institutions Trust ORATS for Options Data (And Why Serious Traders Should Too)\ \ Why financial media, trading desks, and quant researchers depend on ORATS data every day](https://orats.com/blog/trusted-options-data) Contact Us Questions about the API requirements? 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Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Find Stocks With Undervalued Implied Volatility [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Trading Sunday, August 20th 2023 Find Stocks With Undervalued Implied Volatility =============================================== Use the Low IV30d scan in the ORATS stock scanner to identify stocks with undervalued implied volatility. Summary This post introduces the Low IV30d stock scan, designed to identify stocks with undervalued implied volatility. The scan uses ex-earnings IV to normalize comparisons to historical data and ETFs, and filters stocks based on their IV ratios and sector comparisons. Long straddles and strangles are good strategies for trading undervalued volatility. ### Introduction Scanning for stocks is a critical component in any trader’s toolkit. Since volatility is such a primary driver of options prices, scanning for stocks with meaningful changes to their implied volatility can help options traders make informed decisions on which stocks to trade. In this post, we’ll look at the Low IV30d scan, designed to identify stocks where the implied volatility (IV) is undervalued. You can check out the scan here: [https://dashboard.orats.com/stock-scanner/scanner?id=2251799813685402](https://dashboard.orats.com/stock-scanner/scanner?id=2251799813685402) . ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e35bdd4-d826-4bd4-adb4-dbdae4ab3f8b.png&w=3840&q=75) ### Identifying undervalued stocks Sometimes, the implied volatility of a stock gets undervalued usually because of supply and demand imbalances in the options. We look at the ratio of the ex-earnings 30-day implied volatility versus its 5-day, 20-day, and 50-day average to identify these times. We also look at how the implied volatility of each stock compares to other stocks in its same sector. The filtered stocks would be candidates for long straddles or strangles. ### Why is ex-earnings implied volatility important? We use ex-earnings implied volatility in this stock scan because it provides a normalized comparison to historical data as well as to the stock’s best ETF. Earnings effects are seen when a stock is approaching it’s earnings date, and the implied volatility steadily rises until the moment earnings are reported, at which point it falls immediately back to normal levels. ORATS’ ex-earnings indicators are a reflection of the true implied volatility of the stock without any of the earnings effects. ### How to trade undervalued volatility Once you’ve run the scan and identified trades with undervalued implied volatility, you can hop over to the option scanner and import the stock scan in the “Add symbols” section. This will take the top 25 symbols and scan for options that meet your criteria. Long straddles and strangles are good strategies to take advantage of undervalued volatility, because you’re expecting volatility to increase back to its normal levels. Any strategy with a positive Vega goes well with this stock scan. ### Indicators ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F9e828547-231f-439a-b220-b366f3edef33.png&w=3840&q=75) Here is a list of all the indicators used in this stock scan: * iv30d / orHv90d is <0.9: 30 calendar day interpolated implied volatility / 90-day historical intraday volatility. * iv30d ratio to Best ETF\_C is <1.68: The Best ETF\_C is the component ETF that tracks a weighted average of the components of the symbol’s closest SPDR sector ETF. * orFcst20d / exErnIv30d is >1: The orFcst20d tracks the ORATS forecast of stock volatility for the next 20 days based on data with earnings taken out. Forecasts are developed using a combination of ex-earnings implied volatility, historical volatility patterns, and relationships to the volatility of the best ETF\_C. * stockPrice is >5 * confidence is >40: The total weighted confidence from the monthly implied volatilities derived from each month’s number of options and bid ask width of the options markets. A higher confidence indicates that ORATS is more confident in its forecast of volatility. * iv30d is >5 * ivPct1m is <66: A measure of implied volatility vs its past 1 month values. If IV percentile is 66% – It means that current IV value is higher than 66% of previous 1 month values (and lower than 34% of them). * ivPct1y is <66: A measure of implied volatility vs its past 1 year values. If IV percentile is 66% – It means that current IV value is higher than 66% of previous 1 year values (and lower than 34% of them). * etfIvHvXernRatio is <1: orIvXern / orHvXern20d ratio divided by the ETF 30day implied / orHv20d ratio. * exErnIv30d\_ratioTo5dAvg is <1: exErnIv30d is the implied 30 calendar day interpolated implied volatility with earnings effect out. This indicator compares it to its 5-day moving average. * exErnIv30d\_ratioTo20dAvg is <1 * exErnIv30d\_ratioTo50dAvg is <1 * avgOptVolu20d is >500: The average option volume for all strikes over the last 20 days. * tkOver is 0: This filters out all takeovers or rumored takeovers. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What Is a Volatility Surface? Why Traders Use It](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e0d72f7-e2b3-8075-ad7e-de601a888365.png&w=3840&q=75)\ \ What Is a Volatility Surface? Why Traders Use It\ \ A framework for evaluating options pricing using term structure and strike structure](https://orats.com/blog/understanding-volatility-surfaces) [![ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25fd72f7-e2b3-80a5-aaa5-eec1b0b2efa4.png&w=3840&q=75)\ \ ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools\ \ ORATS is pleased to announce the promotion of our beta dashboard to full production status, bringing powerful new capabilities to options traders and institutional clients.](https://orats.com/blog/launch-enhanced-production-platform-with-ai-assistant-trading-tools) [![Best Option Scanners of 2025](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F16dd72f7-e2b3-8087-82bc-fd2b622c4878.png&w=3840&q=75)\ \ Best Option Scanners of 2025\ \ A comprehensive list of the most recommended Option Scanners](https://orats.com/blog/best-option-scanners-of-2025) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Will Shrink Strike Again? DICK’S and Best Buy Highlight Week 2 of Retail Earnings [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Thursday, November 16th 2023 Will Shrink Strike Again? DICK’S and Best Buy Highlight Week 2 of Retail Earnings ================================================================================= We profile two retailers that have struggled this year for signs of a turnaround Summary The upcoming holiday shopping season is uncertain, with mixed signals in card usage trends and weak consumer sentiment. Traders will be closely watching the heavy stretch of retail earnings, along with October Retail Sales and CPI and PPI data. The SPDR S&P Retail ETF has seen a significant decline in share price. DICK'S Sporting Goods will be under scrutiny after disappointing Q2 results, with concerns about inventory shrink. Best Buy faces challenges from e-commerce and heavy discounting. Overall, retail earnings will provide important insights into spending trends. Authored by Wall Street Horizon on [https://www.wallstreethorizon.com/blog/will-shrink-strike-again](https://www.wallstreethorizon.com/blog/will-shrink-strike-again) . Watch what I do, not what I say. That's likely to be the mantra heading into the holiday shopping season. The National Retail Federation predicts a modest rise in overall spending, but there are mixed signals when assessing card usage trends from the latest batch of weekly and monthly updates. What's more, the University of Michigan's Consumer Sentiment Survey revealed the weakest reading since May, despite the rapid fall-off in gas prices. The picture will be clearer after traders digest this week's [heavy stretch of retail earnings](https://www.wallstreethorizon.com/blog/Retailers-Get-Ready-to-Report-Earnings-Amidst-Growing-Fears-of-a-Consumer-Slowdown) . Along with October Retail Sales from the Census Bureau and the monthly CPI and PPI looks, all eyes will be on the winter holiday spending period. The price-action theme over the last few months has been anything but cheery. The SPDR S&P® Retail ETF (XRT) has seen its share price fall down the chimney, plunging from just shy of $68 in the summer to sporting a 5-handle at the close of last week. The fund and many of its holdings are in play this week amid key earnings reports and macro data. The good news for both traditional retailers and e-commerce companies is that there's an extra week between Thanksgiving and Christmas this year. Five full weekends, retail executives hope, will allow for a few extra splurges to boost bottom lines after what has been a remarkably strong year in terms of total spending. ### S&P Retail ETF: Strong Sales, Weak Share-Price Trends ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fc80cd792-e604-4d54-97c5-d93f75ee80f8.png&w=3840&q=75) With some of the Consumer Staples and Consumer Discretionary heavyweights having already reported Q3 results, the focus shifts to more niche spots. After Walmart (WMT) and Ross Stores (ROST) provide earnings numbers this Thursday, Thanksgiving week provides little respite in the two consumer sectors. Let's home in on the slew of third-quarter reports confirmed to be released on Tuesday next week. ### DICK'S Looks to Get Back in the Bullish Game DICK'S Sporting Goods (DKS) will be under the spotlight. Scrutiny will be high as the $9.5 billion market cap Specialty Retail industry company shocked analysts back in August. Its Q2 operating EPS figure of $2.82 missed the mark by $0.99 while quarterly revenue verified near expectations. Weaker-than-expected guidance helped to send shares lower by 24%, but of particular concern was its management team citing elevated inventory shrink leading to soft Q2 profits. While not the only retailer hinting at problems with theft (which is just one element of retail shrink), DKS was perhaps the poster child of the trend last earnings season. Critics suggest that shrink has become the new 'weather' in terms of what to blame for a weaker quarter. We'll know more after the Pennsylvania-based sporting goods retailer serves up third-quarter numbers next week. As it stands, the options market has priced in a high 8.4% earnings-related stock price swing when analyzing the at-the-money straddle expiring soonest after the November 21 reporting date, according to Option Research & Technology Services (ORATS). That is the largest implied move since November last year. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd4979aa9-47b9-40d8-b53c-5c40ad93daa3.png&w=3840&q=75) ### DKS 1-Year Stock Price History: High-Volume Drop Following Weak Q2 Results ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F0e35644f-797e-4faa-a248-da4dec525f4f.png&w=3840&q=75) ### Best Buy Tossed into the Clearance Bin Maybe the most impacted big-box store by the rise of e-commerce is Best Buy (BBY). It was not long ago when "showrooming" - the consumer practice of checking out electronics at a physical store only to tap buy on a smartphone from an online merchant (typically Amazon) - was the major negative investment thesis with BBY. While that's certainly still a risk, another holiday sales season of heavy discounting and at-risk margins are top of mind with investors. Not surprisingly, the consensus estimate for current-year EPS is just $6.22 - a 12% annual decline. Analysts at Goldman Sachs see a flicker of opportunity in the stock, however. Last month, Goldman upgraded the retailer from a Neutral rating to a Buy. The firm cited signs of stabilizing demand for some tech products and better comp-store sales trends in the offing. The valuation case can be made considering that BBY trades near 10 times forward operating earnings, a steep 22% discount to its 5-year average. BBY's Q3 2024 results will be the all-important data point given that no other corporate events are slated for the balance of the year, according to Wall Street Horizon. Implied volatility is also to the high side with Best Buy, but the company has topped EPS estimates in 11 of the previous 12 quarters with the stock trading higher post-earnings in six of the last seven quarters, per ORATS. ### BBY 1-Year Stock Price History: Best Buy Shares on the Fritz ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F83dc8db3-1e0f-4712-8b48-5e574e790d54.png&w=3840&q=75) ### The Bottom Line It'll be planes, trains, automobiles, and retail earnings numbers during Thanksgiving week. Executives from consumer companies big and small hope spending trends hold up amid a less-firm labor market and a downbeat sentiment situation. A handful of bellwether firms have already posted mixed results, and more market-moving quarterly figures are on tap. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Looking Back on a Chilly Year for IPOs, and Why 2024 Could Warm the Waters [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Market Events Monday, December 4th 2023 Looking Back on a Chilly Year for IPOs, and Why 2024 Could Warm the Waters ========================================================================== We look at the weak 2023 IPO market and revisit four mid-year IPOs with important lock-up expiration dates in late December. Summary The global IPO market has been cold in 2023, with a low IPO count and lackluster performance for newcomers. Tighter capital market conditions and volatile price action among significant IPOs have made companies hesitant to go public. The upcoming lock-up expiration dates for IPO stocks present event risks. Small-company IPOs like Savers Value Village, Kodiak Gas Services, and Fidelis Insurance Holdings have faced challenges. Looking ahead, Shein's IPO and potential rebounds in the Chinese market could revive IPO activity in 2024. Authored by Wall Street Horizon on [https://www.wallstreethorizon.com/blog/Looking-Back-on-a-Chilly-Year-for-IPOs-and-Why-2024-Could-Warm-the-Waters](https://www.wallstreethorizon.com/blog/Looking-Back-on-a-Chilly-Year-for-IPOs-and-Why-2024-Could-Warm-the-Waters) . The global IPO market continues to run cold. The final quarter of 2023 paces to be the softest Q4 IPO count since 2019 while the 4-quarter moving average of new offerings keeps on sagging, according to Wall Street Horizon data. Despite a few [noteworthy IPOs](https://www.wallstreethorizon.com/blog/IPO-Market-Showing-Signs-of-Life-Drawing-Second-Half-Optimism-on-Wall-Street)  in the middle of the year, overall performance for these newcomers has been lackluster. Then two Q3 headliners, Arm (ARM) and Instacart (CART), failed to live up to the hype, with both stocks experiencing significant drops from their initial highs. While Arm has managed to rally and retest its year-to-date peak, Instacart's stock performance remains weak. ### Closing the Door on a Disappointing Year for IPOs ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F8e8570fa-ace4-454f-aa61-d6f675d5e321.png&w=3840&q=75) ### Tough Macro Conditions for IPO Candidates Closing the chapter on a lackluster year for newly public stocks, weak and volatile price action among significant IPOs in 2023 has likely made other growing private companies hesitant to enter the public arena. Tighter capital market conditions, including higher interest rates compared to the IPO boom of 2020 and 2021, contribute to the challenging environment. Optimists can point to the steep decline in yields since mid-October, but it remains to be seen whether that near-term macro trend will warm the IPO market and Wall Street dealmaking. ### Event Risk: IPO Lock-Up Expiration Dates Back in July, we profiled a handful of companies that went public amid high interest rate volatility and shaky credit markets. The six-month mark is important in the life of an IPO stock since that's typically when a lock-up expiration date hits. Investors should recognize the risk that insiders could sell shares, increasing the supply on the market, possibly leading to a lower stock price. CAVA Group (CAVA) faces a lock-up expiration on Monday, December 11. The owner and operator of fast-casual Mediterranean-style restaurants issued a strong EPS beat in its November earnings report, though shares fell 7.7% the following trading day, according to Option Research & Technology Services (ORATS). Down 20% from its IPO-day closing price, CAVA presents a conundrum for another fast-casual chain that is suspected by some market pundits to be a 2024 IPO candidate: Panera. The once-public Consumer Discretionary stock was taken private in 2017 by a European investment firm in a $7.16 billion transaction. CAVA shares could also face volatility this week as its management team is slated to present at the Morgan Stanley Consumer and Retail Conference in New York on Tuesday and Wednesday. The next important lock-up expiration event is on December 25, so Tuesday, December 26, will be a key date for investors to manage risk among the other three mid-2023 IPO stocks described below. ### Small-Company IPOs Struggle First, Savers Value Village (SVV), a $2.3 billion market cap Broadline Retail industry firm, has been under intense pressure after peaking above $26 in August. Shares fell on high volume after it last reported earnings results. In November, SVV's CEO commented on a "strong quarter" and the management team announced a new share repurchase authorization, which perhaps helped buoy shares after notching a low under $12 during the middle of last month. Next, Kodiak Gas Services (KGS) has held up well since its IPO date in June, though the stock remains well off its August peak. Shares are up more than 10% from the IPO-date closing value with higher oil and gas prices providing a tailwind through Q3. Amidst a downturn in global energy-commodity markets in the last two months, the oil and gas equipment and services stock has outperformed the Energy sector since September. We'll find out if the lock-up expiration later this month disrupts the decent relative trend. Finally, Fidelis Insurance Holdings (FIHL), a $1.4 billion market cap property and casualty insurer within the Financials sector had been performing well for stockholders before its November 20 third-quarter 2023 earnings report. Misses on the top and bottom lines were likely the culprits – FIHL plunged from above $14 before the report to under $12 by late November. The stock is now 15% below its $14 IPO price. ### 2023 IPO Stocks Off the Highs ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fc528273d-66cb-4d43-8f63-aa16700342d8.png&w=3840&q=75) ### Better Days on the Horizon? Looking ahead, recent IPO buzz has focused on the Chinese fashion company Shein. Reuters reports that the firm confidentially filed to go public in the U.S. with Goldman Sachs, JPMorgan Chase, and Morgan Stanley as lead underwriters. The IPO size could be north of $60 billion, but controversy surrounds Shein given labor rights issues, racketeering, accusations of intellectual property theft, and safety concerns. Bigger picture, [recent IPOs](https://www.wallstreethorizon.com/blog/Can-Arm-and-Instacart-Resuscitate-the-IPO-Market)  in the consumer and tech spaces have disappointed investors. Birkenstock (BIRK), Instacart, and Arm Holdings have all fallen below their respective IPO prices in recent weeks. Elsewhere, Reddit and Kim Kardashian's Skims are two companies bantered about as 2024 IPO candidates. Also, Rubrik, a startup financed by Microsoft, could go public early next year. Finally, any rebound in the Chinese market could result in a slew of companies from the world's second-largest economy helping to revive global IPO activity. ### The Bottom Line The 2023 IPO window shuttered following weak debuts from a few big-name companies in September and October. There may be trepidation later this month when four mid-year IPO stocks face lock-up expiration dates. Hope abounds for 2024, though, as several multi-billion-dollar enterprises across sectors and geographies could venture into IPO waters. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What the Holiday Implied Volatility Term Structure Is Telling Us](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2d2d72f7-e2b3-8030-933e-e6fc225ceac7.png&w=3840&q=75)\ \ What the Holiday Implied Volatility Term Structure Is Telling Us\ \ Otto Explains Holiday Risk](https://orats.com/blog/holiday-2025-implied-volatility-term-structure) [![Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F299d72f7-e2b3-8025-bdbd-d487dc54bc35.png&w=3840&q=75)\ \ Market Pricing Heavier Volatility for Jobless Claims & Core PCE than the FOMC Decision\ \ Markets expect post-Fed economic data to drive the real move, with event premium peaking late in the week.](https://orats.com/blog/fomc-volatility-distortion-october-2025) [![Additional SPX Volatility Detected Ahead of September 5th Jobs Data](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F264d72f7-e2b3-80c9-8b51-ff4065bae7db.png&w=3840&q=75)\ \ Additional SPX Volatility Detected Ahead of September 5th Jobs Data\ \ Options markets are pricing in a 0.66% move in SPX ahead of Friday’s dense slate of labor market reports.](https://orats.com/blog/spx-volatility-september-5-nfp-unemployment-calendar-impact) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Solving All Your Options Analysis Problems with the ORATS API — A Coding Blueprint [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Data API Friday, December 8th 2023 Solving All Your Options Analysis Problems with the ORATS API — A Coding Blueprint ================================================================================== Read a quick overview of the advantages of the ORATS APIs and how to use them in Python. Summary This document discusses the use of the ORATS API for options analysis. It highlights the need for options data, the challenges in accessing comprehensive options data, and the advantages of using the ORATS API. It also provides comparisons with other options data providers and includes code snippets demonstrating the usage of the ORATS Data and Intraday Data APIs. ### Article Index (use Ctrl-F to find sections) * Introduction: The need for options data * Usage: A difficult example of options analysis * Comparisons: Listing current options APIs * Examples: Quick code snippets for usage * Takeaways: Major advantages * Links ### 1\. Introduction: The need for options data Amongst All three trading styles (fundamental, technical, and sentimental analysis), data is the driving factor to almost all trading. This is especially true in the recent trend of newer algotrading services accessible to modern retail and institutional traders alike. While there’s been a recent surge in popularity of stocks and a recent boom in relevant data based APIs, there aren’t many options APIs that can provide full coverage in both real-time and historical options data. This disparity between the accessibility of stocks and options data (and APIs) is due to the drastically higher complexity that options data encompasses. For example, while a single stock at a single point in time may have one price, there can be 20+ options contracts, with 10+ strikes above or below the current price, for both contracts that are calls or puts. An example estimation below. Note: This gets dramatically worse as most stocks data uses candlestick aggregates (open, high, low, close, volume) and options data uses Greeks (Delta, Gamma, Theta, Vega, and Rho), open interest, and implied volatility AAPL Stock: 1 Stock = 1 data point AAPL Options: 20 Expiration Dates\* 20 Contracts (Strikes) \* 2 (Calls and Puts) = ~800+ data points ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F615553d1-1bbc-441a-b31c-b4237b2f6fa2.png&w=3840&q=75) Clearly the sheer amount of information required for options data is clear reason to why there aren’t many FinTech based companies who can provide full-coverage to options related data. Before we get to some code examples, the next section will give key examples to the power of using real-time and historical options data. ### 2\. Usage: A difficult example of options analysis In any kind of options strategy, buying or shorting naked or covered or long calls or puts, multi-leg strategies, etc., having real-time and historical chain data across all options, can drastically improve ones trading pipeline, whether you are algotrading or physically using a GUI (i.e. Think Or Swim, E-Trade). While I can go into actual options strategies, the examples below will be concepts using data to aid the analysis of a current trader’s strategies. * Choosing options contracts based on a given strategy (single or multi-leg) on all existing contracts on the CBOE. * Based on the above, cross-matching those recommendations within a certain market sector and market cap with a certain P.E. ratio based on the underlying (specific stock). * From the above, finding which contracts have the highest open interest and implied volatility, also taking accounting for the spread of the contracts bid and ask as well as sizes. This is difficult enough when using the current snapshot of real-time data. Imagine doing this across the entirety of options contracts beginning from 2007 to today (roughly 16 years). The above three points are all very difficult to execute from most current options data services (APIs), and definitely would take a lifetime to perform if using a manual program clicking with a user interface. Many of the API services from the ORATS Company can enable this higher level of analysis. In the next section I’ll compare the API offerings from ORATS to other similar services. ### 3\. Comparisons: Listing current options APIs While most hedge funds have been using computerized or algorithmic trading since the 80’s, there are many FinTech companies giving this access to the average retail trader, even breathing new life to the current hedge-funds with newer innovations. As mentioned in section 1 of this article, the sheer volume of options data makes it difficult for many FinTech companies to provide full coverage of options data as far back in time as possible. To have full coverage of options contracts, the data would have to provide the options quotes (bid, ask, sizes, quote, close) the Greeks (Delta, Gamma, Theta, Vega, Rho), as well as other features (volume, implied volatility, open interest, etc.). As far as I know, ORATS is the only options data provider that can provide all three categories of these features, both in real-time (intraday data API) and any point in the past (Data API). Below I’ll list other options data providers with their caveats. * Yahoo Finance — Has full coverage of current options chain with all features, but lacks historical options chains that have expired. Also there is no official API (the yfinance python library is unofficial). * Barchart — Same as Yahoo Finance, but has an official API. Pricing is custom and API is probably rate limited. * NasdaqDataLink — Similar to Barchart, but doesn’t provide full coverage across all three categories of options features, and only supports quotes. * CBOE Data Shop —Better than the above. While there’s full-coverage of features, data is in bulk and payed per day, costing a whopping ~$947.69 per snapshot. * TD Ameritrade API — Same as Yahoo Finance with a free API, but real-time data requires difficult OAUTH implementation, also rate-limited to 120 calls per minute. There are many more to list, but the main problem is all the above do not provide both real-time and historical data for options that have expired and are also rate-limited to the minute, or just cost way too much. ORATS is the only company with two APIs that can provide real-time and historical options data with large monthly request quotas rather than by the minute rate-limits, at reasonable prices. ### 4\. Examples: Quick code snippets for usage Below are some quick examples showing the use case for real-time and historical data using the ORATS Data and Intraday Data APIs (end of day, and intraday data respectively). These examples are only exploratory, do not use them for actual trading. Using the below code requires an API Key and subscription to the relevant ORATS API product. [Click here to view the APIs](https://orats.com/data-api#pricing) * Finding the max, min, and avg implied volatility on AAPL from the past 4260 trading days. import requests, pandas as pd def get\_iv(ticker): resp = requests.get("https://api.orats.io/datav2/hist/ivrank", params= { "ticker": ticker, "token": "{YOUR\_ORATS\_API\_KEY}" } ) return pd.DataFrame(resp.json()\["data"\]) iv\_history = get\_iv("AAPL") max\_iv = iv\_history.iv.max() min\_iv = iv\_history.iv.min() avg\_iv = iv\_history.iv.mean() * Choosing specific AAPL contracts on the real-time option chain based on delta, open interest, and implied volatility import requests, pandas as pd, time from io import StringIO def get\_chain(ticker): resp = requests.get("https://api.orats.io/datav2/one-minute/strikes/chain", params= { "ticker": ticker, "token": "{YOUR\_ORATS\_API\_KEY}" } ) options\_chain = pd.read\_csv(StringIO(resp.text)) return options\_chain options\_chain = get\_chain("AAPL") options\_chain = options\_chain\[ options\_chain.delta > 0.5\] options\_chain = options\_chain\[ options\_chain.callOpenInterest > 1000\] options\_chain = options\_chain\[ options\_chain.callMidIv > 1.0\] * Using the TA RSI indicator to get a specific AAPL contract not overbought and not oversold over a given list of trading dates. import requests, pandas as pd, time from io import StringIO def get\_rsi(ticker, l\_tradeDates, expirDate, strike, period=11): ''' 1. getting all chains from list of trade dates ''' options\_chain = \[\] for tradeDate in l\_tradeDates: resp = requests.get("https://api.orats.io/datav2/hist/one-minute/strikes/chain", params= { "ticker": ticker, "token": "{YOUR\_API\_KEY}", "tradeDate": tradeDate # "202208081000" } ) temp = pd.read\_csv(StringIO(resp.text)) options\_chain.append(temp) ''' 2. Concating all options chains 3. Stripping target contracts by expirDate 4. Using talib to add a column with the RSI ''' options\_chain = pd.concat(options\_chain) options\_chain = options\_chain\[options\_chain.expirDate == expirDate\] options\_chain = options\_chain\[options\_chain.strike == strike\] options\_chain\[f"RSI\_{period}"\] = talib.RSI(options\_chain\["callBidPrice"\], timeperiod=period ) return options\_chain ''' 1. Obtaining RSI of contract from list of tradeDates ''' options\_chain\_rsi = get\_rsi("AAPL", l\_tradeDates = \[ "202208081000", "202208081100", "202208081200", "202208081300", "2022080811400", "2022080811500", "2022080811600", "202208091000", "202208091100", "202208091200", "202208091300", "2022080911400", "2022080911500", "2022080911600", "202208101000", "202208101100", "202208101200", "202208101300", "2022081011400", "2022081011500", "2022081011600" \], expirDate = "2022-08-12", strike = 180, period = 10 ) ''' 2. Stripping contracts that are safe (not overbought or oversold) ''' options\_chain\_rsi = options\_chain\_rsi\[ options\_chain\_rsi.RSI\_10 <= 70\] options\_chain\_rsi = options\_chain\_rsi\[ options\_chain\_rsi.RSI\_10 >= 30\] ### 5\. Takeaways: Major advantages Clearly there is major power to the ability to access real-time and historical options data to aid in the analysis and implementation of various options trading strategies. I very much recommend the ORATS Data and Intraday Data APIs as they provide full coverage to the entire options chain, with all features (greeks, etc.) at any point in time, from now to the past. Without these two APIs, the code examples in section 4 would not at all be possible. Personally, I hope more companies follow in ORATS steps to provide higher coverage of data, both in feature size and historical data, so the community can further innovate in more technologies related to stocks, options and other equities. ### 6\. Links [ORATS APIs Compared](https://orats.com/data-api#pricing) [Data API Documentation](https://docs.orats.io/datav2-api-guide/) [Intraday Data API](https://docs.orats.io/one-minute-api-guide/#authentication) Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Implied Dividends: ORATS' Approach to Market Consensus](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F146d72f7-e2b3-804d-8ebc-f2ea0e1ce83e.png&w=3840&q=75)\ \ Implied Dividends: ORATS' Approach to Market Consensus\ \ Gain Market Insights with ORATS' Implied Dividend Analysis—A Powerful Tool for Informed Trading Decisions](https://orats.com/blog/implied-dividends-ORATS-approach-to-market-consensus) [![How to Explore Endpoints in the API Console](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fe90680b2-81e5-4cc2-a0d8-2e95be7ed35e.png&w=3840&q=75)\ \ How to Explore Endpoints in the API Console\ \ Learn how to use the ORATS API Console to find your API token and explore the different endpoints.](https://orats.com/blog/how-to-explore-endpoints-in-the-api-console) [![Get 1-Minute Options Data in Excel](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F4dd79f3c-21b8-4c73-aeb8-35cf1ba089cd.png&w=3840&q=75)\ \ Get 1-Minute Options Data in Excel\ \ Use the ORATS data API in Excel VBA to get options data including volatility, theoretical values, greeks and strikes information in your worksheet.](https://orats.com/blog/get-1-minute-options-data-in-excel) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Optimizing Options Backtests Days to Expiry, Deltas, and Technical Indicators [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Backtesting Thursday, July 27th 2023 Optimizing Options Backtests Days to Expiry, Deltas, and Technical Indicators ============================================================================= Filter millions of backtests based on different parameters, technical indicators, and exit triggers for all types of options strategies. Summary The new ORATS Backtester allows traders to filter millions of options backtests based on different days to expiry, deltas, technical indicators, and more. Three main entry criteria are explored, including Days to Expiration, Strike Deltas, and Spread/Stock. Five key entry triggers are also examined, such as VIX Price and Simple Moving Average, as well as exit triggers like Stop Loss and Profit Target. Understanding and analyzing these parameters can help optimize trading performance and manage risk. In the dynamic world of options trading, understanding how different strategies perform under varying market conditions is key to making informed decisions. Our new ORATS Backtester is a powerful tool that helps traders unravel the complexity of options strategies by testing different entry criteria, technical indicators, and exit triggers. In this blog post, we'll dive into the depths of these parameters, explaining what they mean and their role in your trading strategy. ### Days to Expiration (DTE) When trading options, the clock is always ticking. Days to Expiration (DTE) indicates the remaining time until an option contract expires. Our backtesting tool analyzes strategy performance over a diverse range of DTEs, from as little as 2 days to over 300 days. By evaluating the strategy's performance across different time horizons, traders can gain insights into the ideal periods for executing specific strategies. In the backtester, you can filter down the table of results by specifying DTE min/max for each leg. ### Strike Deltas The strike delta is a measurement of how much an option's price is likely to move with each $1 move in the underlying security. To provide you with a comprehensive view, our backtester tests strategies across a variety of absolute deltas, including in-the-money and out-of-the-money strikes. In addition to single leg strategies, we also test a variety of multi-leg strategies with more complex strike deltas such as vertical spreads and iron condors. Like DTE, you can use the filters in the backtest table to narrow down backtests by the strike delta min/max for each leg of the strategy. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F31756df5-f24c-4b64-ab56-3789ac607b9e.png&w=3840&q=75) ### Spread / Stock (Spread Yield) Spread Yield is a measure of the price paid for the options spread relative to the price of the underlying stock. It's calculated by dividing the price paid for the spread by the stock price. Our backtester categorizes the spread yield target for each backtest as low, moderate, or high, relative to other backtests with comparable DTE and strike deltas. This additional context allows for more informed analysis. It’s interesting to explore the relationships between different backtest entry criteria and their performance. For example, if you filter down SPY Short Put Spreads by a low VIX entry trigger, and rank them by best overall performance, you’ll see that the spread / stock is almost always low. This shows that in a low volatility environment, this strategy performed better as you targeted a lower spread yield. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fa9b7ab44-a8dd-4811-ad86-f77d6be1f89e.png&w=3840&q=75) Technical indicators can provide guidance on when to enter a trade. We’ve added five different technical indicators to be used as entry triggers in the backtester: * VIX Price: The VIX, or volatility index, reflects the market's expectation of 30-day forward-looking volatility. Low VIX levels (<15) suggest a calm market, moderate levels (15-20) indicate normal volatility, while high levels (>20) imply increased uncertainty. * Simple Moving Average (SMA): SMA is a commonly used technical indicator that smoothes out price data to capture trends over specific periods. Our backtester tests if the price is above or below the 50 or 200-day SMA. * 14d RSI: The 14-day Relative Strength Index (RSI) is a momentum oscillator that measures the speed and change of price movements. A reading of less than 40 indicates oversold conditions, 40-60 suggests moderate momentum, and above 60 signals overbought conditions. * IV Percentile 1 Year: The IV percentile shows where the current implied volatility of the underlying stands relative to its 1-year range. It's categorized as low (<33), moderate (33-66), or high (>66). * Slope Percentile 1 Year: This trigger shows where the current slope of the implied volatility skew stands relative to its 1-year range, categorized as low (<33), moderate (33-66), or high (>66). For each of these entry triggers, one of the levels is always the “current environment”. This is denoted by the orange “C” next to the corresponding level. For example, if the 14d RSI is currently overbought, an orange “C” will appear next to the overbought trigger. This information is very helpful when trying to find a trade to put on immediately, because you can filter down the backtests that performed well in the current environment. You can also toggle on “Select each current environment of \[ticker\]” and the table will only show backtests that have been tested with any combination of the current environment entry triggers. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F623ea3e8-df39-4cc2-a19a-0d750703b8a0.png&w=3840&q=75) Exit triggers play a crucial role in risk management and profit protection. We test stop loss levels of -25%, -50%, and -75% to protect from excessive losses. For locking in profits, we test profit targets of +25%, +50%, +75%, +100% (if debit strategy), +150% (if debit strategy), and +300% (if debit strategy). Like all other entry criteria and triggers, you can filter the table down to backtests that only test a specific stop loss or profit target. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fa73cbddc-6ad9-4c01-b920-a86af9e665c2.png&w=3840&q=75) With the ORATS Backtester, you have the power to browse millions of various options strategies under different market conditions, providing invaluable insights for your trading decisions. Understanding and analyzing these entry and exit criteria can help optimize your performance and manage risk. Stay tuned to our blog series as we continue to explore and unravel the potential of our new backtesting tool. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Help, My Backtest Isn’t Working! ](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-801a-8967-fb548f4700bc.png&w=3840&q=75)\ \ Help, My Backtest Isn’t Working!\ \ Where Options Backtests Break Down in the Real Market](https://orats.com/blog/help-my-backtest-isnt-working) [![Best Options Backtesting Platforms in 2024](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F0edf9d2e-6015-48f0-9b13-3ec1fd913e8c.png&w=3840&q=75)\ \ Best Options Backtesting Platforms in 2024\ \ Get a free trial of the #1 options backtesting platform when you complete the ORATS quiz!](https://orats.com/blog/best-options-backtesting-platforms-in-2024) [![Behind the Scenes of Over 50 Million Options Backtests](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Faefad00a-6761-4b19-b4ef-7356d033d3e0.png&w=3840&q=75)\ \ Behind the Scenes of Over 50 Million Options Backtests\ \ We reveal the process and calculations behind our groundbreaking new options backtester, engineered to help you find the perfect strategy.](https://orats.com/blog/behind-the-scenes-of-over-50-million-options-backtests) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Avoiding Common Problems with Backtesting [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Backtesting Wednesday, July 26th 2023 Avoiding Common Problems with Backtesting ========================================= Learn how the new ORATS Backtester tackles common problems with backtesting, such as overfitting and path dependency. Summary Backtesting options can be difficult due to user error, overfitting, and bad data. The new ORATS Backtester addresses these issues by accounting for path dependency, using accurate entry triggers, providing comprehensive performance metrics, and offering a feature to find similar backtests. Step into the future of backtesting with ORATS, and let your trading strategies be guided by data, not guesswork. Backtesting options is a notoriously difficult process, prone to user error, overfitting, and bad data. That’s why we’ve done all the hard work for you, and ran millions of backtests spanning all types of strategies. After 20 years of being in the backtesting business, we’ve learned a thing or two about common problems traders run into. That’s why we’ve paid close attention to the following problems: a. Overfitting and b. Quality of data and returns. The remainder of this blog covers our approach to solving those two problems. ### Find Similar Backtests At ORATS, we believe in the value of learning from the past to better navigate the future. That's why we've incorporated the feature to find similar backtests in our tool. This allows you to identify and compare your current backtest with other backtests that have similar parameters. It provides you with an immediate context and helps identify potential issues that might not be obvious in isolation. It's a proven way to avoid overfitting, as it encourages the use of parameters that have worked well across different market conditions, rather than those that only performed well in a single backtest. In the example below, I’m looking for similar backtests with the same DTE, strike deltas, spread / stock, and spread / strike diff, but with different entry and exit triggers. This way, I can check for overfitting by seeing if those similar backtests had a wildly different outcome. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F806b6445-39e8-42cb-b302-e39b61f4934f.png&w=3840&q=75) ### Path Dependency Path dependency refers to how the order and timing of trades can significantly affect a strategy's performance. Ignoring this aspect can lead to misleading results and unrealistic expectations. Our backtester tool takes into account path dependency in a unique way, by only putting on one trade per day, every day it meets the entry criteria. This means you can have 10 trades on at the same time, all entered one day after the previous one. While this isn’t how most people trade in real life, it provides more accurate performance metrics because it eliminates any statistical bias that would occur if you only entered one trade at a time. For example, starting a backtest on the first day of the year might have very different results than starting the backtest a few weeks later. ### Entry Triggers Ensuring you have accurate entry triggers is another critical aspect of successful backtesting. Inappropriate triggers can result in substantial discrepancies between the backtest results and actual performance. We’ve identified five entry triggers that represent a variety of different market conditions. These are: * VIX Price * Simple Moving Average * 14d RSI * IV Percentile 1 Year * Slope Percentile 1 Year In addition, we limit the trigger choices to just a few preset values for each one - low, moderate, and high. If more choices were tested, we run the risk of overfitting based on very niche market conditions. We also limit each test to two entry triggers, so that we don’t have so many that the backtest rarely runs. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F36a8f60c-e2d9-4946-ae57-dc1c32e49602.png&w=3840&q=75) ### Performance Metrics To ensure that you're not falling into the trap of overfitting or basing your strategies on poor quality data, our backtester tool provides a comprehensive suite of performance metrics. It delivers detailed reports about the performance of your strategies, such as the Sharpe ratio, drawdowns, and various other risk-adjusted return metrics. Of these metrics, “Percent of Time in Market” and “Total Strategy Trades” can be used to filter down backtest results to those that have a large sample size. For example, if you set the minimum Percent of Time in Market to 40%, this will limit results to backtests that were in the market at least 40% of the time. Doing this ensures that the backtests you find have a statistically sound number of trades. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fad7bec61-ab5d-4232-8411-c6a653a18d63.png&w=3840&q=75) ### Conclusion At ORATS, we understand that successful backtesting is both an art and a science. With our new backtester, we've combined decades of market expertise with advanced technological solutions to help you navigate the common problems associated with backtesting. By addressing issues such as overfitting, data quality, path dependency, and the accuracy of entry triggers, we've developed a tool that's capable of delivering reliable and realistic backtest results. Step into the future of backtesting with ORATS, and let your trading strategies be guided by data, not guesswork. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Help, My Backtest Isn’t Working! ](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-801a-8967-fb548f4700bc.png&w=3840&q=75)\ \ Help, My Backtest Isn’t Working!\ \ Where Options Backtests Break Down in the Real Market](https://orats.com/blog/help-my-backtest-isnt-working) [![Best Options Backtesting Platforms in 2024](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F0edf9d2e-6015-48f0-9b13-3ec1fd913e8c.png&w=3840&q=75)\ \ Best Options Backtesting Platforms in 2024\ \ Get a free trial of the #1 options backtesting platform when you complete the ORATS quiz!](https://orats.com/blog/best-options-backtesting-platforms-in-2024) [![Behind the Scenes of Over 50 Million Options Backtests](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Faefad00a-6761-4b19-b4ef-7356d033d3e0.png&w=3840&q=75)\ \ Behind the Scenes of Over 50 Million Options Backtests\ \ We reveal the process and calculations behind our groundbreaking new options backtester, engineered to help you find the perfect strategy.](https://orats.com/blog/behind-the-scenes-of-over-50-million-options-backtests) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Unlocking Profitable Strategies: How ORATS Backtester's Advanced Metrics Reveal Opportunities [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Backtesting Friday, July 28th 2023 Unlocking Profitable Strategies: How ORATS Backtester's Advanced Metrics Reveal Opportunities ============================================================================================= Discover your favorite backtests by filtering on several popular performance metrics such as notional return, sharpe ratio, and percent of time in market. Summary The ORATS Backtester offers millions of options backtests each with 37 different performance metrics across four different categories: Return, Risk, Profit & Loss, and Other. In this blog, we dive deeper into some of the most important metrics, including notional and margin returns, Sharpe and Sortino ratios, and percent of time in market. The new ORATS Backtester gives you access to millions of options backtests and a wealth of precise performance metrics. It allows you to dissect and assess a variety of strategies based on meticulously calculated performance metrics, enhancing your understanding and facilitating profitable decision-making. Today, we'll dissect a few of these metrics, including notional and margin returns, Sharpe and Sortino Ratios, and the role of filtering by time in the market to curb overfitting. ### Understanding Our Performance Metrics Before diving into the specifics, let's outline the four categories of performance metrics you'll find in our backtester: Return, Risk, Profit & Loss, and Others. * Return: Metrics such as annual returns (overall, 1 year, 5 years, bearish and bullish markets), annual margin return, and best/worst monthly and annual returns. * Risk: Quantitative measurements such as Sharpe Ratio, Sortino Ratio, Annual Volatility, Max Drawdown %, Drawdown Days, and Reward to Risk Average. * Profit & Loss: Comprehensive data like average P&L % per day, best and worst trade P&L (both in dollar and percentage), average P&L per trade and per day, and total strategy P&L. * Others: Metrics including % of time in the market, strategy win rate, average days in trade, total strategy trades, credit/debit per trade average, margin per trade average, and margin to stock %. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fb967411f-4246-4931-bacb-3d7d9dcdf808.png&w=3840&q=75) Let's dive deeper into some critical metrics: ### Notional vs. Margin Returns Notional and margin returns are both crucial elements for assessing the profitability and efficiency of a strategy. By understanding how these returns work, investors and traders can make informed decisions when it comes to selecting the strategies that are right for them. In options trading, the notional value of an option refers to the value of the shares controlled if the option were to either expire or be exercised or assigned. For example, if I buy a $5 call option on a $100 stock, because this option controls 100 shares of the underlying, the notional value of the trade would be 100 \* $100 = $10,000. However, I would only need to pay $5 \* 100 = $500 to open this trade. Thus, the notional return measure the performance relative to the $10,000, while the margin return measures the performance relative to the $500. It’s easy to see that notional returns are much lower than margin returns. We use notional returns in the backtester because it helps standardize and normalize performance across all different types of strategies and symbols. We show the margin return to highlight how efficiently the strategy used the capital at its disposal. However, you have to be careful with margin returns, as sometimes they are not the most accurate reflection of a real-world trading environment. Generally, if an investor is using options and stocks, or if you want to normalize and compare disparate trading strategies, the notional calculation is best. If you want to see how much you would make on the amount at risk from a brokerage firms perspective the margin returns are best to use. Brokerage firm’s margin do not always present the actual risk, so care needs to be used. For example, a short put may require 20% margin in portfolio margined accounts or 100% margin in cash accounts. The margin returns would be significantly different in either approaches. At ORATS, we show margin returns but have more data on notional returns because they are more conservative and consistent and allow better comparisons between backtests. ### Sharpe vs. Sortino Ratio Our backtester also shows both Sharpe and Sortino ratios for each strategy. While they might seem similar at first, each ratio offers a distinct perspective on risk and should be understood separately. The Sharpe ratio gauges how much excess return a strategy provides relative to the risk taken, using standard deviation as a proxy for risk. It's excellent for understanding a strategy's overall risk-adjusted return, but it falls short in one critical area – it doesn't distinguish between upside and downside volatility. That's where the Sortino ratio comes in. The Sortino ratio, like the Sharpe ratio, evaluates risk-adjusted return, but it only considers downside volatility. In doing so, it addresses an important asymmetry in trading – traders generally welcome upside volatility while fearing its downside counterpart. A high Sortino ratio signals that a strategy minimizes damaging losses while potentially capitalizing on desirable volatility. By providing both these ratios, our backtester allows traders to examine a strategy's return through multiple risk perspectives. ### Filtering Percent of Time in Market Filtering by the percent of time in market is an important feature of our backtester, mainly to reduce overfitting. By setting a minimum filter, you can focus on backtests with a statistically sound number of market days. Imagine two strategies: Strategy A has been in the market for 300 days, and Strategy B for only 30 days. While Strategy B might show an impressive return for its short time, its performance metrics might be unreliable due to the small sample size. Our tool allows you to filter out such strategies, preventing overfitting and enabling a more robust evaluation of the strategies' true performance. You can apply filters to any of the 37 different performance metrics in the table to help narrow down your results. Like percent of time in market, you can apply filters to drawdown days, total strategy trades, and margin to stock % to fine-tune your risk tolerance and trading preferences. ### Profit & Loss Metrics We calculate various measures of profit and loss to provide a comprehensive view of a strategy's performance. The best and worst trade p&l metrics make it easy to quantify your upside potential versus the downside risk of the strategy. Sometimes it’s good to filter the table based on p&l percent per day, as that can be a good baseline for an effective strategy. Below you can see the trade log for a short put strategy on SPY. The trades are ordered chronologically depending on when they were entered. The total profit is shown on the right, with a breakdown of the entry price and exit price included. You can see how the total dollar profit for each trade is calculated, assuming $0.01 slippage on both the entry and exit. This value is used in many of the calculations related to profit and loss. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fdd055366-8a82-496c-964f-4f192a868282.png&w=3840&q=75) ### Conclusion The ORATS Backtester is designed to help you make sense of the options trading universe with its advanced features and metrics. Use it to navigate the field confidently, uncovering profitable strategies while understanding the risks and potential returns. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Help, My Backtest Isn’t Working! ](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-801a-8967-fb548f4700bc.png&w=3840&q=75)\ \ Help, My Backtest Isn’t Working!\ \ Where Options Backtests Break Down in the Real Market](https://orats.com/blog/help-my-backtest-isnt-working) [![Best Options Backtesting Platforms in 2024](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F0edf9d2e-6015-48f0-9b13-3ec1fd913e8c.png&w=3840&q=75)\ \ Best Options Backtesting Platforms in 2024\ \ Get a free trial of the #1 options backtesting platform when you complete the ORATS quiz!](https://orats.com/blog/best-options-backtesting-platforms-in-2024) [![Behind the Scenes of Over 50 Million Options Backtests](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Faefad00a-6761-4b19-b4ef-7356d033d3e0.png&w=3840&q=75)\ \ Behind the Scenes of Over 50 Million Options Backtests\ \ We reveal the process and calculations behind our groundbreaking new options backtester, engineered to help you find the perfect strategy.](https://orats.com/blog/behind-the-scenes-of-over-50-million-options-backtests) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Best Options Backtesting Platforms in 2024 [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Backtesting Monday, April 22nd 2024 Best Options Backtesting Platforms in 2024 ========================================== Get a free trial of the #1 options backtesting platform when you complete the ORATS quiz! Summary This article provides a curated list of the best options backtesting platforms available in 2024. The top platforms include ORATS, Option Alpha, eDeltaPro, TastyLive Lookback, OptionStrat, and Option Omega. Each platform is described in terms of its features, strengths, and limitations, allowing options traders to choose the platform that best suits their needs and preferences. ### Introduction Amidst the ever-evolving landscape of financial markets, options trading has emerged as a sophisticated yet highly lucrative strategy for investors and traders alike. As the complexity of trading options continues to grow, so does the demand for reliable tools to analyze and backtest strategies effectively. While some traders rely solely on intuition or technical analysis, many recognize the indispensable role of backtesting platforms in refining and validating their options trading strategies. Whether you’re a seasoned professional or a novice exploring the world of options, having access to a robust backtesting platform can make all the difference in achieving consistent success. However, navigating the sea of available options backtesting platforms can be daunting. With the proliferation of new platforms, finding the right fit for your specific needs can feel like searching for a needle in a haystack. That’s why, in this article, I aim to alleviate the burden of choosing the right platform by presenting a curated selection of the finest options backtesting platforms available in 2024. Without further ado, let’s dive right into the list! ### 1\. ORATS ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1efd9245-9ecd-4ed0-a9b7-60e5789bf716.png&w=3840&q=75) ORATS, or Option Research & Technology Services, is a financial technology company that specializes in options data and analytics. Their backtesting platform, [Options Backtester](https://orats.com/backtester) , offers a comprehensive suite of features for options traders and tops this list for a multitude of reasons. The platform boasts over 65 million pre-scanned backtests, providing traders with a vast repository of historical data to analyze and learn from. Additionally, traders have the flexibility to customize and create their own backtests, tailoring strategies to their specific preferences and objectives. With institutional-quality historical end-of-day options data dating back to 2007 for over 5,000 symbols, the platform offers a robust foundation for conducting thorough backtesting analysis. Traders can access detailed options data spanning a wide range of securities, enabling them to evaluate strategies across various market conditions and asset classes. Each backtest generated on the platform comes complete with a graph of returns, allowing traders to visualize the performance of their strategies over time. Additionally, the platform provides 37 different performance metrics, enabling traders to assess strategy effectiveness from multiple angles. A table of monthly returns and a detailed trade log further enhance the analytical capabilities of the platform. To guard against overfitting, the platform features a “find similar” button, which helps traders identify and mitigate the risks associated with overly optimized strategies. One notable feature of the platform is its seamless integration with option scans, allowing traders to swiftly transition from backtesting to implementing trades in live market conditions. This streamlined process enables traders to efficiently translate backtesting insights into actionable trading strategies. Coming to the [platform’s pricing](https://orats.com/backtester#pricing) , ORATS offers a $29 trial of its backtesting software, allowing traders to explore its features and capabilities before committing to a subscription. Alternatively, traders can trial the platform for free by passing an ORATS knowledge quiz, providing an accessible entry point for those looking to leverage its powerful analytical tools. In summary, [ORATS’ backtesting platform](https://orats.com/backtester)  is a top choice for both beginners starting their options trading journey and professionals seeking to refine and elevate their strategies. With its vast data library, customizable options, and robust analytical tools, ORATS empowers traders at all levels to optimize their trading approach with confidence and precision. ### 2\. Option Alpha ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F76dfdb7d-5bab-450f-bbd7-dcff24abf667.png&w=3840&q=75) [Option Alpha](https://optionalpha.com/backtester)  offers a backtesting platform designed to assist traders in evaluating options trading strategies. One of its primary strengths lies in its user-friendly interface and extensive educational resources. Novice traders can benefit from the platform’s straightforward approach to backtesting, with a variety of tools and tutorials available to help them get started. Let’s talk about some of the pros of [Option Alpha’s Backtester](https://optionalpha.com/backtester) : * Firstly, is its user-friendly interface. Option Alpha’s platform is known for its intuitive design, making it accessible to traders of all experience levels. The platform’s clean layout and easy-to-navigate menus streamline the backtesting process, allowing traders to focus on refining their strategies. * Secondly, Option Alpha provides a wealth of educational content, including articles, videos, and podcasts, to help traders understand options trading concepts and develop effective strategies. This emphasis on education sets Option Alpha apart as a valuable resource for traders seeking to improve their skills. * Speaking of the platform’s customization abilities, traders can customize and test a wide range of options trading strategies using Option Alpha’s platform. The ability to adjust parameters such as strike prices, expiration dates, and position sizes enables traders to tailor strategies to their specific goals and risk tolerance. Now let’s come to some of the cons of the platform. There are two considerable drawbacks. * To start with, compared to some other backtesting platforms, Option Alpha may offer a more limited dataset for historical options data. Traders may find that the available data doesn’t cover as long of a time period or include as many securities as they would prefer. * While Option Alpha’s platform is suitable for traders at all levels, more advanced traders may find that it lacks some of the advanced features and customization options offered by other backtesting platforms. Overall, [Option Alpha’s backtesting platform](https://optionalpha.com/backtester)  is a valuable resource for options traders seeking a user-friendly interface and comprehensive educational support. While it may have some limitations in terms of historical data and advanced features, its emphasis on education and accessibility makes it a strong contender for traders looking to refine their strategies and improve their trading performance. ### 3\. eDeltaPro ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F967f2ca0-076d-4d06-afa4-634e708902ad.png&w=3840&q=75) [eDeltaPro’s backtesting platform](https://www.edeltapro.com/backtesting)  is a comprehensive tool designed to assist options traders in evaluating and optimizing their trading strategies. Positioned as the third platform on the list, eDeltaPro offers a unique set of features and functionalities tailored to meet the needs of traders seeking advanced analytics and customization options. Pros: * eDeltaPro’s platform stands out for its advanced analytics and customization capabilities. Traders have access to a wide range of sophisticated tools and metrics to analyze options trading strategies in-depth. The platform’s emphasis on delta hedging and risk management sets it apart, making it particularly suitable for traders focused on managing options exposure effectively. * Another notable strength of eDeltaPro’s platform is its extensive historical data coverage. Traders can access a comprehensive dataset spanning multiple years, enabling them to backtest strategies across various market conditions and historical scenarios. This rich historical data allows for more robust analysis and validation of trading strategies. * Additionally, eDeltaPro offers a high degree of customization, allowing traders to fine-tune strategies to their specific objectives and risk preferences. Advanced features such as scenario analysis and portfolio optimization further enhance the platform’s capabilities, empowering traders to make more informed decisions and optimize their trading performance. Drawback: One potential drawback of eDeltaPro’s platform is its learning curve. Due to its advanced features and analytics tools, new users may require some time to familiarize themselves with the platform’s functionalities fully. Traders who are less experienced or seeking a more straightforward interface may find the learning curve challenging. In conclusion, [eDeltaPro’s backtesting platform](https://www.edeltapro.com/backtesting)  offers advanced analytics, extensive historical data coverage, and customization options tailored to meet the needs of sophisticated options traders. While it may have a learning curve and higher cost compared to some alternatives, its robust feature set makes it a compelling choice for traders seeking in-depth analysis and optimization of options trading strategies. ### 4\. TastyLive Lookback ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fdffcc2c7-4c37-423b-9919-b365896ec7c1.png&w=3840&q=75) [TastyLive’s Lookback platform](https://www.tastylive.com/)  offers a compelling suite of features tailored to options traders seeking a cost-effective and efficient backtesting solution. Positioned as the fourth platform on the list, Lookback distinguishes itself with its accessibility and automation. Pros: * Firstly, the pros of the platform. One of Lookback’s standout advantages is its free-to-use model, making it an attractive option for traders operating on a budget. This accessibility democratizes access to backtesting tools, allowing traders of all levels to experiment with different strategies without financial barriers. * Moreover, Lookback boasts automatic backtesting capabilities across a wide range of tickers, streamlining the process of analyzing trading strategies. Traders can easily conduct backtests on multiple securities simultaneously, saving time and effort in strategy evaluation. * Another notable feature of Lookback is its ability to export data to CSV format. This functionality enhances flexibility and interoperability, enabling traders to integrate backtesting results with external analysis tools or share findings with colleagues and peers. Cons: * Speaking of cons, one potential drawback of Lookback is its limited customization options compared to some other platforms. While the platform offers a variety of pre-built backtests and templates, traders may find fewer opportunities for fine-tuning and optimizing strategies to their specific preferences and objectives. * Additionally, while Lookback offers automated backtesting, traders should be aware that the platform’s data may not include 1-minute historical data. This limitation could impact the accuracy and granularity of backtest results, particularly for traders employing high-frequency trading strategies or requiring minute-level precision. To summarize, [TastyLive’s Lookback](https://www.tastylive.com/)  platform presents a compelling option for options traders seeking a free and efficient backtesting solution. While it may have limitations in terms of customization and data granularity, its accessibility and automation make it a great platform for traders to elevate their strategies. ### 5\. OptionStrat ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd6195468-526f-40a8-9b7d-f9560f424855.png&w=3840&q=75) [OptionStrat](https://optionstrat.com/)  emerges as the fifth platform on the list, offering a comprehensive suite of features tailored to options traders seeking flexibility and customization options. Despite its positioning somewhat in the latter part of the list, OptionStrat presents a compelling solution for traders looking to refine their strategies and optimize their trading performance. Advantages: * One of OptionStrat’s key strengths lies in its extensive library of built-in options strategies. With over 50 pre-configured strategies available, traders have a wide range of templates to choose from, enabling them to explore different trading approaches and tactics. * Moreover, OptionStrat allows traders to create custom strategies by adding their own trades, providing unparalleled flexibility and adaptability. This feature empowers traders to tailor strategies to their specific preferences and market conditions, enhancing the platform’s utility for traders with unique trading styles and objectives. * Another advantage of OptionStrat is its flexible and easy-to-use visualization tools. Traders can easily analyze and interpret options data using intuitive charting tools and visualizations, enabling them to make informed trading decisions with confidence. * Additionally, OptionStrat offers a volume indicator for call and put contracts, providing valuable insights into options market sentiment and activity. This feature enhances traders’ ability to identify trends and potential trading opportunities, improving their overall trading performance. Disadvantages: * Traders should be aware that real-time options order flow data can be expensive, potentially posing a barrier to entry for some users. While OptionStrat offers a customizable options order flow screener, accessing real-time data may incur additional costs for traders operating on a limited budget. * Furthermore, OptionStrat’s historical price charts are only available as line charts, limiting the granularity and detail of historical data analysis. Traders seeking more advanced charting options or visualizations may find this limitation restrictive. In summary, [OptionStrat](https://optionstrat.com/)  presents a robust set of features and functionalities tailored to options traders seeking flexibility and customization options. While it may have limitations in terms of real-time data costs and historical charting options, its extensive library of strategies and intuitive visualization tools make it a valuable tool for traders. ### 6\. Option Omega ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F7da8e5c4-00b3-4f53-9e8e-5a4279766a18.png&w=3840&q=75) [Option Omega](https://optionomega.com/) , the sixth platform on our list, offers a unique blend of features tailored to options traders seeking comprehensive backtesting capabilities. Positioned as a viable option for traders looking for real-time data accuracy and extensive customization options, Option Omega stands out in certain key areas. Upsides: * With 1-minute historical data that closely mirrors real-time conditions, Option Omega provides traders with the granularity needed to conduct detailed analysis and fine-tune their strategies. This feature sets it apart from many other platforms, offering traders a high level of precision in their backtesting endeavors. * Moreover, Option Omega’s ability to run 10+ year backtests in just minutes is particularly impressive. This efficiency enables traders to analyze strategies over extended periods, gaining insights into performance across various market conditions quickly and effectively. * Additionally, the platform boasts highly customizable parameters, allowing traders to tailor their backtests to specific preferences and trading styles. This flexibility empowers traders to explore a wide range of strategies and optimize their approach to suit their individual needs. Downsides: Option Omega does have some limitations to consider. * Unlike some other platforms, it does not support manual backtesting, which may be a drawback for traders who prefer a more hands-on approach to strategy evaluation. * Additionally, the platform is limited to only 5 tickers, which could restrict the scope of analysis for traders looking to explore a broader range of securities. In summary, while [Option Omega](https://optionomega.com/)  may be the last platform on our list, its unique features make it a noteworthy option for traders seeking accuracy, efficiency, and customization in their backtesting endeavors. ### Conclusion The landscape of options trading backtesting platforms offers a diverse array of tools and features to cater to traders’ needs, preferences, and budgets. From ORATS’ robust historical data and Option Alpha’s comprehensive education to TastyLive’s user-friendly interface and Option Omega’s real-time data accuracy, each platform brings its own strengths and limitations to the table. While ORATS leads the pack with its extensive features and resources, the rest of the platforms also offer unique features and functionalities tailored to specific trader preferences. Whether prioritizing affordability, customization, or real-time data accuracy, traders can find a platform that aligns with their objectives and trading styles. Ultimately, the key lies in understanding one’s trading goals, evaluating the features offered by each platform, and selecting the one that best suits individual needs. With the right backtesting platform at their disposal, options traders can refine their strategies, optimize their performance, and navigate the markets with confidence. With that being said, you’ve reached the end of the article. Hope you learned something new and useful from this article. Also, if you know other options backtesting platforms better than the ones listed in this article, don’t forget to mention those in the comments. Thank you very much for your time. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Help, My Backtest Isn’t Working! ](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-801a-8967-fb548f4700bc.png&w=3840&q=75)\ \ Help, My Backtest Isn’t Working!\ \ Where Options Backtests Break Down in the Real Market](https://orats.com/blog/help-my-backtest-isnt-working) [![Behind the Scenes of Over 50 Million Options Backtests](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Faefad00a-6761-4b19-b4ef-7356d033d3e0.png&w=3840&q=75)\ \ Behind the Scenes of Over 50 Million Options Backtests\ \ We reveal the process and calculations behind our groundbreaking new options backtester, engineered to help you find the perfect strategy.](https://orats.com/blog/behind-the-scenes-of-over-50-million-options-backtests) [![Unlocking Profitable Strategies: How ORATS Backtester's Advanced Metrics Reveal Opportunities](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fc9970c21-4b93-4455-b720-711b329d5c41.png&w=3840&q=75)\ \ Unlocking Profitable Strategies: How ORATS Backtester's Advanced Metrics Reveal Opportunities\ \ Discover your favorite backtests by filtering on several popular performance metrics such as notional return, sharpe ratio, and percent of time in market.](https://orats.com/blog/unlocking-profitable-strategies-how-orats-backtesters-advanced-metrics-reveal-opportunities) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # How to See Open Interest and Volume for Every Strike in the Trade Builder [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Trading Friday, June 30th 2023 How to See Open Interest and Volume for Every Strike in the Trade Builder ========================================================================= Use the Trade Builder to visualize the options chain on a graph and interactively build single or multi-leg trades. Summary ORATS' Trade Builder offers a graphing tool that allows traders to view historical data and a clear vision of the options chain. Traders can view open interest and volume for every strike, and interactively assemble any single or multi-leg options trade. The breakeven line shows the stock price point required for the trade to breakeven. In the dynamic world of options trading, the availability of real-time, detailed information can make all the difference. With ORATS' Trade Builder, that difference is manifested through an impressive graphing tool that not only allows you to view historical data but also offers a clear vision of the options chain. In this post, we'll explore the unique features of the Trade Builder and how they can elevate your trading decisions. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F5ea1a182-1a89-4ad7-84d6-ecb770ef4e52.png&w=3840&q=75) ### An Introduction to the Trade Builder The Trade Builder provides a unique visualization of the options chain, which allows for a simplified, comprehensive view of the market. Essentially, the options chain is flattened onto a 2D surface, where expiration dates and strike prices are represented on the x and y-axis respectively. The tool offers the flexibility to pan left or right, thereby providing a view of more historical data or future expirations, while also allowing for zooming in or out for a broader data perspective. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F28847368-48ca-46c6-989c-583b27cae97b.png&w=3840&q=75) ### Viewing Open Interest and Volume To make the most of the Trade Builder, we first collapse the left menu bar for better visibility. Following that, a leftward drag on the graph brings future options into view. After disabling the volatility overlay, only the open interest and earnings overlays remain active. The weekly expirations can be observed on the right side of the graph, marked by light grey lines. By hovering over these lines, strikes start appearing in popups, offering all essential information, including bid and ask price, open interest, and volume for both call and put sides. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fac7ac099-94c9-4ad5-8462-2ef1688d3f30.png&w=3840&q=75) By toggling on the volume overlay, the graph transforms to display volume. The call volume is represented by cyan bars, while put volume is highlighted in purple. The relative width of these bars adjusts as per zoom level, allowing for finer detail upon zooming in. In the picture below, the X-marks highlight which strikes and expirations have a relatively large amount of volume. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fe5d70740-f93e-4d06-8d4c-12618ac5446b.png&w=3840&q=75) ### Trading Directly from the Trade Builder The Trade Builder enables you to assemble any single or multi-leg options trade interactively. Hovering over the desired expiration and strike brings up four buttons for selling or buying a call or put. Once a leg is added to the graph, the trade opens in the sidebar, where all updates made to the trade will reflect on the graph and vice versa. The breakeven line is a significant feature displayed as a blue line on the graph. This line indicates the stock price point required for the trade to breakeven. Paired with the IV range overlay, it helps determine whether the breakeven point is within the expected 1 or 2 standard deviations of movement. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F9b5b50a8-ce49-459b-ac51-d9ce262415a8.png&w=3840&q=75) The Trade Builder also enables the transformation of a single trade into a spread by adding another leg. Legs can be conveniently adjusted on the graph by dragging them to different strikes or expirations, where they automatically snap to the closest available options. ### Conclusion With its unique ability to visualize the options chain and assemble trades directly, ORATS' Trade Builder significantly enhances the options trading experience. It promises to deliver the comprehensive information and convenience necessary to make strategic trading decisions. For any questions, please email us at [support@orats.com](mailto:support@orats.com) . Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What Is a Volatility Surface? Why Traders Use It](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e0d72f7-e2b3-8075-ad7e-de601a888365.png&w=3840&q=75)\ \ What Is a Volatility Surface? Why Traders Use It\ \ A framework for evaluating options pricing using term structure and strike structure](https://orats.com/blog/understanding-volatility-surfaces) [![ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25fd72f7-e2b3-80a5-aaa5-eec1b0b2efa4.png&w=3840&q=75)\ \ ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools\ \ ORATS is pleased to announce the promotion of our beta dashboard to full production status, bringing powerful new capabilities to options traders and institutional clients.](https://orats.com/blog/launch-enhanced-production-platform-with-ai-assistant-trading-tools) [![Best Option Scanners of 2025](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F16dd72f7-e2b3-8087-82bc-fd2b622c4878.png&w=3840&q=75)\ \ Best Option Scanners of 2025\ \ A comprehensive list of the most recommended Option Scanners](https://orats.com/blog/best-option-scanners-of-2025) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # How to Explore Endpoints in the API Console [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Data API Wednesday, July 5th 2023 How to Explore Endpoints in the API Console =========================================== Learn how to use the ORATS API Console to find your API token and explore the different endpoints. Summary The ORATS Intraday Data API provides one-minute options data while the Data API offers end-of-day options data. Both APIs have live and delayed endpoints, with the former requiring a live subscription and an active Tradier account. To explore endpoints, click the "Test" button adjacent to the selected endpoint and use the sidebar to input parameters. The API console also shows users how to access official documentation and narrow down returned data by specifying fields. ORATS offers two powerful APIs, both REST-based: the Intraday Data API and the regular Data API. The Intraday Data API provides one-minute options data, featuring historical options chain data dating back to August 2020, and option OPRA information available from January 2022. The Data API offers end-of-day options data, with the ability to query historical data as far back as 2007. If you're an API subscriber, you'll find your API token at the top of the API Console. For non-subscribers, a demo token is available for use within the API console webpage. Remember, the demo token won't work outside this environment - to test endpoints beyond the console, you'll need to purchase an actual API token. Both APIs feature live and delayed endpoints. Here's how they differ: * Delayed data, accessible to all API subscribers, comes with a 15-minute delay. * Live data, exclusive to those with a live subscription and an active Tradier account, offers real-time calculations with less than 10 seconds of market delay. It also includes access to historical data less than 15 minutes old. While most functionalities are similar, the live and delayed endpoints will behave differently when the tradeDate parameter is set to the current day. Let's start experimenting with the Intraday Data API. To test an endpoint, click the "Test" button adjacent to your selected endpoint. This action will open a sidebar auto-filled with example parameters, including your token. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F0ff9e25d-c814-46a6-9d08-4ebbe4e8eeaf.png&w=3840&q=75) The only required parameter here is the ticker field. The request section presents example code in various languages, including Python. Clicking the response button executes the query and presents the output, typically in CSV or JSON format, depending on the endpoint used. Further, you can explore multiple endpoints via the dropdown list, such as the option by OPRA endpoint. This endpoint allows you to query any standard option (formatted as the ticker + expiration + strike) for any date back to January 2022. Next, let's explore the regular Data API. This API has an extensive list of endpoints. One commonly used endpoint is Core Data, which fetches hundreds of proprietary indicators for the specified symbol. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fa4aecf41-6722-48bd-9aa7-b2c442703095.png&w=3840&q=75) You can narrow down the returned data by specifying fields. On clicking the input, a list of all indicators appears, allowing you to choose the information you wish to retrieve. For instance, you might only want to get the tradeDate and slope - the API will return only the fields specified. For those who wish to delve deeper, you can access the official documentation by clicking the "Docs" button next to the "Test" button. This opens a new tab featuring detailed documentation for that specific endpoint. This concludes our walkthrough of the API Console. We hope this guide empowers you to navigate and utilize the ORATS APIs and endpoints to your advantage. Should you have any questions, feel free to email us at [support@orats.com](mailto:support@orats.com) . Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Implied Dividends: ORATS' Approach to Market Consensus](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F146d72f7-e2b3-804d-8ebc-f2ea0e1ce83e.png&w=3840&q=75)\ \ Implied Dividends: ORATS' Approach to Market Consensus\ \ Gain Market Insights with ORATS' Implied Dividend Analysis—A Powerful Tool for Informed Trading Decisions](https://orats.com/blog/implied-dividends-ORATS-approach-to-market-consensus) [![Solving All Your Options Analysis Problems with the ORATS API — A Coding Blueprint](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2097d846-57b9-4d4c-8cd4-84e5e80e4916.png&w=3840&q=75)\ \ Solving All Your Options Analysis Problems with the ORATS API — A Coding Blueprint\ \ Read a quick overview of the advantages of the ORATS APIs and how to use them in Python.](https://orats.com/blog/solving-all-your-options-analysis-problems-with-the-orats-api-a-coding-blueprint) [![Get 1-Minute Options Data in Excel](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F4dd79f3c-21b8-4c73-aeb8-35cf1ba089cd.png&w=3840&q=75)\ \ Get 1-Minute Options Data in Excel\ \ Use the ORATS data API in Excel VBA to get options data including volatility, theoretical values, greeks and strikes information in your worksheet.](https://orats.com/blog/get-1-minute-options-data-in-excel) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Overlay the Volatility Surface on Future Expirations in the Trade Builder [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Trading Tuesday, June 27th 2023 Overlay the Volatility Surface on Future Expirations in the Trade Builder ========================================================================= Learn about the three ways you can analyze volatility in the Trade Builder. Summary ORATS' Trade Builder tool offers three ways to analyze volatility: implied volatility ranges, Value Vol shading, and the IV vs. HV graph. The Value Vol shading considers four categories of volatility indicators: short-term volatility, long-term volatility, short-term slope, and long-term slope. Traders can overlay their potential trades against the Value Vol shading and IV ranges to make informed decisions. In the world of options trading, the efficient utilization of volatility insights can make all the difference between reaping rewards or facing losses. Understanding this, ORATS has developed a comprehensive approach for viewing volatility through the Trade Builder tool. Here, we unpack the wealth of insights available to traders through this innovative platform. ### The Three Pillars of Volatility Analysis The Trade Builder platform allows users to analyze volatility in three distinct ways: through the 68% and 95% IV ranges, Value Vol overlays, and by comparing implied versus historical volatility. ### Implied Volatility Ranges The IV ranges illustrate the expected price movements of the underlying assets. By toggling the overlay buttons, you can choose to display either the 68% or 95% IV range. The 68% IV range reflects the potential stock price movement within one standard deviation, based on the at-the-money implied volatility value for future expirations. Similarly, the 95% IV range encompasses two standard deviations of the expected price movement. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25d40266-79b6-4218-9252-6f1c17446926.png&w=3840&q=75) ### Value Vol Shading Next up is the Value Vol shading, an innovative approach by ORATS that highlights areas where future volatility is either undervalued or overvalued. With green areas indicating forecasts of volatility greater than implied and red areas indicating where forecasts are below the implied, this visual representation empowers traders to make informed decisions. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd9c7979a-b0c9-408c-9ccd-57b0c3e4722a.png&w=3840&q=75) ### Implied vs. Historical Volatility The third pillar in Trade Builder is the comparison graph of implied versus historical volatility. It is located below the price graph and it displays the IV 30d indicator against the HV 30d indicator, along with the at-the-money implied volatility plotted on the expiration dates in the future. This visual is useful for quickly understanding how volatility is expected to shift, particularly around earnings announcements. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F085674d3-7441-4be4-9a83-40d5d452541b.png&w=3840&q=75) ### Delving into the Value Vol Shading The calculations that feed into the Value Vol shading consider four key categories: short-term implied volatility, long-term implied volatility, short-term slope, and long-term slope. These categories are derived using a mix of 14 powerful volatility indicators: * exErnIv30d * orIvFcst20d * orHvXern20d * clsHvXern20d * exErnIv1yr * orFcstInf * orHvXern252d * clsHvXern252d * slope * slopeFcst * slopeavg1m * slopeInf * slopeFcstInf * slopeavg1y For the sake of clarity, we will discuss one of these indicators in depth: orIvFcst20d. The orIvFcst20d calculation forms part of the short-term implied volatility category. It represents the ORATS forecast of implied volatility in 20 trading days, taking into account ex-earnings historical and implied volatility. The calculation further considers the relationship to the company's closest SPDR sector ETF, in terms of the sector and industry. This nuanced approach to estimation delivers a more accurate assessment of the true volatility value. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F551ff61a-09bc-49d5-99e4-18ffca7736a9.png&w=3840&q=75) ### Applying Volatility Analysis to Potential Trades When evaluating potential trades, the option scanner in Trade Builder is a powerful tool. By clicking the Analysis icon, the legs of your potential trade are overlaid onto the Trade Builder graph. From this vantage point, you can assess the legs against the Value Vol shading, providing valuable insights into the volatility valuation of your trade. The Trade Builder further allows you to toggle the IV range buttons, offering an understanding of whether your trade lies within one or two standard deviations of movement. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F172622f7-0ca8-4485-8957-3f13ca8bb7b1.png&w=3840&q=75) In conclusion, the Trade Builder offers a comprehensive suite of tools for analyzing volatility. With the IV ranges, Value Vol shading, and the IV vs. HV graph, you can unveil meaningful volatility insights from across the options chain that will guide your trading decisions. Whether you're new to the Trade Builder or an experienced user, we hope this post inspires you to explore the tool's volatility insights in more depth. Happy trading! Should you have any questions or require further clarification on any aspect of the Trade Builder, please feel free to contact our support team at [support@orats.com](mailto:support@orats.com) . Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What Is a Volatility Surface? Why Traders Use It](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e0d72f7-e2b3-8075-ad7e-de601a888365.png&w=3840&q=75)\ \ What Is a Volatility Surface? Why Traders Use It\ \ A framework for evaluating options pricing using term structure and strike structure](https://orats.com/blog/understanding-volatility-surfaces) [![ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25fd72f7-e2b3-80a5-aaa5-eec1b0b2efa4.png&w=3840&q=75)\ \ ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools\ \ ORATS is pleased to announce the promotion of our beta dashboard to full production status, bringing powerful new capabilities to options traders and institutional clients.](https://orats.com/blog/launch-enhanced-production-platform-with-ai-assistant-trading-tools) [![Best Option Scanners of 2025](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F16dd72f7-e2b3-8087-82bc-fd2b622c4878.png&w=3840&q=75)\ \ Best Option Scanners of 2025\ \ A comprehensive list of the most recommended Option Scanners](https://orats.com/blog/best-option-scanners-of-2025) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # NVIDIA (NVDA) Earnings Report Wednesday, February 22nd [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Tuesday, February 21st 2023 NVIDIA (NVDA) Earnings Report Wednesday, February 22nd ====================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS provides a scan of stocks reporting earnings, including NVIDIA, which reports earnings on February 22nd. The options market expects a move of 7.5% in either direction, and historical data shows profitable long straddles in cases where the post-earnings move was outside of the implied range. ORATS recommends a LongPutCalendar with strikes at 212.5, expiring on March 24th and June 16th, for a debit of $9.38, with a probability of profit at 73.05% and a reward to risk ratio of 1.4 to 1. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/JUD0Xr3x1lY. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd7b9ab06-3ceb-4533-9410-4b5daaee9879.png&w=3840&q=75) Focusing on NVIDIA, as we click through, we see this large-cap company in the semiconductors industry reports earnings on Wednesday, February 22nd, after the close. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F5900b1e8-36b1-4fb3-9133-4a57b0ab548c.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 7.5% in either direction. This move was breached in 3 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F61e3eec6-51a3-4aa2-8203-71318273bd5a.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 3 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fb902ce63-4b41-4033-9df0-938d4b8ba63e.png&w=3840&q=75) For NVDA, the current PE ratio is 55.6, which is 7.0% over the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1a0559c7-b81a-49e1-ac4a-bcbd4d3ae28c.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 212.5, expiring on Friday, March 24th and Friday, June 16th, for a debit of $9.38. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F479e2a72-e667-453c-a3c6-f24c9ae57eea.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 38.6%. The forecast edge, which is derived from historical volatility, has an edge of 2.7%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of -0.3%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 73.05%. The reward to risk divides the max gain by the max loss. Here the 1.4 to 1 is the ratio of the max gain of $1269 to the max loss of $-938. There are two break evens for this LongPutCalendar at 184.47 and 252. You can also view the price attribution to see how much each of the individual greeks and theoretical values contribute to the change in trade price from yesterday to today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd090319b-f210-4720-aa7f-81036354fe25.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price rose 9.3%, while the thirty-day implied volatility rose 13.7%. The average slope of the trendlines is positive. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are undervalued, while the long term is neutral. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F7f0eec1d-955f-491e-81ce-7097286fa3bd.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # How to View Earnings and Insider Trades in the Trade Builder [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Trading Monday, June 26th 2023 How to View Earnings and Insider Trades in the Trade Builder ============================================================ Learn how to display, analyze, and trade using earnings information and insider trading activity in the Trade Builder graphing interface. Summary The Trade Builder is a graphing tool that provides comprehensive details of every option, including future expirations, strikes, and volatility information, as well as historical prices overlaid with trend lines, earnings information, and insider trading activity. Deciphering earnings information can help gauge market expectations and strategize next moves, while keeping an eye on insider trading activity can offer valuable insights. The user-friendly navigation features allow for flexible zooming in or out on the graph for a more detailed or broader view of the historical data. The Trade Builder is a unique graphing tool that allows you to construct options trades interactively on a forward-looking graph, providing you with comprehensive details of every option including future expirations, strikes, and volatility information, as well as historical prices overlaid with trend lines, earnings information, and insider trading activity. This wealth of data can significantly bolster your understanding of the market, paving the way for more strategic trading decisions. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F6c3911e2-ea79-4dc7-961e-ada00cfa089e.png&w=3840&q=75) A crucial element on the Trade Builder's historical side is the earnings information. Displayed with a simple click of a button, this feature shows the date when a company reported earnings, the actual earnings move, and the implied earnings move. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fbf8d24c9-84e2-4e4c-8293-5453c6a852a0.png&w=3840&q=75) One of the most utilized indicators available in Trade Builder is the implied earnings move. This shows how much the options market expected a stock price to move in any given direction. For example, if the stock price moved more than the implied move, it suggests that a long straddle strategy would have likely been profitable. However, if the stock price moved less than the implied move, a long straddle could have potentially lost money. This data can be extremely helpful in gauging market expectations and strategizing your next move. As an options trader, keeping an eye on insider trading activity can also offer valuable insights. When an officer, director, or large shareholder of a company transacts shares, this information is required to be reported and is captured in the Trade Builder. On the graph, these transactions are indicated, and you can view when they occurred, who was involved, and how many shares were bought or sold. The relative size of the transaction is also represented visually, with the option to mouse over the data for further details. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F022e3415-cbbd-4a8a-8c71-78928a118053.png&w=3840&q=75) Trade Builder also offers flexible navigation features. You can zoom in or out on the graph for a more detailed or broader view of the historical data, as needed. This means you can easily adjust the time horizon on the graph according to your analysis requirements. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F71670caa-60b1-4719-b063-b2df63892afb.png&w=3840&q=75) The ORATS Trade Builder brings together the tools and information necessary for savvy options trading in one easy-to-use graphing interface. So whether you're conducting an in-depth analysis or making quick trade decisions, it's a must-have tool for any options trader. If you have any questions or need further guidance on utilizing the Trade Builder, feel free to email support@orats.com Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What Is a Volatility Surface? Why Traders Use It](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e0d72f7-e2b3-8075-ad7e-de601a888365.png&w=3840&q=75)\ \ What Is a Volatility Surface? Why Traders Use It\ \ A framework for evaluating options pricing using term structure and strike structure](https://orats.com/blog/understanding-volatility-surfaces) [![ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25fd72f7-e2b3-80a5-aaa5-eec1b0b2efa4.png&w=3840&q=75)\ \ ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools\ \ ORATS is pleased to announce the promotion of our beta dashboard to full production status, bringing powerful new capabilities to options traders and institutional clients.](https://orats.com/blog/launch-enhanced-production-platform-with-ai-assistant-trading-tools) [![Best Option Scanners of 2025](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F16dd72f7-e2b3-8087-82bc-fd2b622c4878.png&w=3840&q=75)\ \ Best Option Scanners of 2025\ \ A comprehensive list of the most recommended Option Scanners](https://orats.com/blog/best-option-scanners-of-2025) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # How to Connect to Your Broker in the ORATS Dashboard [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Trading Saturday, June 10th 2023 How to Connect to Your Broker in the ORATS Dashboard ==================================================== How to connect to your broker, access live data, and manage trades directly through the ORATS Dashboard. Summary This guide explains how to connect to your broker in the ORATS Dashboard, access live data, and open and close trades directly through the platform. It covers connecting to brokerage accounts like TD Ameritrade and Tradier, switching between linked accounts, and placing trades using the Trade Builder, Option Scanner, or Options Chain. The guide also explains how to place trade alerts or stop-loss orders and how to close an order. Welcome back, options traders. Today we dive into the mechanics of how to connect to your broker, access live data, and open and close trades directly through the ORATS Dashboard. This guide aims to enhance your proficiency in navigating the ORATS platform, allowing you to exploit its full potential. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F06d12f6e-1e8a-4947-b071-8ca5454b1f17.png&w=3840&q=75) We begin with the "Broker Connect" page, the nucleus for interfacing with various brokerage houses. This includes options such as TD Ameritrade and our paper trading platform, among others. Connecting to your brokerage account is quite straightforward. For instance, to connect to Tradier brokerage—which is crucial for accessing live data for everything on the Dashboard—simply click the respective button and enter your credentials. Approve the access, and voilà! You will be directed back to the Dashboard, now connected to your Tradier account. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2331fb75-7f6c-485e-abb2-5ab6ee1df46e.png&w=3840&q=75) Likewise, connecting to TD Ameritrade follows the same procedure—enter your login credentials and approve the access. Upon successful authorization, you will find yourself back on the Dashboard, now connected to both your TD Ameritrade account and any other brokerage accounts you had connected earlier. Disconnecting is equally simple—just click the disconnect button. Moving on to the "Positions" page, you will notice an account dropdown. By default, it is set to the paper trading platform, but you can easily switch between your linked accounts. For example, selecting TD Ameritrade will load and display all your current positions in that account. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F83d88e2c-13f1-4484-9681-2c30fe118720.png&w=3840&q=75) In the ORATS Dashboard, you have three options to open a position: through the Trade Builder, Option Scanner, or the Options Chain. Let's consider an example where you want to place a trade using the Option Scanner. Here, you can search for symbols or import stock scans. By clicking the trade icon, a trade sidebar will open, where you can input your trade details. Assuming you have selected your TD Ameritrade account in the "Positions" tab, your order will be sent to that account. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2f6666fe-03ae-4d6e-9f0b-581851971048.png&w=3840&q=75) The ORATS Dashboard also allows you to place trade alerts or stop-loss orders. For example, if you want a stop-loss of 50%, you would set the trade profit and loss percentage to below -0.5. Once you are happy with the order, review the details, confirm and send it. You should see it in your working orders, and it will get executed when the condition is met. Closing an order is also simple. You can view all your open positions and select the trade you want to close by checking its box. This will open the trade sidebar with further options. Clicking the "Close All" button will provide you with price details, and you can choose a Limit or Market order type and set the execution time. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F0763735a-db70-42d3-bca6-c80acbef2801.png&w=3840&q=75) Review the trade details one last time, ensuring it aligns with your TD Ameritrade account (or whichever account you're using), confirm and send it. You will see it in your working orders, and receive an alert once it's filled. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F57f2288d-c165-4dfc-8545-3e5c6141ff63.png&w=3840&q=75) That covers the essentials of how to connect to your broker and manage trades through the ORATS Dashboard. Should you have any questions or require further assistance, please reach out to our team at [support@orats.com](mailto:support@orats.com) . Happy trading! Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What Is a Volatility Surface? Why Traders Use It](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e0d72f7-e2b3-8075-ad7e-de601a888365.png&w=3840&q=75)\ \ What Is a Volatility Surface? Why Traders Use It\ \ A framework for evaluating options pricing using term structure and strike structure](https://orats.com/blog/understanding-volatility-surfaces) [![ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25fd72f7-e2b3-80a5-aaa5-eec1b0b2efa4.png&w=3840&q=75)\ \ ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools\ \ ORATS is pleased to announce the promotion of our beta dashboard to full production status, bringing powerful new capabilities to options traders and institutional clients.](https://orats.com/blog/launch-enhanced-production-platform-with-ai-assistant-trading-tools) [![Best Option Scanners of 2025](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F16dd72f7-e2b3-8087-82bc-fd2b622c4878.png&w=3840&q=75)\ \ Best Option Scanners of 2025\ \ A comprehensive list of the most recommended Option Scanners](https://orats.com/blog/best-option-scanners-of-2025) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Unleash Your Investment Potential with the new ORATS Backtester [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Backtesting Tuesday, July 25th 2023 Unleash Your Investment Potential with the new ORATS Backtester =============================================================== Sort, filter, and rank millions of options backtests. Designed to help you make more informed trading decisions. Summary ORATS Backtester is a comprehensive tool for backtesting investment strategies against historical data. With millions of backtests per symbol, the tool offers a wide variety of strategies, including bullish, bearish, and neutral, and complex strategies like iron condors and calendar spreads. The backtests come equipped with 37 different performance metrics like P&L per day average and Sharpe ratio, and users can filter, sort, and rank them to find the ones that match their investment strategy and risk appetite. The tool's data visualization capabilities make it easier to interpret complex backtest data. ### Introduction In the world of investment strategies, backtesting is not a mere convenience—it's a necessity. This statistical process allows investors to test their trading strategies against historical data, enabling them to improve their strategies and increase potential returns. But how can one efficiently sift through, sort, and gain insights from a colossal number of backtests? Enter the ORATS Backtester. With millions of backtests per symbol, covering all types of strategies, our tool offers a comprehensive testing ground to fine-tune your investment approach. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F92b2148e-4c26-4ab3-9022-c8cb6fb275dd.png&w=3840&q=75) ### Unraveling the Power of Backtests The Backtester is not your run-of-the-mill tool. We've gone above and beyond to provide you with backtests for several strategies - bullish, bearish, and neutral. We’ve even tested complex strategies like iron condors and calendar spreads. And we haven't skimmed on the details; we've tested thousands of combinations of days to expiration, strike deltas, and entry and exit triggers. Moreover, each backtest comes equipped with 37 different performance metrics categorized into four distinct areas: Return, Risk, Profit & Loss, and Other. This vast array of metrics ensures a comprehensive analysis, so you're armed with the most relevant information to make informed decisions. The tool allows for testing the backtest by isolating similar types of trading strategies for the user to build confidence in the future performance of the backtest. Once you find a backtest you like, you can add it to your favorites so that you can easily access it later. ### Filtering the Backtests Navigating through millions of backtests may seem overwhelming, but fear not. Our backtester allows you to filter the tests based on a broad range of entry criteria, such as VIX levels, Simple Moving Average (SMA), 14-day RSI, IV Percentile 1 year, and Slope Percentile 1 year. The backtests also include various stop losses and profit targets. You can also filter the backtests based on performance metrics to find the ones that match your investment strategy and risk appetite. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fcba2c895-03f5-4ddf-950a-434615c25bab.png&w=3840&q=75) ### Sorting and Ranking for Better Insights With the Backtester, you can effortlessly sort and rank over 50,000,000 backtests. This feature comes with three unique ranking algorithms—Best overall performance, Best conservative winner, and Best return on risk or individual sorts on P&L average daily profit, Sharp, Sortino and the like. Whether you're searching for a consistent winner, a risk-adjusted return champion, or an all-rounder, our ranking algorithms can cater to your unique preferences, offering a targeted understanding of each strategy's potential effectiveness. Here’s a breakdown of each of the custom ranking algorithms: Best overall performance: This ranking looks at the following metrics and applies the following weights: Annual Return (Overall) (33.3%), P&L % Per Day Avg. (16.6%), Sharpe Ratio (33.3%), and Sortino Ratio (16.6%). Best conservative winner: This ranking looks at the following metrics and applies the following weights: Annual Return (Overall) (18.2%), Max Drawdown % (9%), Strategy Win Rate (9%), P&L % Per Day Avg. (18.2%), Worst Annual Return (9%), Worst Monthly Return (9%), Sharpe Ratio (9%), and Annual Sortino (18.2%). Best return on risk: This ranking calculates the following metric: P&L % Per Day Avg. / (-1 \* Average (Worst Monthly Return, Worst Annual Return, Max Drawdown %)) You may also sort the table of backtests by any performance column instead of a ranking algorithm. ### Visualizing the Backtest Data Beyond filtering and sorting, the Backtester provides an in-depth visual representation of each backtest's data. From viewing a graph of returns, a table of monthly returns, to a detailed trade log, you have a wealth of data visualization tools at your disposal. By simplifying complex data into understandable visual formats, the backtester fosters easy interpretation and informed decision-making. Graph of returns: ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fc4c94af2-1819-4717-829d-c2dfa607efed.png&w=3840&q=75) Monthly and yearly returns: ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F6f3ae0bd-18de-4b6d-8cae-3e641654d88b.png&w=3840&q=75) Trade log: ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F5dd96468-eb94-4b68-a56a-1d7bb24b6547.png&w=3840&q=75) ### Conclusion With the Backtester, evaluating and comparing countless backtests is a breeze. The tool eliminates the guesswork associated with strategy evaluation, giving you precise and accurate results instead. The ability to filter, sort, and rank backtests ensures a comprehensive understanding of potential outcomes and risks tailored to your strategy. Additionally, the tool's data visualization capabilities make it easier than ever to interpret complex backtest data. The Backtester is more than just a tool—it's your strategic partner, enabling you to make informed investment decisions based on concrete, historical data. We encourage you to leverage the power of our Backtester and discover the wealth of insights it can offer for your investment strategies. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Help, My Backtest Isn’t Working! ](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-801a-8967-fb548f4700bc.png&w=3840&q=75)\ \ Help, My Backtest Isn’t Working!\ \ Where Options Backtests Break Down in the Real Market](https://orats.com/blog/help-my-backtest-isnt-working) [![Best Options Backtesting Platforms in 2024](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F0edf9d2e-6015-48f0-9b13-3ec1fd913e8c.png&w=3840&q=75)\ \ Best Options Backtesting Platforms in 2024\ \ Get a free trial of the #1 options backtesting platform when you complete the ORATS quiz!](https://orats.com/blog/best-options-backtesting-platforms-in-2024) [![Behind the Scenes of Over 50 Million Options Backtests](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Faefad00a-6761-4b19-b4ef-7356d033d3e0.png&w=3840&q=75)\ \ Behind the Scenes of Over 50 Million Options Backtests\ \ We reveal the process and calculations behind our groundbreaking new options backtester, engineered to help you find the perfect strategy.](https://orats.com/blog/behind-the-scenes-of-over-50-million-options-backtests) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Roku (ROKU) Earnings Report Wednesday, February 15th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Wednesday, February 15th 2023 Roku (ROKU) Earnings Report Wednesday, February 15th ==================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS scanned for companies with upcoming earnings announcements and identified Roku in the entertainment industry, which reports earnings on Wednesday, February 15th, after the close. The options market is expecting a move of 14.5% in either direction, and long straddles were profitable in the four times the post-earnings move was outside of the implied range. ORATS recommends a LongPutCalendar with strikes at 65, expiring on Friday, March 17th and Friday, March 31st, for a debit of $0.6. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/1MThHSWYx0A. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F9eb38571-48b0-450a-98ea-65fd5183c69d.png&w=3840&q=75) Focusing on Roku, as we click through, we see this mid-cap company in the entertainment industry reports earnings on Wednesday, February 15th, after the close. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F48c51cfe-bf7a-4f9e-b00d-411ce0cde201.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 14.5% in either direction. This move was breached in 2 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F5439d59e-aaef-41d7-afc4-cfb5aa9e0b34.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 4 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F7e3dd3f6-ed20-4064-8955-d4dfe8b99f3e.png&w=3840&q=75) For ROKU, the current PE ratio is -35.3, which is 80.8% over the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Ff8a5b8db-8003-4dfe-bc19-0e294a2a4f53.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 65, expiring on Friday, March 17th and Friday, March 31st, for a debit of $0.6. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fa3ba90e0-66ca-4b55-81d0-7cf93f5d9000.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 28.5%. The forecast edge, which is derived from historical volatility, has an edge of 15.3%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 2.7%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 40.16%. The reward to risk divides the max gain by the max loss. Here the 4.8 to 1 is the ratio of the max gain of $291 to the max loss of $-60. There are two break evens for this LongPutCalendar at 56.38 and 75.9. You can also view the price attribution to see how much each of the individual greeks and theoretical values contribute to the change in trade price from yesterday to today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd1217fe1-42ee-4942-be42-f743f93908c6.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price rose 19.1%, while the thirty-day implied volatility rose 15.9%. The average slope of the trendlines is positive. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are slightly undervalued, while the long term is slightly overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F044f7adc-02c2-41f4-aa55-96e0d54cf496.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Amazon.com (AMZN) Earnings Report Thursday, February 2nd [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Thursday, February 2nd 2023 Amazon.com (AMZN) Earnings Report Thursday, February 2nd ======================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary The ORATS earnings report scans for companies with upcoming earnings announcements, researches historical earnings information, and identifies potential options trades. Focusing on Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/gk8tuPmGXJE. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F4897bb84-2ecd-44d8-9e2e-a6417aff816b.png&w=3840&q=75) Focusing on Amazon.com, as we click through, we see this large-cap company in the internet retail industry reports earnings on Thursday, February 2nd, after the close. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F0e16788e-a094-4be3-8feb-f0aa8ed8fa33.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 8.1% in either direction. This move was breached in 3 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F6f63856f-8d67-4b44-91d9-b1cfc4239b0f.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 7 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fe2f590a0-dbc1-4cc1-ad96-5ec39246958d.png&w=3840&q=75) For AMZN, the current PE ratio is 102.5, which is 113.9% over the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1298c514-939d-4abb-b704-a9a95caba4e2.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 115, expiring on Friday, February 24th and Friday, April 21st, for a debit of $1.85. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fe1a7ddf7-9376-4a22-a906-e3ee7901c02a.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 77.7%. The forecast edge, which is derived from historical volatility, has an edge of 47.6%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 0.6%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 71.11%. The reward to risk divides the max gain by the max loss. Here the 2.5 to 1 is the ratio of the max gain of $464 to the max loss of $-183. There are two break evens for this LongPutCalendar at 103 and 130.19. You can also view the price attribution to see how much each of the individual greeks and theoretical values contribute to the change in trade price from yesterday to today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Ff87b2494-9673-4208-b162-7f1923570b68.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price rose 30.2%, while the thirty-day implied volatility fell 1.7%. The average slope of the trendlines is positive. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are slightly undervalued, while the long term is neutral. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F19bd777b-5deb-42d1-b99f-4ecdc97abaf2.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? 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You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Behind the Scenes of Over 50 Million Options Backtests [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Backtesting Thursday, November 30th 2023 Behind the Scenes of Over 50 Million Options Backtests ====================================================== We reveal the process and calculations behind our groundbreaking new options backtester, engineered to help you find the perfect strategy. Summary Backtesting is crucial for options trading strategies, providing insights into risk and reward potential, entry and exit criteria, and the impact of market conditions. However, common pitfalls include using inaccurate trade execution prices, overfitting data, ignoring path dependency, and misunderstanding notional vs. marginal return. ORATS has designed a new backtester to address these issues, which allows for filtering by entry and exit criteria, measuring performance metrics such as Sharpe and Sortino ratios, and ranking strategies based on different algorithms. With a database of over 50 million backtests, ORATS aims to simplify and enhance the backtesting process for traders. In this article we reveal the story behind our new and innovative options backtester, which can be used to help you find the perfect strategy. We uncover everything from conception to completion - backtesting pitfalls, best practices, calculations, and the future of backtesting and systematic trading. Before we dive into the latest tools, let’s go over the importance of backtesting. ### Why backtesting? A robust options trading strategy depends on accurate backtesting practices. A backtest shows you how the strategy performed historically, and gives you an idea of what to expect. You can learn a lot about a strategy with a backtest. While historical performance is not an indicator of future performance, a backtest can help you identify things like: * The risk and reward potential of a strategy * The relative performance of different entry criteria like days to expiration and strike deltas * The impact of market conditions on strategy performance * The importance of exit criteria like stop losses and profit targets These are benefits, but there are also complications with backtesting. Let’s look at some of the common issues traders face when backtesting options. ### Common pitfalls of options backtesting Having been in the backtesting business for over a decade, we see many traders fall into the same traps. The complexity of backtesting options makes it easy to: * Use inaccurate or unrealistic trade execution prices * Overfit the data to create unrealistic returns * Accidentally follow path dependency * Misunderstand notional vs. marginal return We’ve carefully designed our new backtester to solve each of these issues. ### Using inaccurate or unrealistic trade execution prices Traders often gravitate to the end-of-day closing price of the option as the correct price to use for a backtest. However, we’ve found that these closing prices are not the best representation of the true value of the end-of-day price. Rather, our data shows that 14 minutes before the close is the closest you can get without experiencing deterioration in the quality of the quote. Our backtester uses quotes from 14 minutes before the close data to simulate trades. Slippage assumptions are key for a realistic backtest and ours are based on years of experience. We use a slippage of 75% of bid ask width for single legs all the way to 56% for four leg spreads. Traveling past the mid-price to trade is a reasonable assumption, however, for multi-legged strategies the percent traveled is not as much. ### Overfitting the data to create unrealistic returns When running multiple backtests on the same data set, there are risks of overfitting. An example would be testing 10 different days to expiration for the same symbol and strategy while varying no other parameters, and then choosing the best performing backtest to trade. Instead, you should look at the other similar backtests to see if they also performed well. Backtests with similar inputs but a wide variety of results is a bad sign. That’s why in our new backtester, we’ve added a “find similar” button to help do this automatically: ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F7eaeddf5-0813-4f5a-8d30-662242e180ca.png&w=3840&q=75) ### Accidentally following path dependency Path dependency refers to how the order and timing of trades can significantly affect a strategy's performance. Ignoring this aspect can lead to misleading results and unrealistic expectations. Our backtester tool takes into account path dependency in a unique way, by only putting on one trade per day, every day it meets the entry criteria. This means you can have 10 trades on at the same time, all entered one day after the previous one. While this isn’t how most people trade in real life, it provides more accurate performance metrics because it eliminates any statistical bias that would occur if you only entered one trade at a time. For example, starting a backtest on the first day of the year might have very different results than starting the backtest a few weeks later. ### Misunderstanding notional vs. marginal return Notional and margin returns are both crucial elements for assessing the profitability and efficiency of a strategy. By understanding how these returns work, investors and traders can make informed decisions when it comes to selecting the strategies that are right for them. In options trading, the notional value of an option refers to the value of the shares controlled if the option were to either expire or be exercised or assigned. For example, if I buy a $5 call option on a $100 stock, because this option controls 100 shares of the underlying, the notional value of the trade would be 100 \* $100 = $10,000. However, I would only need to pay $5 \* 100 = $500 to open this trade. Thus, the notional return measure the performance relative to the $10,000, while the margin return measures the performance relative to the $500. It’s easy to see that notional returns are much lower than margin returns. We use notional returns in the backtester because it helps standardize and normalize performance across all different types of strategies and symbols. We show the margin return to highlight how efficiently the strategy used the capital at its disposal. However, you have to be careful with margin returns, as sometimes they are not the most accurate reflection of a real-world trading environment. Generally, if an investor is using options and stocks, or if you want to normalize and compare disparate trading strategies, the notional calculation is best. If you want to see how much you would make on the amount at risk from a brokerage firms perspective the margin returns are best to use. Brokerage firm’s margin do not always present the actual risk, so care needs to be used. For example, a short put may require 20% margin in portfolio margined accounts or 100% margin in cash accounts. The margin returns would be significantly different in either approaches. At ORATS, we show margin returns but have more data on notional returns because they are more conservative and consistent and allow better comparisons between backtests. ### Creating a database of 50 million+ backtests The pitfalls listed above are only a brief selection of some of the most common situations we see traders deal with when backtesting options. ORATS was inspired to create an even easier, faster, and more effective way to backtest that incorporates not only solutions to the above, but changes how you think about backtesting entirely. Our original custom backtester has been around for over five years. We threw in every feature we could dream of, which made for a highly functional but overly complex product. We wanted to build a new backtester that was ultra-fast, easy to use, and still provided traders with just as much value as the original. While at a team retreat in Florida in early 2023, we had an idea. What if instead of requiring you to input a bunch of parameters and run your own backtest, we did it for you. You would simply query a database of backtests (that already exist) for one that meets your investment objective. This would get you to the same result as before, but without the hassle, time commitment, and inevitable errors that were a part of creating your own backtest. After crunching the numbers, we determined this would mean running millions - if not billions - of backtests, before you even touched the software. This presented a difficult challenge from an engineering standpoint, because we had to figure out how to efficiently store and access all of this data. After a few months, we were ready to launch with a few million backtests for SPY. Now as we’re closing out the year, we have over 50 symbols and over 65 million backtests. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F32dc098e-525b-4ae7-a83a-0de55d28941c.png&w=3840&q=75) ### Choosing the right entry and exit criteria To run millions upon millions of combinations, we needed to choose only the most important entry criteria - days to expiration, strike deltas, and spread / stock % (spread yield), along with five different technical indicators. For exit criteria, this mean testing four different stop losses and seven different profit targets. Days to Expiration: Days to Expiration (DTE) indicates the remaining time until an option contract expires. Our backtesting tool analyzes strategy performance over a diverse range of DTEs, from as little as 2 days to over 300 days. By evaluating the strategy's performance across different time horizons, traders can gain insights into the ideal periods for executing specific strategies. In the backtester, you can filter down the table of results by specifying DTE min/max for each leg. Strike Deltas: The strike delta is a measurement of how much an option's price is likely to move with each $1 move in the underlying security. To provide you with a comprehensive view, our backtester tests strategies across a variety of absolute deltas, including in-the-money and out-of-the-money strikes. In addition to single leg strategies, we also test a variety of multi-leg strategies with more complex strike deltas such as vertical spreads and iron condors. Like DTE, you can use the filters in the backtest table to narrow down backtests by the strike delta min/max for each leg of the strategy. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fdba794d6-9d2c-466c-96ed-540abccba90c.png&w=3840&q=75) Spread Yield: Spread Yield is a measure of the price paid for the options spread relative to the price of the underlying stock. It's calculated by dividing the price paid for the spread by the stock price. Our backtester categorizes the spread yield target for each backtest as low, moderate, or high, relative to other backtests with comparable DTE and strike deltas. This additional context allows for more informed analysis. It’s interesting to explore the relationships between different backtest entry criteria and their performance. For example, if you filter down SPY Short Put Spreads by a low VIX entry trigger, and rank them by best overall performance, you’ll see that the spread / stock is almost always low. This shows that in a low volatility environment, this strategy performed better as you targeted a lower spread yield. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fa2e14d6a-149c-4965-93a8-46811e248e76.png&w=3840&q=75) Technical Indicators: Technical indicators can provide guidance on when to enter a trade. We’ve added five different technical indicators to be used as entry triggers in the backtester: * VIX Price: The VIX, or volatility index, reflects the market's expectation of 30-day forward-looking volatility. Low VIX levels (<15) suggest a calm market, moderate levels (15-20) indicate normal volatility, while high levels (>20) imply increased uncertainty. * Simple Moving Average (SMA): SMA is a commonly used technical indicator that smoothes out price data to capture trends over specific periods. Our backtester tests if the price is above or below the 50 or 200-day SMA. * 14d RSI: The 14-day Relative Strength Index (RSI) is a momentum oscillator that measures the speed and change of price movements. A reading of less than 40 indicates oversold conditions, 40-60 suggests moderate momentum, and above 60 signals overbought conditions. * IV Percentile 1 Year: The IV percentile shows where the current implied volatility of the underlying stands relative to its 1-year range. It's categorized as low (<33), moderate (33-66), or high (>66). * Slope Percentile 1 Year: This trigger shows where the current slope of the implied volatility skew stands relative to its 1-year range, categorized as low (<33), moderate (33-66), or high (>66). For each of these entry triggers, one of the levels is always the “current environment”. This is denoted by the orange “C” next to the corresponding level. For example, if the 14d RSI is currently overbought, an orange “C” will appear next to the overbought trigger. This information is very helpful when trying to find a trade to put on immediately, because you can filter down the backtests that performed well in the current environment. You can also toggle on “Select each current environment of \[ticker\]” and the table will only show backtests that have been tested with any combination of the current environment entry triggers. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fabe5ee5d-de84-47dc-9f2f-1c3faf8a05bc.png&w=3840&q=75) Exit Criteria: Exit triggers play a crucial role in risk management and profit protection. We test stop loss levels of -25%, -50%, and -75% to protect from excessive losses. For locking in profits, we test profit targets of +25%, +50%, +75%, +100% (if debit strategy), +150% (if debit strategy), and +300% (if debit strategy). Like all other entry criteria and triggers, you can filter the table down to backtests that only test a specific stop loss or profit target. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1076bc68-0e0a-4779-8753-b3c4a8a3d742.png&w=3840&q=75) ### Measuring performance It’s important to measure the right performance metrics when backtesting, otherwise you’ll end up with a lot of data and no idea what to do with it. Before diving into the specifics, let's outline the four categories of performance metrics you'll find in our backtester: Return, Risk, Profit & Loss, and Others. Return: Metrics such as annual returns (overall, 1 year, 5 years, bearish and bullish markets), annual margin return, and best/worst monthly and annual returns. Risk: Quantitative measurements such as Sharpe Ratio, Sortino Ratio, Annual Volatility, Max Drawdown %, Drawdown Days, and Reward to Risk Average. Profit & Loss: Comprehensive data like average P&L % per day, best and worst trade P&L (both in dollar and percentage), average P&L per trade and per day, and total strategy P&L. Others: Metrics including % of time in the market, strategy win rate, average days in trade, total strategy trades, credit/debit per trade average, margin per trade average, and margin to stock %. Let's dive deeper into some critical metrics. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F18e4bbb0-5efe-48dd-b6c6-1cc536102b71.png&w=3840&q=75) ### Notional vs. margin return As mentioned earlier, it’s important to look at both notional and margin return because they are useful for different purposes. Notional return helps standardize performance when comparing across different symbols and strategies, while margin return helps you identify how efficiently your capital was used. Both are available in the performance metrics. ### Sharpe vs. Sortino ratio Our backtester also shows both Sharpe and Sortino ratios for each strategy. While they might seem similar at first, each ratio offers a distinct perspective on risk and should be understood separately. The Sharpe ratio gauges how much excess return a strategy provides relative to the risk taken, using standard deviation as a proxy for risk. It's excellent for understanding a strategy's overall risk-adjusted return, but it falls short in one critical area – it doesn't distinguish between upside and downside volatility. That's where the Sortino ratio comes in. The Sortino ratio, like the Sharpe ratio, evaluates risk-adjusted return, but it only considers downside volatility. In doing so, it addresses an important asymmetry in trading – traders generally welcome upside volatility while fearing its downside counterpart. A high Sortino ratio signals that a strategy minimizes damaging losses while potentially capitalizing on desirable volatility. By providing both these ratios, our backtester allows traders to examine a strategy's return through multiple risk perspectives. ### Filtering percent of time in market Filtering by the percent of time in market is an important feature of our backtester, mainly to reduce overfitting. By setting a minimum filter, you can focus on backtests with a statistically sound number of market days. Imagine two strategies: Strategy A has been in the market for 300 days, and Strategy B for only 30 days. While Strategy B might show an impressive return for its short time, its performance metrics might be unreliable due to the small sample size. Our tool allows you to filter out such strategies, preventing overfitting and enabling a more robust evaluation of the strategies' true performance. Like percent of time in market, you can apply filters to other metrics such as drawdown days, total strategy trades, and margin to stock % to fine-tune your risk tolerance and trading preferences. ### Profit and loss metrics We calculate various measures of profit and loss to provide a comprehensive view of a strategy's performance. The best and worst trade p&l metrics make it easy to quantify your upside potential versus the downside risk of the strategy. Sometimes it’s good to filter the table based on p&l percent per day, as that can be a good baseline for an effective strategy. Below you can see the trade log for a short put strategy on SPY. The trades are ordered chronologically depending on when they were entered. The total profit is shown on the right, with a breakdown of the entry price and exit price included. You can see how the total dollar profit for each trade is calculated, assuming $0.01 slippage on both the entry and exit. This value is used in many of the calculations related to profit and loss. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fc2c5041f-072f-4dfe-b799-594e41275f0b.png&w=3840&q=75) ### How to use the backtester At this point, we’ve covered most of the concepts, tools, and techniques in the new backtester. To recap, we first examined some of the common pitfalls traders face when doing their own backtest, which inspired us to create the new backtest finder. With over 50 million backtests and counting, filtering these backtests to meet your investment criteria is critical, which is why we paid close attention to the entry and exit criteria along with the 37 different performance metrics. Finally, let’s look at the three unique ranking algorithms that bring it all together—Best overall performance, Best conservative winner, and Best return on risk or individual sorts on P&L average daily profit, Sharp, Sortino and the like. Whether you're searching for a consistent winner, a risk-adjusted return champion, or an all-rounder, our ranking algorithms can cater to your unique preferences, offering a targeted understanding of each strategy's potential effectiveness. Here’s a breakdown of each of the custom ranking algorithms: Best overall performance: This ranking looks at the following metrics and applies the following weights: Annual Return (Overall) (33.3%), P&L % Per Day Avg. (16.6%), Sharpe Ratio (33.3%), and Sortino Ratio (16.6%). Best conservative winner: This ranking looks at the following metrics and applies the following weights: Annual Return (Overall) (18.2%), Max Drawdown % (9%), Strategy Win Rate (9%), P&L % Per Day Avg. (18.2%), Worst Annual Return (9%), Worst Monthly Return (9%), Sharpe Ratio (9%), and Annual Sortino (18.2%). Best return on risk: This ranking calculates the following metric: P&L % Per Day Avg. / (-1 \* Average (Worst Monthly Return, Worst Annual Return, Max Drawdown %)) To find the strategy that meets your investment objectives, sort the table of backtests by any performance column instead of a ranking algorithm and filter the results based on your needs. ### The future of backtesting We believe in the power of backtesting and the weight it carries on executing an effective systematic trading strategy. Rule-based strategies grounded in historical data are a pillar of successful trading, which is why we’ve developed our new backtesting toolkit to help you quickly find your favorite strategies. Moving forward, we’ll continue to add more symbols to our database so that you can find backtests for every ticker you trade. We’ll also continue to add more niche strategies, such as the recently added Wheel - a popular premium-generating strategy. Our mission is to go from backtest to implementation in one click. We want finding your favorite strategy to be intuitive and simple, and then for you to systematically trade it with one click of a button. We’re partnering with various brokers to help bring this vision to life, with Tradier being our first broker to enter beta testing. If you’d like to test out the latest features, please email us at support@orats.com. We’re also bringing you more tutorials and webinars to teach you the nuts and bolts of our trading toolkit. For our latest videos, please visit [https://www.youtube.com/@orats](https://www.youtube.com/@orats) . Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Help, My Backtest Isn’t Working! ](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-801a-8967-fb548f4700bc.png&w=3840&q=75)\ \ Help, My Backtest Isn’t Working!\ \ Where Options Backtests Break Down in the Real Market](https://orats.com/blog/help-my-backtest-isnt-working) [![Best Options Backtesting Platforms in 2024](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F0edf9d2e-6015-48f0-9b13-3ec1fd913e8c.png&w=3840&q=75)\ \ Best Options Backtesting Platforms in 2024\ \ Get a free trial of the #1 options backtesting platform when you complete the ORATS quiz!](https://orats.com/blog/best-options-backtesting-platforms-in-2024) [![Unlocking Profitable Strategies: How ORATS Backtester's Advanced Metrics Reveal Opportunities](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fc9970c21-4b93-4455-b720-711b329d5c41.png&w=3840&q=75)\ \ Unlocking Profitable Strategies: How ORATS Backtester's Advanced Metrics Reveal Opportunities\ \ Discover your favorite backtests by filtering on several popular performance metrics such as notional return, sharpe ratio, and percent of time in market.](https://orats.com/blog/unlocking-profitable-strategies-how-orats-backtesters-advanced-metrics-reveal-opportunities) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Scan for Earnings Trades This Week Using ORATS Theoretical Values [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Monday, July 24th 2023 Scan for Earnings Trades This Week Using ORATS Theoretical Values ================================================================= This earnings season, use the Option Scanner to quickly filter thousands of trades and find the best one for your strategy. Summary ORATS' Option Scanner can be used to browse, filter, and sort through thousands of potential earnings trades. By selecting up to six different strategies and applying custom rank weightings, traders can efficiently narrow down scan results to a few top trades. The theoretical edges provide increased confidence and clarity so that you can discover exciting trading opportunities during earnings. As we find ourselves amidst the earnings season, this week brings many big names into the spotlight. With ORATS' new Option Scanner tool, we can browse, filter, and sort through thousands of potential earnings trades. Here's an in-depth guide to using the scanner for optimal results. ### Setting Up The Scan Upon launching the Option Scanner, you are greeted with the option to add up to 25 symbols simultaneously, all of which are processed quickly and efficiently. For our demonstration, let's add five big names reporting earnings this week: Meta, Visa, Google, Amazon, and Microsoft. If you have a specific market outlook regarding these stocks, you can specify it; for this scan, we will maintain a neutral stance. Although importing symbols from a stock scan is possible, we have chosen to add these symbols manually. ### Choosing and Configuring Strategies The next step involves selecting up to six different strategies—be they bullish, bearish, or neutral. For this scan, we will choose two of my favorite neutral strategies: the iron condor and the iron butterfly, while removing the default long call spread. One of the unique features of the Option Scanner is the ability to view and modify the settings for each strategy. This flexibility extends to various parameters like days to expiration, strike deltas, among others. By default, the strategies are set to expire a month away, but we can easily change this using the intuitive interface. Let’s target trades expiring Friday so that we can capture the earnings move, but leave little time to expiration after that. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F5aec61f6-3fb3-4bce-bd48-416fb4b63806.png&w=3840&q=75) ### The Power of Rank Weightings Once the strategies are in place, the system rapidly churns out over 2000 trades across the chosen strategies and scanned stocks. Here's where things get really interesting—introducing the powerful tool of rank weightings. This feature helps us to efficiently sort through the numerous trades, narrowing down our options to a few top trades. Rank weightings employ three robust proprietary indicators developed at ORATS—Distribution (D%), Forecast (F%), and Smooth (S%)—collectively known as theoretical edges. A theoretical edge evaluates whether a trade is over or undervalued by comparing our theoretical price to either the trade's mid price or the minimum margin of $0.375, whichever is greater. * D% or Distribution analyzes the historical price distribution of the underlying stock in a similar volatility environment for the remaining trade days. By overlaying the payoff picture of the options trade onto the distribution, we can calculate the expected value at each node, which when added together gives us a theoretical value. * F% or Forecast constructs a forecast of the options volatility surface, using historical and current observations of the strike skew slope, derivative, curvature of the skew, and any necessary earnings effects. * S% or Smooth draws a smooth line between the put and call volatilities, lining them up using a residual yield that factors in the appropriate interest rate assumptions, dividend yields, and put-call parity. These theoretical edges, when positive, indicate a potential benefit for the trader. They provide increased confidence and clarity when comparing trades. ### Applying Theoretical Edges Back on the Option Scanner, it's time to apply these theoretical edges to our scan results. By setting rank weightings and prioritizing these theoretical edges above the other metrics, the scanner instantly re-sorts the table, highlighting the trades with the most beneficial edges. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1d1ecde6-d109-4dc2-9735-c829d182751f.png&w=3840&q=75) Although filters can be set on the columns, the first trade that popped up in our scan—an unbalanced iron condor on Microsoft, with an 80% probability of profit—is a particularly enticing prospect. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F04007e0a-76b3-45a4-b976-1bdb9d15d417.png&w=3840&q=75) Your views and feedback on this trade, or any other trade you find using this method, would be greatly appreciated. If you have any questions or need further clarification on the Option Scanner or any other ORATS tool, please feel free to email [support@orats.com](mailto:support@orats.com) . The power of strategic trading is at your fingertips with ORATS' new Option Scanner. Unlock the potential of the earnings season and discover exciting trading opportunities today! Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Coca-Cola (KO) Earnings Report Tuesday, February 14th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Monday, February 13th 2023 Coca-Cola (KO) Earnings Report Tuesday, February 14th ===================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary The ORATS earnings report scans for companies with upcoming earnings announcements, checks historical earnings information, and finds potential options trades. Coca-Cola reports earnings on Tuesday, February 14th, with the options market expecting a move of 2.7% in either direction. Long straddles were profitable in the one out of twelve earnings where the move was outside the implied range. A LongPutCalendar with strikes at 60, expiring on Friday, March 17th and Friday, May 19th, for a debit of $0.73 is the highest ranked trade. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/MDxNC1A4Wj8. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fde238c32-b535-407c-9792-8ba7e4471432.png&w=3840&q=75) Focusing on Coca-Cola, as we click through, we see this large-cap company in the beverages-non-alcoholic industry reports earnings on Tuesday, February 14th, before the open. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F8a959a52-3e90-4b19-99c8-a191348f673f.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 2.7% in either direction. This move was breached in 1 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F97ec2d35-e183-4bc2-9eaf-59641abe78e0.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 1 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F41a88c1f-607a-4c69-a62c-e553a7be217f.png&w=3840&q=75) For KO, the current PE ratio is 24.3, which is 0.4% over the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fc44c16b3-a437-48f2-b804-6d644e7a19db.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 60, expiring on Friday, March 17th and Friday, May 19th, for a debit of $0.73. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2dd67239-09cf-48f9-ad87-6ede1e8c825d.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 46.7%. The forecast edge, which is derived from historical volatility, has an edge of 3.5%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 0.0%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 68.14%. The reward to risk divides the max gain by the max loss. Here the 1.5 to 1 is the ratio of the max gain of $112 to the max loss of $-73. There are two break evens for this LongPutCalendar at 57.27 and 63.2. You can also view the price attribution to see how much each of the individual greeks and theoretical values contribute to the change in trade price from yesterday to today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F8c184040-770d-4eaf-a3ac-01e946826ce0.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price fell 2.4%, while the thirty-day implied volatility rose 11.9%. The average slope of the trendlines is negative. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are neutral, while the long term is overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F89ebc821-3652-4191-9231-f8bdab5f6659.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Alibaba Group Holding (BABA) Earnings Report Thursday, February 23rd [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Wednesday, February 22nd 2023 Alibaba Group Holding (BABA) Earnings Report Thursday, February 23rd ==================================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS scans for companies with upcoming earnings announcements, checks historical earnings information, and finds potential options trades. Alibaba Group Holding reports earnings on February 23rd, with options market expecting a move of 5.6% in either direction. ORATS recommends a LongPutCalendar with strikes at 95, expiring on March 17th and June 16th, for a debit of $4.4, with a probability of profit at 71.15% and a reward to risk ratio of 1.1 to 1. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/RuTf8eRksTQ. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fabe962ed-02e6-413c-a370-825720eb5e99.png&w=3840&q=75) Focusing on Alibaba Group Holding, as we click through, we see this large-cap company in the internet retail industry reports earnings on Thursday, February 23rd, before the open. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F37daa318-87ed-44d6-a1e8-6a51df8a4a3c.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 5.6% in either direction. This move was breached in 5 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fa6bb590d-be96-422a-bf7b-1e3416dc510b.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 3 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd160bbf2-2673-4a4c-bbf2-944cc89f97b8.png&w=3840&q=75) For BABA, the current PE ratio is 1.9, which is 39.1% under the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F380cb43a-7e31-49a0-a305-6ea93fe322e4.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 95, expiring on Friday, March 17th and Friday, June 16th, for a debit of $4.4. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2a53885d-7f01-409c-b492-193cf313d029.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 27.5%. The forecast edge, which is derived from historical volatility, has an edge of 4.3%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of -0.9%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 71.15%. The reward to risk divides the max gain by the max loss. Here the 1.1 to 1 is the ratio of the max gain of $462 to the max loss of $-429. There are two break evens for this LongPutCalendar at 85.03 and 108.5. You can also view the price attribution to see how much each of the individual greeks and theoretical values contribute to the change in trade price from yesterday to today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F97a366ba-a056-431a-9e46-e5d57029b87e.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price fell 21.5%, while the thirty-day implied volatility rose 7.8%. The average slope of the trendlines is positive. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are neutral, while the long term is neutral. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fded28143-d34e-4611-bf16-a43d4509befd.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Shopify (SHOP) Earnings Report Wednesday, February 15th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Tuesday, February 14th 2023 Shopify (SHOP) Earnings Report Wednesday, February 15th ======================================================= The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS scans for companies with upcoming earnings announcements, analyzes historical earnings information, and identifies potential options trades. Focusing on Shopify, the options market expects a 9.1% move in either direction, breached in 5 out of the last 12 earnings. ORATS suggests a neutral IronCondor trade with strikes at 37, 45, 57, and 65, expiring on 2023-03-17, for a credit of $2.54, with a probability of profit of 66.07% and a reward to risk ratio of 1 to 2.1. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/bINl4Dwko9U. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fc99207ec-9a07-4246-8c29-0b530ef9b36e.png&w=3840&q=75) Focusing on Shopify, as we click through, we see this large-cap company in the software and it services industry reports earnings on Wednesday, February 15th, after the close. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F78daec46-210a-4ed5-aa45-1304b8d83e7f.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 9.1% in either direction. This move was breached in 5 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fb146c93e-aecd-4abf-9fbe-3b653e15d3f3.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 5 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F36122f89-0d84-4d36-98b4-bb7713a4f44c.png&w=3840&q=75) For SHOP, the current PE ratio is 450.0, which is 134.4% over the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F5678ea0e-d1d9-45dd-847c-03e63c6d205c.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a IronCondor with strikes at 37, 45, 57, and 65, expiring on 2023-03-17, for a credit of $2.54. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F89943f52-c63a-4998-912c-9ae3ed126975.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 20.7%. The forecast edge, which is derived from historical volatility, has an edge of 1.8%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 0.4%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 66.07%. The reward to risk divides the max gain by the max loss. Here the 1 to 2.1 is the ratio of the max gain of $254 to the max loss of $-546. There are two break evens for this IronCondor at 42.46 and 59.54. You can also view the price attribution to see how much each of the individual greeks and theoretical values contribute to the change in trade price from yesterday to today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F9ba41f8e-8d22-4b30-ba06-5582daea7fa9.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price rose 23.8%, while the thirty-day implied volatility rose 2.5%. The average slope of the trendlines is negative. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are slightly undervalued, while the long term is neutral. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2c7ff593-c1d7-4cad-a657-d864f10eb429.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Pfizer (PFE) Earnings Report Tuesday, January 31st [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Monday, January 30th 2023 Pfizer (PFE) Earnings Report Tuesday, January 31st ================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS provides a scan for companies with upcoming earnings announcements, historical earnings information, and potential options trades. Pfizer, reporting earnings on January 31st, has an expected move of 4.2% in either direction, with a current PE ratio of 6.7. ORATS suggests a neutral IronCondor trade with strikes at 38, 42, 46, and 50, expiring on February 24th, for a credit of $0.98, with a probability of profit of 76.37% and a reward to risk ratio of 1 to 3.0. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/hjKGREYy9RU. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F744bdbf3-0cf1-4e10-a5de-9557c67ed08a.png&w=3840&q=75) Focusing on Pfizer, as we click through, we see this large-cap company in the drug manufacturers-general industry reports earnings on Tuesday, January 31st, before the open. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F0a018138-e2b4-4f9b-9958-2082a665530e.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 4.2% in either direction. This move was breached in 1 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fa1d74d3c-5ff4-4a68-a6e6-369ebf0933f1.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 1 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F4edc5496-9792-4e02-b292-0c3d8fc08ab2.png&w=3840&q=75) For PFE, the current PE ratio is 6.7, which is 38.1% under the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fbc72876b-c2f4-4bd9-8eb6-7638aee82eda.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a IronCondor with strikes at 38, 42, 46, and 50, expiring on 2023-02-24, for a credit of $0.98. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F86d49736-dc07-4fbd-87e5-e42489953811.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 22.3%. The forecast edge, which is derived from historical volatility, has an edge of 17.4%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 0.0%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 76.37%. The reward to risk divides the max gain by the max loss. Here the 1 to 3.0 is the ratio of the max gain of $99 to the max loss of $-301. There are two break evens for this IronCondor at 41.01 and 46.99. You can also view the price attribution to see how much each of the individual greeks and theoretical values contribute to the change in trade price from yesterday to today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2c651870-060a-47c0-9785-7315a8314567.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price fell 13.4%, while the thirty-day implied volatility rose 3.2%. The average slope of the trendlines is positive. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are slightly undervalued, while the long term is overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F60458b0b-8ae9-40bd-af09-acbcc5fa1197.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Advanced Micro Devices (AMD) Earnings Report Tuesday, January 31st [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Tuesday, January 31st 2023 Advanced Micro Devices (AMD) Earnings Report Tuesday, January 31st ================================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS provides a scan of stocks reporting earnings, including Advanced Micro Devices (AMD) in the semiconductors industry, which reports earnings on Tuesday, January 31st, after the close. The options market expects a move of 7.5% in either direction, and the current PE ratio is 19.7, which is 62.7% under the average for the last twelve earnings observations. ORATS recommends a LongPutCalendar with strikes at 75, expiring on Friday, February 24th and Friday, April 21st, for a debit of $2.08, with a probability of profit of 63.62% and a reward to risk ratio of 1.5 to 1. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/cHMuEnD51W4. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fb54c8ac0-5440-4f33-a373-62fdfdc3bc4b.png&w=3840&q=75) Focusing on Advanced Micro Devices, as we click through, we see this large-cap company in the semiconductors industry reports earnings on Tuesday, January 31st, after the close. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fbe46d640-84f2-4584-854f-97b2d769d079.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 7.5% in either direction. This move was breached in 3 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F04481fce-4136-446d-9e0c-38b5087cdbcf.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 3 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F390b89b0-05e0-4547-a628-662768e9fb94.png&w=3840&q=75) For AMD, the current PE ratio is 19.7, which is 62.7% under the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F4d3d9508-f109-48d0-8aab-ffc0929b67e1.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 75, expiring on Friday, February 24th and Friday, April 21st, for a debit of $2.08. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fb0745a9e-658e-45d5-8e69-de5891628c8c.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 27.9%. The forecast edge, which is derived from historical volatility, has an edge of 14.1%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of -0.5%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 63.62%. The reward to risk divides the max gain by the max loss. Here the 1.5 to 1 is the ratio of the max gain of $300 to the max loss of $-205. There are two break evens for this LongPutCalendar at 67.97 and 83.9. You can also view the price attribution to see how much each of the individual greeks and theoretical values contribute to the change in trade price from yesterday to today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F314b5733-f638-4880-acc7-f3fa2d049568.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price rose 15.9%, while the thirty-day implied volatility fell 3.3%. The average slope of the trendlines is negative. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are very undervalued, while the long term is slightly overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fa41e24c7-e297-4e9d-9152-e32ff7aa69f7.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Meta Platforms (META) Earnings Report Wednesday, February 1st [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Wednesday, February 1st 2023 Meta Platforms (META) Earnings Report Wednesday, February 1st ============================================================= The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS scans for companies with upcoming earnings announcements, researches historical earnings information, and identifies a potential options trade. For Meta Platforms, the options market expects a move of 9.6% in either direction. ORATS suggests a LongPutCalendar with strikes at 150, expiring on Friday, February 24th and Friday, March 17th, for a debit of $1.3, with a probability of profit of 67.76% and a reward to risk ratio of 3.6 to 1. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/mJuG1LZwUzE. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd8d6b5a9-31e0-4980-a1d3-9e8669eb8b26.png&w=3840&q=75) Focusing on Meta Platforms, as we click through, we see this large-cap company in the internet content and information industry reports earnings on Wednesday, February 1st, after the close. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F89e1917e-8549-4409-85ec-9ad54f19979e.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 9.6% in either direction. This move was breached in 3 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F4a2a8b5c-01a8-42e0-876d-dcd3524b18e9.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 7 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F34fc88fd-384e-4135-994a-3fb79973732e.png&w=3840&q=75) For META, the current PE ratio is 14.2, which is 41.3% under the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1972515b-159b-48f5-b946-7bab7c1ba4aa.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 150, expiring on Friday, February 24th and Friday, March 17th, for a debit of $1.3. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F4687f96c-4ac0-455b-9039-6ff8f3e7b8c3.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 90.2%. The forecast edge, which is derived from historical volatility, has an edge of 26.8%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 0.0%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 67.76%. The reward to risk divides the max gain by the max loss. Here the 3.6 to 1 is the ratio of the max gain of $469 to the max loss of $-130. There are two break evens for this LongPutCalendar at 136.55 and 166. You can also view the price attribution to see how much each of the individual greeks and theoretical values contribute to the change in trade price from yesterday to today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F98d163b2-8419-4ebc-b73a-5bd04425bed8.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price rose 19.0%, while the thirty-day implied volatility fell 6.9%. The average slope of the trendlines is negative. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are very overvalued, while the long term is neutral. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F303992e8-f82f-4c9a-a763-27609c20fb9a.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Microsoft (MSFT) Earnings Report Tuesday, January 24th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Tuesday, January 24th 2023 Microsoft (MSFT) Earnings Report Tuesday, January 24th ====================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary The ORATS earnings report suggests a LongPutCalendar options trade for Microsoft (MSFT) ahead of their earnings report on Tuesday, January 24th. The trade has a probability of profit of 69.58% and a reward to risk ratio of 1.5 to 1. The report also provides historical earnings information and a scan for neutral strategies. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/Xix8L-o96a0. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd118284f-da82-4f95-8c40-057b662e62b8.png&w=3840&q=75) Focusing on Microsoft, as we click through, we see this large-cap company in the software-infrastructure industry reports earnings on Tuesday, January 24th, after the close. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fff10f329-ba6b-44e2-85dd-51bbc0c9ed4e.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 4.6% in either direction. This move was breached in 4 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fe7cdefe2-1500-40ce-9850-cd03998ba458.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 5 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F0feb54e0-8a56-484f-baca-ba9f46860c81.png&w=3840&q=75) For MSFT, the current PE ratio is 26.1, which is 18.9% under the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Ff917dad6-6a91-4993-8461-e318c2a4e9d3.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 240, expiring on Friday, February 17th and Friday, April 21st, for a debit of $3.95. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F5156d7d1-009c-483b-824e-ca99ec4016e0.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 43.5%. The forecast edge, which is derived from historical volatility, has an edge of 11.9%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of -0.3%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 69.58%. The reward to risk divides the max gain by the max loss. Here the 1.5 to 1 is the ratio of the max gain of $604 to the max loss of $-392. There are two break evens for this LongPutCalendar at 225.37 and 257.46. You can also view the price attribution to see how much each of the individual greeks and theoretical values contribute to the change in trade price from yesterday to today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F8ede0be5-3343-40a0-841c-4817e1bd8a68.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price rose 2.2%, while the thirty-day implied volatility fell 4.7%. The average slope of the trendlines is negative. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are undervalued, while the long term is neutral. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd0691207-a33f-445f-990e-b93ecc221354.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Tesla (TSLA) Earnings Report Wednesday, January 25th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Wednesday, January 25th 2023 Tesla (TSLA) Earnings Report Wednesday, January 25th ==================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS scans for companies with upcoming earnings announcements, checks historical earnings information, and finds a potential options trade. Tesla reports earnings on Wednesday, January 25th, with the options market expecting a move of 8.6% in either direction. ORATS suggests a LongPutCalendar with strikes at 145, expiring on Friday, February 17th and Friday, May 19th, for a debit of $8.47, with a probability of profit of 70.48% and a reward to risk ratio of 1.2 to 1. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/rgaH1q-L6n8. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fbc61e28a-f0ab-4f86-b323-839ee2909adb.png&w=3840&q=75) Focusing on Tesla, as we click through, we see this large-cap company in the auto manufacturers industry reports earnings on Wednesday, January 25th, after the close. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fcf1e4c0e-410c-4c5a-9706-adcc40ce0a74.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 8.6% in either direction. This move was breached in 3 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F303dc181-5471-453f-8854-45ac59d96c10.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 3 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F741780f5-f9f9-4584-9a43-e615a5792cad.png&w=3840&q=75) For TSLA, the current PE ratio is 37.6, which is 184.4% over the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2fcec162-060e-4b9b-8324-2349c2b18354.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 145, expiring on Friday, February 17th and Friday, May 19th, for a debit of $8.47. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Ff8f8dd34-f7a8-4903-8d8f-aa3d114b6f6c.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 35.1%. The forecast edge, which is derived from historical volatility, has an edge of -8.6%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 0.2%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 70.48%. The reward to risk divides the max gain by the max loss. Here the 1.2 to 1 is the ratio of the max gain of $1023 to the max loss of $-847. There are two break evens for this LongPutCalendar at 123.39 and 177.5. You can also view the price attribution to see how much each of the individual greeks and theoretical values contribute to the change in trade price from yesterday to today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F6b1e0940-a64f-4d14-880c-69294b2bfc78.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price rose 28.5%, while the thirty-day implied volatility fell 23.0%. The average slope of the trendlines is negative. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are slightly undervalued, while the long term is overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fe7586bdb-8a11-4e96-b49d-93cc97251931.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Walmart (WMT) Earnings Report Tuesday, February 21st [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Monday, February 20th 2023 Walmart (WMT) Earnings Report Tuesday, February 21st ==================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS scans for companies with upcoming earnings announcements, researches historical earnings information, and identifies potential options trades. Walmart reports earnings on Tuesday, February 21st, before the open, with the options market expecting a move of 4.1% in either direction. Long straddles were profitable when the post-earnings move was outside of the implied range, while the rest of the earnings moves likely yielded profitable short straddles. ORATS recommends a LongCallCalendar with strikes at 147, expiring on Friday, March 10th and Friday, March 31st, for a debit of $0.63, with an edge of 86.4% and a probability of profit of 70.74%. Option trading and investing involves risk and is not suitable for all investors. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/\_PZkmOImawk. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F76a5107c-4025-499a-baaa-b07b9d79348f.png&w=3840&q=75) Focusing on Walmart, as we click through, we see this large-cap company in the discount stores industry reports earnings on Tuesday, February 21st, before the open. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F5722906d-1d71-4380-952f-dabcba35000f.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 4.1% in either direction. This move was breached in 4 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fb11fc04d-1613-4553-852d-e48babcaa6d5.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 5 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F13b9e807-c59e-434e-ad63-84f34c5bf16d.png&w=3840&q=75) For WMT, the current PE ratio is 24.0, which is 2.3% over the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Ffb1b3a2d-4ecb-4527-8722-02216503a01b.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongCallCalendar with strikes at 147, expiring on Friday, March 10th and Friday, March 31st, for a debit of $0.63. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F3f87d254-79bd-4341-be8e-be530407930d.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 86.4%. The forecast edge, which is derived from historical volatility, has an edge of 92.6%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 2.7%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 70.74%. The reward to risk divides the max gain by the max loss. Here the 3.7 to 1 is the ratio of the max gain of $234 to the max loss of $-63. There are two break evens for this LongCallCalendar at 140 and 155. You can also view the price attribution to see how much each of the individual greeks and theoretical values contribute to the change in trade price from yesterday to today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F02abd348-60ca-413b-9811-9843b3105b94.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price rose 4.0%, while the thirty-day implied volatility rose 40.9%. The average slope of the trendlines is positive. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are slightly undervalued, while the long term is slightly overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F9631fcab-380d-48e6-ba80-abdc94462eee.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Intel (INTC) Earnings Report Thursday, January 26th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Thursday, January 26th 2023 Intel (INTC) Earnings Report Thursday, January 26th =================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS scans for companies with upcoming earnings announcements, checks historical earnings information, and finds potential options trades. Intel, a large-cap company in the semiconductors industry, reports earnings on Thursday, January 26th, with the options market expecting a move of 6.4% in either direction. ORATS suggests a LongPutCalendar with strikes at 29, expiring on Friday, February 17th and Friday, April 21st, for a debit of $0.48, with a probability of profit at 75.39% and a reward to risk ratio of 2.3 to 1. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/FfkPznQ3Jyw. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F662ba905-7639-42db-91cf-d6b03c42b6db.png&w=3840&q=75) Focusing on Intel, as we click through, we see this large-cap company in the semiconductors industry reports earnings on Thursday, January 26th, after the close. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fba72eed5-d07e-4649-8eca-8ad8d004f744.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 6.4% in either direction. This move was breached in 9 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F80418f03-936d-4c4b-99e2-945514dd9128.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 10 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fc1344f3c-987e-44ce-b99f-c4eab136e479.png&w=3840&q=75) For INTC, the current PE ratio is 10.4, which is 4.2% over the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F3851a812-4b9d-4adf-b683-50bdf2a0ebee.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 29, expiring on Friday, February 17th and Friday, April 21st, for a debit of $0.48. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fdc42e734-741e-4b1f-85e4-3e2e03ea8ff0.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 43.6%. The forecast edge, which is derived from historical volatility, has an edge of 12.7%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of -1.3%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 75.39%. The reward to risk divides the max gain by the max loss. Here the 2.3 to 1 is the ratio of the max gain of $106 to the max loss of $-47. There are two break evens for this LongPutCalendar at 26.3 and 32.4. You can also view the price attribution to see how much each of the individual greeks and theoretical values contribute to the change in trade price from yesterday to today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd4bfa667-0862-4662-bd8c-ab47ef1c572f.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price rose 13.5%, while the thirty-day implied volatility rose 6.3%. The average slope of the trendlines is positive. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are slightly undervalued, while the long term is slightly overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fa45c02eb-0146-4845-8580-efed65ccf0d1.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Netflix (NFLX) Earnings Report Thursday, January 19th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Thursday, January 19th 2023 Netflix (NFLX) Earnings Report Thursday, January 19th ===================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS provides a scan of companies with upcoming earnings announcements, including Netflix (NFLX), which reports earnings on Thursday, January 19th, after the close. The options market expects a move of 9.7% in either direction, and a LongPutCalendar with strikes at 330, expiring on Friday, February 10th and Friday, April 21st, for a debit of $11.18 is the highest ranked trade. The distribution edge has an edge of 73.2%, the forecast edge has an edge of 10.4%, and the probability of profit is 81.66%. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/q5R0HIehrLo. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F5372e27e-5600-4077-889e-bb1f1ad2ed22.png&w=3840&q=75) Focusing on Netflix, as we click through, we see this large-cap company in the entertainment industry reports earnings on Thursday, January 19th, after the close. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fb584e16b-4e8e-4429-b0ed-488ce65a0b98.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 9.7% in either direction. This move was breached in 4 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fee8cdc81-d612-48c3-bc25-e0c730cbc09b.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 5 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F993ecda7-47f7-402c-9b88-67a80ee5a2db.png&w=3840&q=75) For NFLX, the current PE ratio is 28.7, which is 52.2% under the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F312c67c8-63bb-421b-971b-21e60e2f50f3.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 330, expiring on Friday, February 10th and Friday, April 21st, for a debit of $11.18. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F4e40338f-50c2-4ee0-bda7-dc996a47a043.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 73.2%. The forecast edge, which is derived from historical volatility, has an edge of 10.4%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 0.1%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 81.66%. The reward to risk divides the max gain by the max loss. Here the 1.9 to 1 is the ratio of the max gain of $2037 to the max loss of $-1099. There are two break evens for this LongPutCalendar at 282.52 and 396.58. You can also view the price attribution to see how much each of the individual greeks and theoretical values contribute to the change in trade price from yesterday to today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fce09a1a6-f258-4735-83da-a7b73752a252.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price rose 11.2%, while the thirty-day implied volatility rose 5.7%. The average slope of the trendlines is positive. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are overvalued, while the long term is slightly overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F5700a3c8-db0c-48b8-8f51-0edabc80eb38.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Procter & Gamble (PG) Earnings Report Thursday, January 19th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Wednesday, January 18th 2023 Procter & Gamble (PG) Earnings Report Thursday, January 19th ============================================================ The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS's earnings report focuses on Procter & Gamble, a large-cap company in the household and personal products industry, reporting earnings on Thursday, January 19th, before the open. The options market expects a move of 2.7% in either direction, and a neutral IronCondor with strikes at 135, 142, 152.5, and 157.5, expiring on 2023-02-10, for a credit of $1.75 is the highest ranked trade with an edge of 53.9% and a probability of profit of 81.65%. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/GReVm\_MRlLs. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F93b1cf73-f0f6-4aff-a188-3d6a2554be9f.png&w=3840&q=75) Focusing on Procter and Gamble, as we click through, we see this large-cap company in the household and personal products industry reports earnings on Thursday, January 19th, before the open. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F387fe798-36af-4e02-bf0f-faa09e1e26dc.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 2.7% in either direction. This move was breached in 2 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F89cb6bb1-6d13-4fb1-bfe6-2b22899f9f8f.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 2 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F4f1c72a6-ef94-4bf5-907d-e846585993cd.png&w=3840&q=75) For PG, the current PE ratio is 25.7, which is 5.4% over the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F4d7b98ba-2514-4831-9aa6-9eba2f88339f.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a IronCondor with strikes at 135, 142, 152.5, and 157.5, expiring on 2023-02-10, for a credit of $1.75. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F8ae45b47-4ce0-4c51-9a0b-f32731819e4f.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 53.9%. The forecast edge, which is derived from historical volatility, has an edge of 31.1%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 1.1%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 81.65%. The reward to risk divides the max gain by the max loss. Here the 1 to 3.0 is the ratio of the max gain of $176 to the max loss of $-524. There are two break evens for this IronCondor at 140.24 and 154.26. You can also view the price attribution to see how much each of the individual greeks and theoretical values contribute to the change in trade price from yesterday to today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F96d2bea2-9b04-4aa8-ae2e-7a0f7f78f468.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price fell 1.5%, while the thirty-day implied volatility rose 6.1%. The average slope of the trendlines is positive. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are neutral, while the long term is neutral. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F5d14fbf7-948c-47f8-8bbf-564220d2af6a.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Applying Profit Attribution To Changes In Options Prices [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Trading Wednesday, November 9th 2022 Applying Profit Attribution To Changes In Options Prices ======================================================== Profit attribution helps options traders figure out how a position made or lost money from delta, theta, gamma, vega, slope and marks. Summary Profit attribution can help options traders understand how a position made or lost money from factors like delta, gamma, vega, theta, slope, and marks. By analyzing these factors, traders can better understand the profitability of their trades and positions. The profit attribution feature is available on the ORATS dashboard. Have you ever wondered why you made or lost money from a particular trade or position? The new profit attribution can help you figure that out. The profit attribution works for existing positions and for trades you are considering. For example, lets say you are considering a calendar spread in Astra Zeneca (AZR) before earnings tomorrow. The December 23rd, 9th $62 strike call spread is priced at $0.33 now down from $0.35 yesterday. What is that $0.02 difference attributed? ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F7381ce7f-4d9c-4d76-b30b-ab350bc54d52.png&w=3840&q=75) As shown in the Price Attribution (not called profit attribution because you do not have a position), we attribute that difference to the following factors: Delta, Gamma, Vega, Prior and Current Marks, Theta, Slope, and Unknown. The delta of a call will add to the profit if the stock is up. The gamma will add to any long option where the stock moved. The vega will add to the profit of a long option if the IV is up. The theta will add to profit for any short options. The current mark minus the theoretical value will add to profit if greater than zero. The prior theoretical value minus the prior mark will add to the profit if greater than zero. The put-call slope will add to the profit for long put options. Unknown is what's left over after adding all these attributions together and comparing to the actual change. For this spread, you can add the profit attributions of each call together to find the total. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F4bdf714e-49b8-407d-b58e-f9168534bf4c.png&w=3840&q=75) The delta offset. The gamma was zero for both. The vega interestingly was net negative with the IV up. This happened because the IV was up more for the short call than the long call. The theta was greater for the short-term option. The current mark minus the theoretical value added. The prior theoretical value minus the prior mark subtracted from the total. The put-call slope change had no effect. Unknown was additive. Give this feature a try at [https://dashboard.orats.com](https://dashboard.orats.com/) Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What Is a Volatility Surface? Why Traders Use It](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e0d72f7-e2b3-8075-ad7e-de601a888365.png&w=3840&q=75)\ \ What Is a Volatility Surface? Why Traders Use It\ \ A framework for evaluating options pricing using term structure and strike structure](https://orats.com/blog/understanding-volatility-surfaces) [![ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25fd72f7-e2b3-80a5-aaa5-eec1b0b2efa4.png&w=3840&q=75)\ \ ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools\ \ ORATS is pleased to announce the promotion of our beta dashboard to full production status, bringing powerful new capabilities to options traders and institutional clients.](https://orats.com/blog/launch-enhanced-production-platform-with-ai-assistant-trading-tools) [![Best Option Scanners of 2025](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F16dd72f7-e2b3-8087-82bc-fd2b622c4878.png&w=3840&q=75)\ \ Best Option Scanners of 2025\ \ A comprehensive list of the most recommended Option Scanners](https://orats.com/blog/best-option-scanners-of-2025) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Bank of America (BAC) Earnings Report Friday, January 13th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Thursday, January 12th 2023 Bank of America (BAC) Earnings Report Friday, January 13th ========================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS earnings report scans for companies with upcoming earnings announcements, checks historical earnings information, and finds potential options trades. Bank of America (BAC) in the banks-diversified industry reports earnings on Friday, January 13th, with the options market expecting a move of 3.7% in either direction. ORATS suggests a LongPutCalendar with strikes at 35, expiring on Friday, February 3rd and Friday, April 21st, for a debit of $0.95, with a probability of profit of 64.18% and a reward to risk ratio of 1 to 1.0. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/ZjPdUyFrVco. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F5b429cd5-1c4b-449b-8c75-8b7848b4330c.png&w=3840&q=75) Focusing on Bank of America, as we click through, we see this large-cap company in the banks-diversified industry reports earnings on Friday, January 13th, before the open. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fa28b1fea-ecd0-48e1-b363-45acb60bf032.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 3.7% in either direction. This move was breached in 4 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Ffd69c977-ee4b-43d3-9524-c48fd4a52504.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 3 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd8254c12-8e1f-4dc1-a273-b20484912d2c.png&w=3840&q=75) For BAC, the current PE ratio is 11.0, which is 9.1% under the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Ffe5de5bb-420b-4c7f-ac9c-29a177112b84.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 35, expiring on Friday, February 3rd and Friday, April 21st, for a debit of $0.95. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F50b4973f-e531-4efe-9380-ede7f5388dc9.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 19.4%. The forecast edge, which is derived from historical volatility, has an edge of -5.2%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 0.0%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 64.18%. The reward to risk divides the max gain by the max loss. Here the 1 to 1.0 is the ratio of the max gain of $90 to the max loss of $-91. There are two break evens for this LongPutCalendar at 33 and 37.4. You can also view the price attribution to see how much each of the individual greeks and theoretical values contribute to the change in trade price from yesterday to today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fbfdb348c-218b-4a43-96a9-3d67ebd95113.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price rose 6.1%, while the thirty-day implied volatility fell 2.4%. The average slope of the trendlines is positive. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are very overvalued, while the long term is overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F6cde5496-08bc-49e0-b69e-e3559d44a002.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? 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Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Shopify (SHOP) Earnings Report Thursday, October 27th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Wednesday, October 26th 2022 Shopify (SHOP) Earnings Report Thursday, October 27th ===================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS scans for high volume stocks with upcoming earnings announcements, researches historical earnings information, and identifies potential options trades. Shopify, a large-cap company in the software-application industry, reports earnings on Thursday, October 27th, with the options market expecting a move of 10.4% in either direction. ORATS suggests a LongPutCalendar with strikes at 30.5, expiring on Friday, January 20th and Friday, November 18th, for a debit of $1.63 as the highest ranked trade. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/TErK2-mMdvU. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd609207f-131c-495d-a3d6-a50b26e1c4c8.png&w=3840&q=75) Focusing on Shopify, as we click through, we see this large-cap company in the software-application industry reports earnings on Thursday, October 27th, before the open. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F56f0f6b3-796f-4d2f-8d39-b54fd61b6323.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 10.4% in either direction. This move was breached in 4 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fdbb57887-e3c9-4735-a8fb-dece9bc05f2a.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 4 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fb548d722-df29-4418-97d0-f1d030a765fd.png&w=3840&q=75) For SHOP, the current PE ratio is 14.1, which is 75.0% under the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F8fda81ec-6db3-42d6-94ca-168af990ae57.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 30.5, expiring on Friday, January 20th and Friday, November 18th, for a debit of $1.63. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fa36f6784-0289-45dd-a095-5e7388d5b042.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 22.7%. The forecast edge, which is derived from historical volatility, has an edge of 23.3%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 1.2%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The reward to risk divides the max gain by the max loss. Here the 1.4 to 1 is the ratio of the max gain of $228 to the max loss of $-163. There are two break evens for this LongPutCalendar at 26.25 and 36.65. The total greeks and ThinkOrSwim code complete the information on the trade analysis popout. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fc86ec903-94bc-4648-818c-735bfa92ab25.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price rose 9.7%, while the thirty-day implied volatility fell 1.6%. The average slope of the trendlines is negative. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are neutral, while the long term is slightly overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F9ce45cea-2f1a-431b-89c6-45ef2e3dcd58.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Citigroup (C) Earnings Report Friday, January 13th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Thursday, January 12th 2023 Citigroup (C) Earnings Report Friday, January 13th ================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS scans for companies with upcoming earnings announcements, checks historical earnings information, and finds potential options trades. Citigroup, a large-cap company in the banks-diversified industry, reports earnings on Friday, January 13th, with the options market expecting a move of 3.6% in either direction. LongCallCalendar with strikes at 49, expiring on Friday, February 3rd and Friday, February 24th, for a debit of $0.32 is the highest ranked trade with a probability of profit at 59.77%. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/-kCxpIUJQv8. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1361a5fb-1387-44ba-bd6b-dac8a1b6b2d3.png&w=3840&q=75) Focusing on Citigroup, as we click through, we see this large-cap company in the banks-diversified industry reports earnings on Friday, January 13th, before the open. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1e52cfc6-4e1d-48e0-8cc0-d5faa8aad805.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 3.6% in either direction. This move was breached in 5 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fa5b3feb1-8bc1-4081-aedf-439299022a14.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 2 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F8e2b5fd7-457a-4378-b638-43b86aa4b452.png&w=3840&q=75) For C, the current PE ratio is 6.3, which is 17.4% under the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F74e4a1ac-3812-4aa7-ab26-b1fbfbe3ab54.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongCallCalendar with strikes at 49, expiring on Friday, February 3rd and Friday, February 24th, for a debit of $0.32. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd2378589-8447-4140-b2db-f3fc3d734705.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 21.8%. The forecast edge, which is derived from historical volatility, has an edge of 13.8%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of -2.7%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 59.77%. The reward to risk divides the max gain by the max loss. Here the 2.7 to 1 is the ratio of the max gain of $87 to the max loss of $-32. There are two break evens for this LongCallCalendar at 46.55 and 51.75. You can also view the price attribution to see how much each of the individual greeks and theoretical values contribute to the change in trade price from yesterday to today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F191287fb-1aa3-4b42-82f0-931098894bf5.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price rose 5.0%, while the thirty-day implied volatility rose 1.9%. The average slope of the trendlines is negative. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are slightly overvalued, while the long term is slightly overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F6ccff3a0-7e1d-47d1-984f-2c9ae14850c9.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # American Airlines Group (AAL) Earnings Report Thursday, October 20th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Wednesday, October 19th 2022 American Airlines Group (AAL) Earnings Report Thursday, October 20th ==================================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS provides an earnings report for American Airlines Group, highlighting the options market expecting a 5.0% move in either direction and suggesting a LongPutCalendar trade with strikes at 14, expiring on Friday, January 20th and Friday, November 18th, for a debit of $0.67. The trade has a 58.62% probability of profit and a reward to risk ratio of 1.0 to 1. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/OIb5qkDFUBY. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F536caf8c-8cd4-4fea-9e3c-429108405616.png&w=3840&q=75) Focusing on American Airlines Group, as we click through, we see this mid-cap company in the airlines industry reports earnings on Thursday, October 20th, before the open. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Ff82fb00b-2a36-427c-b8e3-8166ae1e3ab6.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 5.0% in either direction. This move was breached in 3 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F9f38b960-ff07-4a9e-bfdf-4fcb6f0b28b2.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 0 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F4d64bac9-f3ac-460d-8900-5cb40c2214f4.png&w=3840&q=75) For AAL, the current PE ratio is -3.6, which is 1668.9% under the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fb16a7547-32c3-46e0-8e28-e28de1822deb.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 14, expiring on Friday, January 20th and Friday, November 18th, for a debit of $0.67. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F92b8ec9c-9c42-49fd-b80a-e5e8f80bbcbe.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 12.0%. The forecast edge, which is derived from historical volatility, has an edge of -5.3%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of -1.3%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 58.62%. The reward to risk divides the max gain by the max loss. Here the 1.0 to 1 is the ratio of the max gain of $71 to the max loss of $-68. There are two break evens for this LongPutCalendar at 12.43 and 16.13. The total greeks and ThinkOrSwim code complete the information on the trade analysis popout. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fb5d92747-bdd2-4bc5-ab10-3a63fd26e102.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price rose 1.1%, while the thirty-day implied volatility rose 2.9%. The average slope of the trendlines is negative. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are slightly overvalued, while the long term is neutral. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F50ec9e34-acb6-45e3-9422-99afd135792e.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Apple (AAPL) Earnings Report Thursday, October 27th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Thursday, October 27th 2022 Apple (AAPL) Earnings Report Thursday, October 27th =================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS scans for companies with upcoming earnings announcements, researches historical earnings information, and identifies potential options trades. Apple reports earnings on Thursday, October 27th, with the options market expecting a move of 4.7% in either direction. ORATS suggests a LongPutCalendar with strikes at 147, expiring on Friday, December 9th and Friday, November 18th, for a debit of $1.2. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/dEO4Dzx\_4oE. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fe48f79c5-527d-4523-b3b3-46917f4f6360.png&w=3840&q=75) Focusing on Apple, as we click through, we see this large-cap company in the consumer electronics industry reports earnings on Thursday, October 27th, after the close. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd16b8cff-0d3a-4618-a97f-e1491366a75c.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 4.7% in either direction. This move was breached in 3 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F82bae3d1-eee5-4992-9d46-594e5a61de57.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 3 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd1b55ed3-890e-4369-b170-bb4f8bebcaaa.png&w=3840&q=75) For AAPL, the current PE ratio is 24.3, which is 12.2% under the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F587898a5-a3ab-41f2-bad4-b398c50cdb1c.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 147, expiring on Friday, December 9th and Friday, November 18th, for a debit of $1.2. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F58638502-cb89-4892-8b0d-c68731aee819.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 45.0%. The forecast edge, which is derived from historical volatility, has an edge of 20.8%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of -2.5%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The reward to risk divides the max gain by the max loss. Here the 3.4 to 1 is the ratio of the max gain of $402 to the max loss of $-120. There are two break evens for this LongPutCalendar at 138.18 and 157.11. The total greeks and ThinkOrSwim code complete the information on the trade analysis popout. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F17ebe4a3-d6b0-4956-a091-b21e8b0b526a.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price fell 1.9%, while the thirty-day implied volatility fell 1.2%. The average slope of the trendlines is negative. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are neutral, while the long term is slightly overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F549c47ff-483d-4a7c-8149-6264ac8892ee.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # United Airlines Holdings (UAL) Earnings Report Tuesday, January 17th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Tuesday, January 17th 2023 United Airlines Holdings (UAL) Earnings Report Tuesday, January 17th ==================================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS scans for companies with upcoming earnings announcements, checks historical earnings information, and finds a potential options trade. United Airlines Holdings reports earnings on Tuesday, January 17th, with the options market expecting a move of 5.5% in either direction. ORATS suggests a neutral IronCondor with strikes at 42, 47, 55, and 60, expiring on 2023-02-17, for a credit of $1.62, with a probability of profit of 71.94% and a reward to risk ratio of 1 to 2.1. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/IT\_n0TMV1iw. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F64c631fb-4795-4e8d-80ad-b78525f587c9.png&w=3840&q=75) Focusing on United Airlines Holdings, as we click through, we see this large-cap company in the airlines industry reports earnings on Tuesday, January 17th, after the close. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fc32b113d-f949-495a-b2ac-ef406c8dc128.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 5.5% in either direction. This move was breached in 5 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F24014517-0c2a-41c5-9006-db3492a36c70.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 5 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fae08a4a4-692f-41e9-8a51-150111c2cbda.png&w=3840&q=75) For UAL, the current PE ratio is -31.8, which is 770.9% under the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fe9ca79ff-d931-4f5a-b4b8-1bdeb38733ef.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a IronCondor with strikes at 42, 47, 55, and 60, expiring on 2023-02-17, for a credit of $1.62. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F4533adaf-2f44-4a2c-9e29-98ed6e7dc594.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 28.3%. The forecast edge, which is derived from historical volatility, has an edge of 9.6%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 0.6%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 71.94%. The reward to risk divides the max gain by the max loss. Here the 1 to 2.1 is the ratio of the max gain of $162 to the max loss of $-338. There are two break evens for this IronCondor at 45.38 and 56.62. You can also view the price attribution to see how much each of the individual greeks and theoretical values contribute to the change in trade price from yesterday to today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F7fa57462-20e3-4826-9852-908b5ee27cb5.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price rose 34.0%, while the thirty-day implied volatility fell 2.3%. The average slope of the trendlines is positive. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are slightly undervalued, while the long term is slightly overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F4b17a7e7-9b70-494d-80b7-629422a61506.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Snap (SNAP) Earnings Report Thursday, October 20th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Thursday, October 20th 2022 Snap (SNAP) Earnings Report Thursday, October 20th ================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS scans for companies with upcoming earnings announcements to identify potential options trades. Snap, a large-cap company in the internet content and information industry, reports earnings on Thursday, October 20th, with the options market expecting a move of 19.7% in either direction. ORATS suggests a LongPutCalendar with strikes at 11, expiring on Friday, January 20th and Friday, November 18th, for a debit of $0.42. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/vjn1PoFAI4M. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fb4043c22-ff79-4c80-9711-0ca7d0b42e82.png&w=3840&q=75) Focusing on Snap, as we click through, we see this large-cap company in the internet content and information industry reports earnings on Thursday, October 20th, after the close. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F3b63b962-b1b9-42e3-94ac-11cfc02a2a92.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 19.7% in either direction. This move was breached in 6 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd10e668a-302e-4565-b772-25faa3a10768.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 7 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2839efc3-b7c3-486e-bc21-47dc0c212c34.png&w=3840&q=75) For SNAP, the current PE ratio is -20.8, which is 68.7% over the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Faf7eaea6-fce7-42a9-9057-ff65d9059deb.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 11, expiring on Friday, January 20th and Friday, November 18th, for a debit of $0.42. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Ff24a4684-8af4-467a-9da5-a5a47dc5fc43.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 68.0%. The forecast edge, which is derived from historical volatility, has an edge of 38.7%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 1.3%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The reward to risk divides the max gain by the max loss. Here the 2.7 to 1 is the ratio of the max gain of $114 to the max loss of $-42. There are two break evens for this LongPutCalendar at 7.9 and 16.7. The total greeks and ThinkOrSwim code complete the information on the trade analysis popout. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F17fb9c8e-84ce-4856-bb3f-ea0c74b07948.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price fell 2.5%, while the thirty-day implied volatility rose 28.1%. The average slope of the trendlines is negative. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are slightly overvalued, while the long term is neutral. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F554c30f8-677d-4e05-a950-84eb3b253147.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Taiwan Semiconductor Manufacturing (TSM) Earnings Report Thursday, January 12th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Wednesday, January 11th 2023 Taiwan Semiconductor Manufacturing (TSM) Earnings Report Thursday, January 12th =============================================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary The ORATS earnings report analyzes companies with upcoming earnings announcements, including Taiwan Semiconductor Manufacturing (TSM), which reports earnings on Thursday, January 12th. The options market expects a move of 4.8% in either direction, breached in 4 out of the last 12 earnings. ORATS recommends a LongPutCalendar with strikes at 80, expiring on Friday, February 3rd and Friday, April 21st, for a debit of $2.46, with a probability of profit at 68.79% and a reward to risk ratio of 1.1 to 1. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/-oEg8glr0oM. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F3fbd0726-a463-4a20-8566-0555f3807ed2.png&w=3840&q=75) Focusing on Taiwan Semiconductor Manufacturing, as we click through, we see this large-cap company in the semiconductors industry reports earnings on Thursday, January 12th, before the open. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F20a31143-fad2-4b3a-8a87-e27011afbcde.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 4.8% in either direction. This move was breached in 4 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F665fe53a-d6e4-403b-b68d-8efd731eb9b5.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 3 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1cdf0fb5-493c-426f-90ec-4cb0d42e539d.png&w=3840&q=75) For TSM, the current PE ratio is 13.8, which is 38.9% under the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F07f05b22-62e3-4b91-b4f0-5072bf8bdc92.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 80, expiring on Friday, February 3rd and Friday, April 21st, for a debit of $2.46. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F3645fd64-da4f-4667-b283-d2aff611244b.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 31.0%. The forecast edge, which is derived from historical volatility, has an edge of -13.1%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of -1.6%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 68.79%. The reward to risk divides the max gain by the max loss. Here the 1.1 to 1 is the ratio of the max gain of $258 to the max loss of $-234. There are two break evens for this LongPutCalendar at 74.22 and 87.17. You can also view the price attribution to see how much each of the individual greeks and theoretical values contribute to the change in trade price from yesterday to today. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F38c97b2b-05e6-4816-bc81-658ba171e455.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price rose 1.2%, while the thirty-day implied volatility rose 3.6%. The average slope of the trendlines is positive. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are neutral, while the long term is neutral. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fb1814e25-fc53-4926-a3d1-3cb54e23f0a4.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Microsoft (MSFT) Earnings Report Tuesday, October 25th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Tuesday, October 25th 2022 Microsoft (MSFT) Earnings Report Tuesday, October 25th ====================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS scans for companies with upcoming earnings announcements, checks historical earnings information, and finds potential options trades. Focusing on Microsoft, the options market expects a move of 4.4% in either direction, with a current PE ratio of 27.1. ORATS recommends a LongPutCalendar with strikes at 245, expiring on Friday, February 17th and Friday, November 25th, for a debit of $7.25, with a probability of profit of 70.67%. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/AGwYKffWeS0. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Ffb5e9877-3343-40b1-8c65-50d82c5cf2ea.png&w=3840&q=75) Focusing on Microsoft, as we click through, we see this large-cap company in the software-infrastructure industry reports earnings on Tuesday, October 25th, after the close. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F36354629-60a9-4dc0-b7c6-b4ec4b436ca2.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 4.4% in either direction. This move was breached in 3 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F6795fd6d-1514-44da-9866-abf8b4a48e78.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 4 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fbcbcf0a4-2ab7-4739-b4ac-b9802f305a90.png&w=3840&q=75) For MSFT, the current PE ratio is 27.1, which is 16.3% under the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fe1afe9b4-ad40-4c78-a493-261c503fc007.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 245, expiring on Friday, February 17th and Friday, November 25th, for a debit of $7.25. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2a277729-11bd-4178-b7c1-a7b86b50401f.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 30.5%. The forecast edge, which is derived from historical volatility, has an edge of -8.5%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 0.6%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 70.67%. The reward to risk divides the max gain by the max loss. Here the 1.2 to 1 is the ratio of the max gain of $875 to the max loss of $-725. There are two break evens for this LongPutCalendar at 224.76 and 270.58. The total greeks and ThinkOrSwim code complete the information on the trade analysis popout. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F8cb89912-95c8-4afb-8c39-29d4f19b5d40.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price rose 5.0%, while the thirty-day implied volatility rose 0.9%. The average slope of the trendlines is negative. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are neutral, while the long term is slightly overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F3e704c9e-1783-4e83-9158-c7b173033262.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Tesla (TSLA) Earnings Report Wednesday, October 19th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Tuesday, October 18th 2022 Tesla (TSLA) Earnings Report Wednesday, October 19th ==================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS provides a scan of stocks reporting earnings, including Tesla, which reports earnings on October 19th. The options market expects a move of 7.4% in either direction, and the current PE ratio is 22.1. ORATS recommends a LongPutCalendar with strikes at 223.33, expiring on Friday, January 20th and Friday, November 18th, for a debit of $9.8. The trade has a distribution edge of 24.1%, a forecast edge of 8.4%, and a payoff ratio of 1.4 to 1. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/8m\_FsL0swIA. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F4daadae8-9f8f-465f-b956-37ed2f282461.png&w=3840&q=75) Focusing on Tesla, as we click through, we see this large-cap company in the auto manufacturers industry reports earnings on Wednesday, October 19th, after the close. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F787b72e0-9570-4fce-9a9b-c07c55b46b47.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 7.4% in either direction. This move was breached in 4 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F95a3156c-a758-4a08-9c87-6d538f3143ba.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 4 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F40b6412f-5713-4c52-9984-b623084464f2.png&w=3840&q=75) For TSLA, the current PE ratio is 22.1, which is 115.2% over the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fcf82f4fb-c479-4642-ac02-aff218f49915.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 223.33, expiring on Friday, January 20th and Friday, November 18th, for a debit of $9.8. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F71677e08-8e24-4a04-a2a6-f7548ea6ba8e.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 24.1%. The forecast edge, which is derived from historical volatility, has an edge of 8.4%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 0.4%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The reward to risk divides the max gain by the max loss. Here the 1.4 to 1 is the ratio of the max gain of $1385 to the max loss of $-978. There are two break evens for this LongPutCalendar at 191.21 and 269.21. The total greeks and ThinkOrSwim code complete the information on the trade analysis popout. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fa2b5460b-c346-4c59-b15e-56dcf842d25c.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price fell 29.1%, while the thirty-day implied volatility rose 34.7%. The average slope of the trendlines is negative. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are slightly undervalued, while the long term is slightly overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F0ccf6090-3559-459e-bf43-8896a3612232.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Netflix (NFLX) Earnings Report Tuesday, October 18th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Monday, October 17th 2022 Netflix (NFLX) Earnings Report Tuesday, October 18th ==================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS scans for companies with upcoming earnings announcements and identifies potential options trades. Netflix reports earnings on Tuesday, October 18th, with the options market expecting a move of 10.9% in either direction. ORATS suggests a LongPutCalendar with strikes at 240, expiring on Friday, November 25th and Friday, November 18th, for a debit of $0.78, with a probability of profit of 47.71% and a reward to risk ratio of 11.2 to 1. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/ogx2gv9fl9o. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F669eebf4-5e96-4ae4-8793-88142013647e.png&w=3840&q=75) Focusing on Netflix, as we click through, we see this large-cap company in the entertainment industry reports earnings on Tuesday, October 18th, after the close. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F147283cd-6833-4ff9-a871-06688135d2d6.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 10.9% in either direction. This move was breached in 3 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F935e22f4-8b63-498c-8cc9-a43c151aa712.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 4 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F988ef448-dcc7-44c5-9e16-6d92a6e910e7.png&w=3840&q=75) For NFLX, the current PE ratio is 21.5, which is 67.3% under the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fe0f1c582-2b4a-4eeb-b48b-56f5a0565183.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 240, expiring on Friday, November 25th and Friday, November 18th, for a debit of $0.78. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F42e0d757-22c7-4998-a238-dc6df0904f4f.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 105.2%. The forecast edge, which is derived from historical volatility, has an edge of 55.8%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 3.9%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 47.71%. The reward to risk divides the max gain by the max loss. Here the 11.2 to 1 is the ratio of the max gain of $862 to the max loss of $-77. There are two break evens for this LongPutCalendar at 216.4 and 267.75. The total greeks and ThinkOrSwim code complete the information on the trade analysis popout. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F7b0471ec-12ea-423e-9b6a-a2648ca8e4cf.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price fell 0.6%, while the thirty-day implied volatility rose 19.7%. The average slope of the trendlines is negative. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are neutral, while the long term is slightly overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F0eed24e2-53ee-472f-876b-85c8695b6a9f.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Bank of America (BAC) Earnings Report Monday, October 17th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Friday, October 14th 2022 Bank of America (BAC) Earnings Report Monday, October 17th ========================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary The ORATS earnings report scans for companies with upcoming earnings announcements, researches historical earnings information, and identifies potential options trades. Bank of America reports earnings on October 17th with the options market expecting a move of 5.3% in either direction. Long straddles were profitable in two out of the last 12 earnings. ORATS recommends a neutral IronCondor trade with strikes at 26, 30, 33, and 37, expiring on November 4th, for a credit of $1.35. The probability of profit for this trade is 62.31%, with a reward to risk ratio of 1 to 2.0. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/crvPs498Ksg. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F15842245-af92-4649-a308-8de515ea80af.png&w=3840&q=75) Focusing on Bank of America, as we click through, we see this large-cap company in the banks-diversified industry reports earnings on Monday, October 17th, before the open. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F196397e8-2a0d-436b-b193-9ea4eb3197d6.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 5.3% in either direction. This move was breached in 2 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F76df488f-1141-4179-8d16-867d49ef5f68.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 2 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25c82217-235d-433b-8faf-dd9771e39791.png&w=3840&q=75) For BAC, the current PE ratio is 9.9, which is 18.5% under the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F93e7cde4-e046-4683-afb6-7006f84be4dc.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a IronCondor with strikes at 26, 30, 33, and 37, expiring on 2022-11-04, for a credit of $1.35. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1192caa5-6f1d-4e66-b9de-af5c30557ca0.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 2.0%. The forecast edge, which is derived from historical volatility, has an edge of 13.3%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 0.0%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 62.31%. The reward to risk divides the max gain by the max loss. Here the 1 to 2.0 is the ratio of the max gain of $133 to the max loss of $-267. There are two break evens for this IronCondor at 28.67 and 34.33. The total greeks and ThinkOrSwim code complete the information on the trade analysis popout. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F27ee93aa-14b1-4703-af9e-995fcf2f3022.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price fell 6.4%, while the thirty-day implied volatility rose 31.0%. The average slope of the trendlines is negative. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are slightly undervalued, while the long term is slightly overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F51031cb9-a8ed-4190-a185-07c04d94a337.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Lam Research LRCX: Playing Bullish Trends Via a Short Put Spread [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Trading Monday, December 5th 2022 Lam Research LRCX: Playing Bullish Trends Via a Short Put Spread ================================================================ Using a stock scanner and options scanner, we identify a short put spread trade on Lam Research LRCX. Summary This article discusses a short put spread trade on Lam Research (LRCX), a semiconductor equipment manufacturer. The trade is based on the stock's reasonable valuation, bullish chart, and attractive options. The article includes a detailed explanation of how the idea was found, the characteristics of the short put spread, and the fundamental and technical analysis of LRCX. The trade is a bullish out-of-the-money short-put spread with limited risk, with a risk to reward ratio of 1:5.5 and a high probability of profit of 85.5%. Call it a chip comeback. The VanEck Vectors Semiconductor ETF (SMH) has outpaced the S&P 500 ETF (SPY) since mid-October. Generally decent industry earnings reports despite dire fears, some optimism in China in recent weeks, and lower interest rates have all been tailwinds for the embattled semiconductor industry. Some of the group’s biggest stocks have seen major snapbacks, but many investors wonder if it is yet another bear market rally. Today, we’ll look at one name that is reasonably valued, features a somewhat bullish chart, and has attractive options to play from the neutral to long side. ### Semiconductor Stocks’ Comeback Source: Stockcharts.com ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F88cf6555-8681-4283-8ef6-44692bbfa7fc.png&w=3840&q=75) ### Income Options Trade With this idea, we identified stocks with strong underlying fundamentals that trade at reasonable valuations. Also important is a good technical setup so that we can spot favorable risk/reward plays with key price levels to watch. The options trade is a bullish out-of-the-money short-put spread with limited risk. Overall, we are looking to find the best options value based on the historical distribution of stock price returns. ### How We Found the Idea With a focus on value, liquidity, and stocks without a near-term earnings event, we screened for equities with trailing and forward price-to-earnings ratios between 10 and 25 – that rejects non-profitable firms, possible value traps, and shares that are too richly priced. We also wanted to home in on companies that are still valued highly by the market, so we filtered for those with price-to-book ratios above 5. Of course, with options, volatility is important, so we included only companies with an earnings announcement more than a month away. Finally, market caps larger than $20 million and firms with more than 5,000 employees were considered. ### Short Put Spread Characteristics & Definitions * Risk to reward is less than 7 times. The risk to reward is the maximum loss of the spread divided by the premium collected by selling the spread. * Probability of profit is greater than 80%. The probability of profit is the total area under a distribution that results in a positive return of the spread. The distribution is built by observing stock price changes historically. * The market width of the options prices is less than 17% of the stock price. The market width of the trade is the total ask minus bid of the long and short puts. * Delta of less than 0.1. The delta is the estimated profit from a $1 increase in the stock price. * We then sorted by a combination of reward to risk, probability of profit, and expected return versus price of the spread. The expected return of the spread is the value at each point in the distribution times the probability at that point. ### Survey Says: Lam Research The top result was a bullish short put spread on Lam Research (LRCX) expiring on December 16. The $415 and $420 strikes are used. With a risk to reward ratio of 1:5.5 and a high probability of profit of 85.5%, the trade looks good for those with a near-term time horizon. The max gain is $78 while the max loss is $422 as of the close on Friday, December 2. The delta is low at just 0.03 and the market width is 16.4%. In all, you’d collect $0.77 of premium and would see a max gain so long as the stock is at or above the higher strike put at expiration. The profit and loss distribution illustrated below shows that shares can pull back further before losses are incurred. ### Short Put Spread: Where You’ll Make Money In the graph below, the green shaded area is your profit payoff at various stock prices above the break-even of $419.23. The red shaded area below the break-even is the loss amount. The maximum loss is capped as the difference between the strikes less the amount of credit you received for selling the put spread. Here, the max loss is $420 minus $415 plus $0.77 times 100 (options prices are communicated on a per share basis but actually represent 100 shares per options contract) equaling -$423. The max gain is the amount received for selling the spread of $77. Source: ORATS ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fa1104229-8272-4ea6-8c21-ab6c03bd3837.png&w=3840&q=75) ### Fundamental Focus Let’s dive into the fundamentals and, later, the technicals of this neutral to bullish trade on Lam Research. Lam Research Corporation designs, manufactures, markets, refurbishes, and services semiconductor processing equipment used in the fabrication of integrated circuits. It’s a leading supplier of wafer fabrication equipment and is an important player in servicing chip companies. The systems Lam Research helps facilitate allow the chip industry to produce smaller, faster, and better-performing semiconductors. Samsung, Taiwan Semi, and Intel are some of its largest customers. After a tumultuous couple of years and more uncertainty ahead, LRCX remains the second-biggest semiconductor capital equipment company, according to Bank of America Global Research. Its unique industry position should allow the firm to weather economic uncertainty due to less cyclical exposure compared to its peers. Improved pricing in the chip space and loosening supply chains are potential tailwinds. On valuation, earnings growth is seen as being difficult in the next two years before a 2025 rebound in forecast per-share profits. Dividends, meanwhile, are expected to grow in the coming years. With forward operating and GAAP P/Es in the low teens and a below-market EV/EBITDA multiple, the stock appears to have priced in a lot of negativity. Finally, LRCX boasts a strong 10% free cash flow yield using 2023 estimates. Overall, with shares almost 40% off the high from almost a year ago, there appears to be value in LRCX. ### LRCX: A Dismal Profit Outlook, But Shares Attractively Priced Source: BofA Global Research ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2fe70167-1a70-48f4-b803-e08540327005.png&w=3840&q=75) Looking ahead, there are no major volatility catalysts in the coming two weeks. The next earnings date is unconfirmed for Wednesday, January 25 AMC. ### Corporate Event Calendar Source: Wall Street Horizon ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2aa1cb3b-1846-4c75-93ea-bfc835f08c7f.png&w=3840&q=75) ### The Technical Take LRCX has recently rallied to near its declining 200-day moving average. Shares poked above that important trend indicator last month, but then wavered back below it on light volume recently. Notice in the chart below that the stock has found some near-term support near $440 – there is a mid-November gap there that was filled and successfully defended in recent days. Also, the stock featured a major winning streak during the back half of October around and following its earnings report on the 19th of that month. The share price surge off the $300 level came on impressive volume. All told, the rally was nearly 70% to the mid-November peak, and the current consolidation, which has the hallmarks of a bull flag, should promote the chance of more consolidation above the high strike put outlined in the trade idea. ### LRCX: Near-Term Support Near $440, Bull Flag? Source: Stockcharts.com ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F0f997eca-d884-4e08-8f5b-6ec8b3e16e53.png&w=3840&q=75) ### The Bottom Line Lam Research shares are taking a breather after a monster rally off the October low. The corrective pattern comes on low volume with support at $440. Options traders can play this trend with a short put spread using the $415 and $420 strikes expiring December 16. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![What Is a Volatility Surface? Why Traders Use It](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e0d72f7-e2b3-8075-ad7e-de601a888365.png&w=3840&q=75)\ \ What Is a Volatility Surface? Why Traders Use It\ \ A framework for evaluating options pricing using term structure and strike structure](https://orats.com/blog/understanding-volatility-surfaces) [![ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25fd72f7-e2b3-80a5-aaa5-eec1b0b2efa4.png&w=3840&q=75)\ \ ORATS Launches Enhanced Production Platform with AI Assistant and Advanced Trading Tools\ \ ORATS is pleased to announce the promotion of our beta dashboard to full production status, bringing powerful new capabilities to options traders and institutional clients.](https://orats.com/blog/launch-enhanced-production-platform-with-ai-assistant-trading-tools) [![Best Option Scanners of 2025](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F16dd72f7-e2b3-8087-82bc-fd2b622c4878.png&w=3840&q=75)\ \ Best Option Scanners of 2025\ \ A comprehensive list of the most recommended Option Scanners](https://orats.com/blog/best-option-scanners-of-2025) Contact Us Questions about the API requirements? 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Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # PepsiCo (PEP) Earnings Report Tuesday, October 11th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Monday, October 10th 2022 PepsiCo (PEP) Earnings Report Tuesday, October 11th =================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS scans for companies with upcoming earnings announcements and finds a potential options trade for PepsiCo, which reports earnings on Tuesday, October 11th. The options market expects a move of 2.8% in either direction, and a LongPutCalendar with strikes at 160, expiring on Friday, November 25th and Friday, November 11th, for a debit of $0.63 is the highest ranked trade with an edge of 50.7%. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/05dlc2GXwus. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F3a83e676-0814-41a2-a951-9c48aad3a2a5.png&w=3840&q=75) Focusing on PepsiCo, as we click through, we see this large-cap company in the beverages-non-alcoholic industry reports earnings on Tuesday, October 11th, after the close. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F648e4de9-a7b4-4751-85ab-ba5cc0bc90de.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 2.8% in either direction. This move was breached in 0 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd5271ab9-9ce5-4819-aee7-244de6b6361b.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 1 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F4ffef82a-6da2-49bb-863a-59dacf2c4278.png&w=3840&q=75) For PEP, the current PE ratio is 25.0, which is 1.5% over the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F1b0b60a2-46b9-44e8-b6ce-eca2152756ee.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a LongPutCalendar with strikes at 160, expiring on Friday, November 25th and Friday, November 11th, for a debit of $0.63. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F38174c9f-bcee-467c-b867-0261327fc978.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 50.7%. The forecast edge, which is derived from historical volatility, has an edge of 14.7%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 1.3%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The reward to risk divides the max gain by the max loss. Here the 4.2 to 1 is the ratio of the max gain of $264 to the max loss of $-63. There are two break evens for this LongPutCalendar at 152.78 and 168. The total greeks and ThinkOrSwim code complete the information on the trade analysis popout. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fd808a947-e774-4348-a957-9370fb585568.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price fell 6.8%, while the thirty-day implied volatility rose 41.5%. The average slope of the trendlines is negative. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are overvalued, while the long term is slightly overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F92a8b20d-f887-4f63-a4cc-fd8fb2197191.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Taiwan Semiconductor Manufacturing (TSM) Earnings Report Thursday, October 13th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Wednesday, October 12th 2022 Taiwan Semiconductor Manufacturing (TSM) Earnings Report Thursday, October 13th =============================================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS scans for companies with upcoming earnings announcements, checks historical earnings information, and finds potential options trades. Taiwan Semiconductor Manufacturing reports earnings on Thursday, October 13th, before the open, with the options market expecting a move of 6.5% in either direction. ORATS suggests a neutral IronCondor trade with strikes at 50, 60, 71, and 81, expiring on 2022-11-11, for a credit of $2.7, with a probability of profit of 71.62% and a reward to risk ratio of 1 to 2.7. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: https://youtu.be/Loy-7ssHEnk. Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F26d29431-0913-42f2-936f-9cd33a822924.png&w=3840&q=75) Focusing on Taiwan Semiconductor Manufacturing, as we click through, we see this large-cap company in the semiconductors industry reports earnings on Thursday, October 13th, before the open. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fda4b79f9-8b74-4a0e-95bb-8d27b062a7e5.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 6.5% in either direction. This move was breached in 0 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F29abf99c-78c1-481a-9de4-dca57c9b6663.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 3 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Ffcdc6dd3-ec74-427c-9017-ac48bfc67788.png&w=3840&q=75) For TSM, the current PE ratio is 12.4, which is 43.0% under the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F7eb4fe49-0f03-4aa4-8fbb-2687525ac3fc.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a IronCondor with strikes at 50, 60, 71, and 81, expiring on 2022-11-11, for a credit of $2.7. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F4c9153f2-1232-4710-9bd5-62f7566be7b9.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 30.0%. The forecast edge, which is derived from historical volatility, has an edge of 17.4%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 0.7%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 71.62%. The reward to risk divides the max gain by the max loss. Here the 1 to 2.7 is the ratio of the max gain of $270 to the max loss of $-730. There are two break evens for this IronCondor at 57.3 and 73.7. The total greeks and ThinkOrSwim code complete the information on the trade analysis popout. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fa8dca9cb-9b67-4340-a0c6-c00a9f8a5675.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price fell 18.5%, while the thirty-day implied volatility rose 35.7%. The average slope of the trendlines is negative. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are slightly undervalued, while the long term is slightly overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F8039fbe9-b509-4e51-b8b4-87aabdddcbe8.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact otto@orats.com. To subscribe to the dashboard, please visit https://orats.com/dashboard Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? 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Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Matt Amberson Joins Mike Khouw To Discuss Covered Calls [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Backtesting Thursday, September 15th 2022 Matt Amberson Joins Mike Khouw To Discuss Covered Calls ======================================================= Backtesting covered calls and considering earnings and early exits. Summary Matt Amberson discusses covered calls with Mike Khouw on Open Interest. A covered call options strategy involves selling a call at a strike price above the stock price, retaining the premium if the stock finishes below the call strike price and providing 100 shares of stock per call option sold if the stock finishes in the money. The best days to expiration is 30 days, the best delta is 10, and it is recommended to exit at expiration and avoid earnings. Backtesting is useful but has drawbacks, and the strategy is not set and forget but tactical. Matt Amberson appeared on Open Interest with Mike Khouw and discussed covered calls. A covered call options strategy is when you are long stock and sell a call in the same proportion. The call sold is usually at a strike price above the price of the stock,so if you had a $100 stock price you might sell a $105 or a $110 call. If the stock price finishes under the call strike price, the call is out of the money and the seller retains the premium. If the stock finishes in the money, the call is exercised by the holder and the seller is obliged to provide 100 shares of stock per call option sold.The two important considerations once you have decided on the strategy are -1) which expiration to use2) which strike to useThere are multiple ways to determine these decisions for example the investor might look at the price of the calls and calculate the yield to maturity selling calls that give a reasonable return. The investor could also look at payoff pictures and do Monte Carlo simulations.At ORATS, we have developed a backtester for our clients to study these decisions. The investor can backtest selling options and simulate what profit would have been observed. Here is the backtest performed that is an update to the covered call [backtest performed May 2020](https://blog.orats.com/covered-call-backtest-finding-the-best-maturity-strike-iv-and-earnings-methods) : We backtest a sample set of S&P500 stocks and a variety of expirations and strike prices to find the best performing strategies back to 2007.Symbols: MSFT, AAPL, AMZN, PFE, JNJ, T, GOOG, BRK\_B, JPM, V, PG, UNH, INTC, VZ, HD, MA (making up 30% of the S&P500)Days to expiration: 10, 15, 20, 30, 45, 60, 90, 120, 180, 240Deltas: 5 to 50 by 5 deltasTotal: 6400 testsWhy we chose delta instead of percent of stock price. You can think of delta as the chance of a strike ending up in the money. 10% OTM means something very different for JPM vs TSLA. Delta allows us to normalize the study. Using delta allows comparison between a volatile stock and a non volatile one.Further permutations of the study: When do you exit and should you hold through earnings?Results- The best days to expiration is 30 days. The best delta is 10.Exit at expiration. We tested 75% profit exit and exit at expiration. Interestingly, the tests want to squeeze out every last penny and not exit early.Avoid earnings: Earnings risk reward is not there for these covered calls. There is little protection and a great possibility of going against the position.Here are some backtest examples:Example 1 - Microsoft (MSFT) ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F55f84b8a-753c-4b9b-8f2b-659e6e160598.png&w=3840&q=75) The graph of the purple line is the covered call and the orange is the stock. If you invested $100k in 2007 you'd have $400k today. The rule of 72 doubles every 3.7 years so this seems reasonable. The average annual return on the stock alone is 19.6 with a Sharpe of .87 The Sharpe uses return over volatility as the denominator. The average annual return on the covered call is 19.3 with a Sharpe of .89 Little benefit from the covered call. The higher Sharpe is from slightly lower volatility. Example 2 -Mastercard (MA) Long Stock Statistics Average Annual Return: 28.5% Sharpe Ratio: 1.04 Covered Call Statistics Average Annual Return: 29.4% Sharpe Ratio: 1.10 ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F71acdb3d-cbc8-4ece-b5d0-b4be7f50fba9.png&w=3840&q=75) There is a slight benefit from the covered call. You might be wondering about selling a closer to the money call than a 10 delta.Example 3 - Ford (F) is a 30 delta covered call example. Long Stock Statistics Average Annual Return: 16.7% Sharpe Ratio: 0.35 Covered Call Statistics Average Annual Return: 7.8% Sharpe Ratio: 0.22 ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F47e8b3b2-4f13-4ebb-b345-1926f8295237.png&w=3840&q=75) Ford is seemingly a good covered call candidate. However, Ford shows the risks of the strategy. Ford was up over 200% in a year starting in March 2009. Above, see the gap widen between the orange stock equity line and the purple, the covered call. With the covered call returns, you are never able to catch up from this violent move against the strategy in 2009. The 10 delta return for the covered call was 12.2% and Sharpe of .28Let me give some final thoughts. Overall the covered call strategy compared to the long stock only strategy added only slightly to the return and Sharpe. Backtesting is great to get a feel for a strategy but there are drawbacks. First there is the risk of over fitting. Most strategies were a drag on returns and Sharpe. There is no guarantee that 10 delta will continue to be the better strategyThere are risk and rewards to the covered call strategy. Since the returns from equities are uneven and often the majority of the return is in one period, being short a call can cost dearly in these times. Therefore, the strategy is not a set and forget but a tactical one. Use the covered call strategy when you would not mind selling the stock at the expiration and strike you have chosen. Avoid times like earnings, investor conferences, and other times when the stock could have outsized moves. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Help, My Backtest Isn’t Working! ](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2e6d72f7-e2b3-801a-8967-fb548f4700bc.png&w=3840&q=75)\ \ Help, My Backtest Isn’t Working!\ \ Where Options Backtests Break Down in the Real Market](https://orats.com/blog/help-my-backtest-isnt-working) [![Best Options Backtesting Platforms in 2024](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F0edf9d2e-6015-48f0-9b13-3ec1fd913e8c.png&w=3840&q=75)\ \ Best Options Backtesting Platforms in 2024\ \ Get a free trial of the #1 options backtesting platform when you complete the ORATS quiz!](https://orats.com/blog/best-options-backtesting-platforms-in-2024) [![Behind the Scenes of Over 50 Million Options Backtests](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Faefad00a-6761-4b19-b4ef-7356d033d3e0.png&w=3840&q=75)\ \ Behind the Scenes of Over 50 Million Options Backtests\ \ We reveal the process and calculations behind our groundbreaking new options backtester, engineered to help you find the perfect strategy.](https://orats.com/blog/behind-the-scenes-of-over-50-million-options-backtests) Contact Us Questions about the API requirements? Want to become an affiliate? Curious about the backtester? Leave us a message and we'll get back to you shortly. Your email Your message Submit ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-left.1f9d2ce8.png&w=3840&q=75) ![Icons](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2Ficons-right.5ed24d1b.png&w=3840&q=75) ![ORATS University](https://orats.com/_next/static/media/graphBg.c97473d3.svg) ORATS University Master the art of options Research Implementation Risk Review [Get started](https://orats.com/university) [ORATS![ORATS](https://orats.com/_next/image?url=%2F_next%2Fstatic%2Fmedia%2FlogoFull.1d0aa01f.webp&w=256&q=75)](https://orats.com/) Institutional Quality Tools for All Options Traders (312) 986 - 1060 support@orats.com 36 Maplewood Ave, Portsmouth, NH 03801 Trading Tools [Strategy Optimizer](https://orats.com/strategy-optimizer) [Trade Ideas](https://orats.com/trade-ideas) [Option Scanner](https://orats.com/option-scanner) [Options Backtester](https://orats.com/backtester) [Stock Scanner](https://orats.com/stock-scanner) [Trading](https://orats.com/trading) [Ticker Analysis](https://orats.com/ticker-analysis) [Trade Builder](https://orats.com/trade-builder) APIs [Data API](https://orats.com/data-api) [Intraday Data API](https://orats.com/intraday-data-api) [API Docs](https://orats.com/docs) Historical Data [Near End-of-day - Since 2007](https://orats.com/near-eod-data) [1 Minute Intraday - Since Aug. 2020](https://orats.com/one-minute-data) More Information [University](https://orats.com/university) [Dividends](https://orats.com/dividends) [Blog](https://orats.com/blog) [Videos and Webinars](https://orats.com/videos) [About](https://orats.com/about) [FAQ](https://orats.com/faq) [Partners](https://orats.com/partners) [Legal and Compliance](https://orats.com/legal) [Youtube](https://www.youtube.com/@orats) [Twitter](https://twitter.com/optionrats) [LinkedIn](https://www.linkedin.com/company/option-research-&-technology-services-orats-/) The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. For more information please see [our disclaimer](https://orats.com/disclaimer) . Interactive Brokers is not affiliated with Option Research & Technology Services, LLC and does not endorse or recommend any information or advice provided by Option Research & Technology Services, LLC. --- # Cisco Systems (CSCO) Earnings Report Wednesday, August 17th [NEW\ \ Strategy Optimizer & Trade Ideas now available\ \ Explore now](https://orats.com/strategy-optimizer) [Back to blog](https://orats.com/blog) Earnings Wednesday, August 17th 2022 Cisco Systems (CSCO) Earnings Report Wednesday, August 17th =========================================================== The earnings report scans for high volume with upcoming earnings announcements, research that stock's historical earnings information, and identify a potential options trade. Summary ORATS provides a scan of companies with upcoming earnings announcements, historical earnings information, and potential options trades. Cisco Systems, a large-cap company in the communication equipment industry, reports earnings on Wednesday, August 17th, with the options market expecting a move of 5.0% in either direction. ORATS recommends a neutral Iron Butterfly options trade with strikes at 39, 46, and 53, expiring on 2022-09-09, for a credit of $2.91, with a probability of profit of 66.37% and a reward to risk ratio of 1 to 1.4. Welcome to the ORATS earnings report where we scan for companies with upcoming earnings announcements, check out historical earnings information, and find a potential options trade. Read on or watch the video overview here: [https://youtu.be/wFHUvVNNRcU](https://youtu.be/wFHUvVNNRcU) . Let's start by running a scan on stocks reporting earnings this week, which includes the total option volume indicator, sorted from greatest to least. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Feb31113e-5fb1-4e9a-9375-925a3fd33c3b.png&w=3840&q=75) Focusing on Cisco Systems, as we click through, we see this large-cap company in the communication equipment industry reports earnings on Wednesday, August 17th, after the close. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F038ca1d6-2ad0-47dc-bad0-5a8fbe229dc7.png&w=3840&q=75) The earnings and financials tab takes us to more detail showing the options market expecting a move of 5.0% in either direction. This move was breached in 7 out of the last 12 earnings. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F045502ea-2c3f-4953-9341-fa1684dd868d.png&w=3840&q=75) During that time, the post-earnings move was outside of the implied range 8 times. In those cases, long straddles were profitable. The rest of the earnings moves likely yielded profitable short straddles. We can overlay quarterly financial data by clicking on the ratios below the earn move graph. Let's look at the PE ratio, which is the stock price divided by the trailing twelve months earnings per share. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fb21d00fd-63ee-4c64-a158-a60a5afb8391.png&w=3840&q=75) For CSCO, the current PE ratio is 13.8, which is 6.2% under the average for the last twelve earnings observations. Returning to the overview tab, we can quickly run a scan to find the best option trades. Since earnings are right around the corner, we scan for neutral strategies, then filter the scan results by S%, or smoothed edge, by setting it between negative and positive 3%. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F5968793a-533e-4240-ae96-dca52ec307b7.png&w=3840&q=75) This helps narrow the results to trades that are fairly priced. The highest ranked trade is a Iron Butterfly with strikes at 39, 46, and 53, expiring on 2022-09-09, for a credit of $2.91. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2Fe3c9ad9e-a761-485d-8277-13a49c931a09.png&w=3840&q=75) By pulling up the trade, we can see the theoretical values in more detail. The distribution edge, found by the expected value of the payoff picture on the stock's historical distribution, has an edge of 17.5%. The forecast edge, which is derived from historical volatility, has an edge of 19.2%. Lastly, the smoothed edge, which is calculated by drawing a best fit curve through the monthly implied volatilities, has an edge of 0.7%. The edge is relative to the mid-market price of the trade. Greater positive edges are a theoretical benefit to the trader. We can also look at the payoff graph. The probability of profit sums the probability of the nodes for the part of the payoff picture above the zero profit line over three standard deviations. For this trade the probability of profit is 66.37%. The reward to risk divides the max gain by the max loss. Here the 1 to 1.4 is the ratio of the max gain of $291 to the max loss of $-409. There are two break evens for this Iron Butterfly at 43.09 and 48.91. The total greeks and ThinkOrSwim code complete the information on the trade analysis popout. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F3a4a5f8a-155a-4cf0-bed2-a62ea2bf9c44.png&w=3840&q=75) Next, let's look at this trade in the trade builder. Over the last month, the stock price rose 8.8%, while the thirty-day implied volatility fell 0.5%. The average slope of the trendlines is negative. The heatmap on the right side of the graph is green where volatility and slope are undervalued, and red where they are overvalued. In this case, short term IV and slope are neutral, while the long term is overvalued. ![](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F6a7369e3-2642-4d22-b15d-9dcb8181afb2.png&w=3840&q=75) We can also see this trade overlaid on the monthly implied volatility graph in the chain tab. The legs for this trade are circled. For any questions or issues with the article, please contact [otto@orats.com](mailto:otto@orats.com) . To subscribe to the dashboard, please visit [https://orats.com/dashboard](https://orats.com/dashboard) Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. Disclaimer: The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, portfolio, transaction, or investment strategy is suitable for any specific person. Option trading and investing involves risk and is not suitable for all investors. All opinions are based upon information and systems considered reliable, but we do not warrant the completeness or accuracy, and such information should not be relied upon as such. We are under no obligation to update or correct any information herein. All statements and opinions are subject to change without notice. Past performance is not indicative of future results. We do not, will not and cannot guarantee any specific outcome or profit. All traders and investors must be aware of the real risk of loss in following any strategy or investment discussed herein. Owners, employees, directors, shareholders, officers, agents or representatives of ORATS may have interests or positions in securities of any company profiled herein. Specifically, such individuals or entities may buy or sell positions, and may or may not follow the information provided herein. Some or all of the positions may have been acquired prior to the publication of such information, and such positions may increase or decrease at any time. Any opinions expressed and/or information are statements of judgment as of the date of publication only. Day trading, short term trading, options trading, and futures trading are extremely risky undertakings. They generally are not appropriate for someone with limited capital, little or no trading experience, and/ or a low tolerance for risk. Never execute a trade unless you can afford to and are prepared to lose your entire investment. In addition, certain trades may result in a loss greater than your entire investment. Always perform your own due diligence and, as appropriate, make informed decisions with the help of a licensed financial professional. Commissions, fees and other costs associated with investing or trading may vary from broker to broker. All investors and traders are advised to speak with their stock broker or investment adviser about these costs. Be aware that certain trades that may be profitable for some may not be profitable for others, after taking into account these costs. In certain markets, investors and traders may not always be able to buy or sell a position at the price discussed, and consequently not be able to take advantage of certain trades discussed herein. Be sure to read the OCCs Characteristics and Risks of Standardized Options to learn more about options trading. Related Posts [![Is NVDA Earnings Volatility Underpriced?](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F311d72f7-e2b3-8076-8278-ed08841dcf88.png&w=3840&q=75)\ \ Is NVDA Earnings Volatility Underpriced?\ \ Absolute compression, sector inversion, and what elevated market volatility may be masking](https://orats.com/blog/is-nvda-earnings-volatility-underpriced) [![NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F2b0d72f7-e2b3-80f6-a0ce-ea76b581dce1.png&w=3840&q=75)\ \ NVIDIA Earnings Preview: ORATS Data Shows Implied Move in Line With Historical Realized Volatility\ \ The options market is pricing a move consistent with NVIDIA’s realized earnings volatility.](https://orats.com/blog/nvidia-earnings-volatility-preview-orats-data) [![Nvidia Earnings: Options Market Expectations vs. Reality](https://orats.com/_next/image?url=https%3A%2F%2Foratsblog.s3.amazonaws.com%2F25cd72f7-e2b3-805d-9a7e-d6e7fd5c93e7.png&w=3840&q=75)\ \ Nvidia Earnings: Options Market Expectations vs. Reality\ \ Tracking how implied volatility lines up with Nvidia’s actual post-earnings moves](https://orats.com/blog/nvidia-earnings-options-market-expectations-vs-reality) Contact Us Questions about the API requirements? 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