Thursday, September 5th 2019
ORATS Data Used in WSJ Story on Liquidity
Liquidity as measured by the number of contracts bid and offered fell during market corrections. The ORATS data API was used to gather the bid-ask size.
The Wall Street Journal used ORATS Data API to gather bid-ask size information to measure liquidity for a story on market corrections. The data showed that liquidity, as measured by the number of contracts bid and offered, fell during market corrections. The article also includes a graph of the market width and SPY price, with spikes around market corrections.
The Wall Street Journal sites ORATS here:
- "Meanwhile, the number of options available to buy or sell on one of the biggest exchange-traded funds tracking the S&P 500, used to hedge portfolios, fell to the lowest level of the year, Option Research & Technology Services data show.
We used our Data API to provide the Wall Street Journal with important liquidity information for their story. Using the Strikes endpoint in our API, we measured the size on the bid and ask each day in 2019 and showed how the bid-ask size fell on the volatile days.
Here's a graph of the market width and SPY price. Note the spikes around market corrections:
Here's a link to the WSJ story that requires a subscription.
Options pricing models produce theoretical values for options and implied volatilities. Here we show common methods for calculating IV and how to interpret them.
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.