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.
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.
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