Data API
Wednesday, October 16th 2019
Important New Data Added To The ORATS API
Constant maturity IV at delta levels, forward volatilities and component weighted averages are added to the data API.
Summary
ORATS has added constant maturity IV readings at various delta levels, forward volatilities, and component weighted averages to their Data API, which covers all US equity options including stocks, ETFs, and indexes back to 2007. The API also includes short and long term slope and derivatives, hard to borrow implied rates, and other volatility and volume data, making it a valuable resource for options and stock trading.
New to this release are constant maturity IV readings at various delta levels, forward volatilities and component weighted averages. Forward volatility is a measure of the implied volatility over a period in the future extracted from IV at the beginning of that period and the end of that period. Flat forward volatility is a measure of the implied volatility over a period in the future using theoretical pricing relationships from IV at the beginning of that period and the end of that period. Comparing these two methods of calculating forward volatilities present a unique and powerful way to isolate outliers in the market.
ORATS covers all US equity options including stocks, ETFs, and indexes--over 4000 tickers back to 2007. Also included are component weighted averages for the major indexes and ETFs, over 30 more tickers listed here: ALL_C,DIA_C,DJX_C,GDX_C,IBB_C,IGN_C,ITB_C,IWM_C,IYR_C,KBE_C,KRE_C,MDY_C,NDX_C,NQX_C,OIH_C,QQQ_C,RUT_C,SMH_C,SPX_C,SPY_C,XBI_C,XHB_C,XLB_C,XLC_C,XLE_C,XLF_C,XLI_C,XLK_C,XLP_C,XLRE_C,XLU_C,XLV_C,XLY_C,XOP_C,XSP_C
These component tickers provide historical weighed averages each data set that can be compared to the index or ETF.
Highlights of ORATS Data API:
- constant maturity IV readings at various delta levels
- short term and long term slope and derivatives
- forward volatilities
- hard to borrow implied rates
- straddle priced expected earnings move
- volatility of the volatility
- contango
- confidence of the IV calculations
- IV percentiles
- volume and open interest
The ORATS Data API, containing a wealth of volatility, volume and proprietary options calculations, provides a valuable resource for options trading or as technical signals in stock trading.
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