New Options Backtester
Search, filter, and sort 181,190,293 backtests

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

FieldDefinition
tickerunderlying symbol
tradeDatetrade date
expirDateexpiration date
dtedays to expiration
strikeoption strike
stockPricestock price
callVolumecall option volume
callOpenInterestcall open interest
callBidSizecall bid size
callAskSizecall ask size
putVolumeput option volume
putOpenInterestput open interest
putBidSizeput bid size
putAskSizeput ask size
callBidPricecall bid price
callValue call theoretical value based on smooth volatility
callAskPricecall ask price
putBidPriceput bid price
putValueput theoretical value
putAskPriceput ask price
callBidIvcall bid implied volatility
callMidIvcall mid implied volatility
callAskIvcall ask implied volatility
smvVolORATS final implied Volatility
putBidIvput bid implied volatility
putMidIvput mid implied volatility
putAskIvput ask implied volatility
residualRateimplied interest rate data
deltadelta
gammagamma
thetatheta
vegavega
rhorho
phiphi
driftlessTheta time decay without taking in drift in underlying
extSmvVolexternal volatility
extCallValueexternal call theoretical price
extPutValueexternal put theoretical price
spotPricespot price of the index
updatedAtdate and time of data updated

Monies Implied

FieldDefinition
tickerunderlying symbol
tradeDatetrade date
expirDateexpiration date
stockPricestock price
riskFreeRatecontinuous 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.

residualR2r^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
vol100seed volatility at the 100 call delta
vol95seed volatility at the 95 call delta
vol90seed volatility at the 90 call delta
vol85seed volatility at the 85 call delta
vol80seed volatility at the 80 call delta
vol75seed volatility at the 75 call delta
vol70seed volatility at the 70 call delta
vol65seed volatility at the 65 call delta
vol60seed volatility at the 60 call delta
vol55seed volatility at the 55 call delta
vol50seed volatility at the 50 call delta
vol45seed volatility at the 45 call delta
vol40seed volatility at the 40 call delta
vol35seed volatility at the 35 call delta
vol30seed volatility at the 30 call delta
vol25seed volatility at the 25 call delta
vol20seed volatility at the 20 call delta
vol15seed volatility at the 15 call delta
vol10seed volatility at the 10 call delta
vol5seed volatility at the 5 call delta
vol0seed volatility at the 0 call delta
atmivimplied 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

fitthe at the money monthly fit volatility
spotPricespot 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

earnEffectmarket implied earnings effect
updatedAtdate and time of data updated

Monies Forecast

FieldDefinition
tickerunderlying symbol
tradeDatetrade date
expirDateexpiration date
stockPricestock price
riskFreeRatecontinuous interest (risk-free) rate
vol100seed volatility at the 100 call delta
vol95seed volatility at the 95 call delta
vol90seed volatility at the 90 call delta
vol85seed volatility at the 85 call delta
vol80seed volatility at the 80 call delta
vol75seed volatility at the 75 call delta
vol70seed volatility at the 70 call delta
vol65seed volatility at the 65 call delta
vol60seed volatility at the 60 call delta
vol55seed volatility at the 55 call delta
vol50seed volatility at the 50 call delta
vol45seed volatility at the 45 call delta
vol40seed volatility at the 40 call delta
vol35seed volatility at the 35 call delta
vol30seed volatility at the 30 call delta
vol25seed volatility at the 25 call delta
vol20seed volatility at the 20 call delta
vol15seed volatility at the 15 call delta
vol10seed volatility at the 10 call delta
vol5seed volatility at the 5 call delta
vol0seed volatility at the 0 call delta
updatedAtdate and time of data updated

Summaries

FieldDefinition
tickerunderlying symbol
tradeDatetrade date
stockPricestock 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
iv10d10 calendar day interpolated implied volatility
iv20d20 calendar day interpolated implied volatility
iv30d30 calendar day interpolated implied volatility
iv60d60 calendar day interpolated implied volatility
iv90d90 calendar day interpolated implied volatility
iv6m6 month interpolated implied volatility
iv1yone 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

nextDivnext 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

rDrv2yderivative 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

rSlp2yimplied infinite slope
rVol30implied volatility at 30 days interpolated
rVol2yimplied 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

updatedAtdate and time of data updated

Cores

FieldDefinition
tickerunderlying symbol
tradeDatetrade 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

priorClsclosing price on the prior trading day
pxAtmIvstock 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

cOitotal call open interest
pVolutoday’s put option volume for all strikes
pOitotal 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)

atmIvM2implied volatility for month 2
atmFitIvM2 at-the-money monthly fit volatility for month 2
atmFcstIvM2forecast of volatility for month 2
dtExM2days to expiration in month 2
atmIvM3implied volatility for month 3
atmFitIvM3 at-the-money monthly fit volatility for month 3
atmFcstIvM3forecast of volatility for month 3
dtExM3days to expiration in month 3
atmIvM4implied volatility for month 4
atmFitIvM4 at-the-money monthly fit volatility for month 4
atmFcstIvM4forecast of volatility for month 4
dtExM4days 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

slopeInfimplied infinite slope
slopeFcst

ORATS forecast of the slope of implied volatility skew. Could be compared to the actual slope

slopeFcstInfslope 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

derivInfderivative infinite implied
derivFcstforecast derivative at 30 day interpolated
derivFcstInfforecast 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

cAddPremdeprecated item.
pAddPremdeprecated 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

hiHedgedeprecated item
loHedgedeprecated item
stkVolutotal stock volume for an underlyer
avgOptVolu20d

average for the last 20 days of total options volume for the symbol

sectorsector as derived by cusip number
orHv1d1-day historical intraday volatility
orHv5d5-day historical intraday volatility
orHv10d10-day historical intraday volatility
orHv20d20-day historical intraday volatility
orHv60d60-day historical intraday volatility
orHv90d90-day historical intraday volatility
orHv120d120-day historical intraday volatility
orHv252d252-day historical intraday volatility
orHv500d500-day historical intraday volatility
orHv1000d1000-day historical intraday volatility
clsHv5d5-day historical close to close volatility
clsHv10d10-day historical close to close volatility
clsHv20d20-day historical close to close volatility
clsHv60d60-day historical close to close volatility
clsHv90d90-day historical close to close volatility
clsHv120d120-day historical close to close volatility
clsHv252d252-day historical close to close volatility
clsHv500d500-day historical close to close volatility
clsHv1000d1000-day historical close to close volatility
iv20d20 calendar day interpolated implied volatility
iv30d30 calendar day interpolated implied volatility
iv60d60 calendar day interpolated implied volatility
iv90d90 calendar day interpolated implied volatility
iv6m6 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)
divFreqnumber of dividends per year
divYieldannualized dividends divided by stock price
divGrwthslope of the forecasted dividends annualized
divDate next dividend date is available through another subscription
divAmtdividend amount.
nextErn next earnings date is available through another subscription
nextErnToddeprecated item
lastErnlast 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

daysToNextErndeprecated 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)
sectorNameshort 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
beta1ylong 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
ivStdv1ystandard 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

ivHvXernRatioorIvXern / 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

slopepctileone-year percentile for the slope
slopeavg1mslope average for trailing month
slopeavg1yslope average for trailing year
slopeStdv1ystandard deviation of the Slope
etfSlopeRatioslope 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

nextDivnext 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

pxClsunderlying price at the last close
wksNextErn

number of weeks until the next earnings announcement

nextErnToddeprecated item
ernMnthdeprecated item
avgOptVolu20d average option volume for all strikes over the last 20 days
oitotal open interest for all strikes.
atmIvM1

at-the-money implied volatility for month 1 interpolated using strikes weighted to at-the-money

dtExM1days to expiration for month 1
atmIvM2at-the-money implied volatility for month 2
dtExm2Days to expiration for month 2
atmIvM3at-the-money implied volatility for month 3
dtExM3days to expiration for month 3
atmIvM4at-the-money implied volatility for month 4
dtExM4days to expiration for month 4
straPxM1 straddle price for month 1 closest to the money strikes
straPxM2straddle price for month 2
smoothStraPxM1

straddle ORATS smooth theo for month 1 based on a smoothed line through all strikes

smoothStrPxM2straddle ORATS smooth theo for month 2
fcstStraPxM1straddle ORATS Forecast theo for month 1
fcstStraPxM2straddle 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
ernDate1historical earnings date back 1
ernDate2historical earnings date back 2
ernDate3historical earnings date back 3
ernDate4historical earnings date back 4
ernDate5historical earnings date back 5
ernDate6historical earnings date back 6
ernDate7historical earnings date back 7
ernDate8historical earnings date back 8
ernDate9historical earnings date back 9
ernDate10historical earnings date back 10
ernDate11historical earnings date back 11
ernDate12historical earnings date back 12
ernMv1percentage move for earnings date back 1
ernMv2percentage move for earnings date back 2
ernMv3percentage move for earnings date back 3
ernMv4percentage move for earnings date back 4
ernMv5percentage move for earnings date back 5
ernMv6percentage move for earnings date back 6
ernMv7percentage move for earnings date back 7
ernMv8percentage move for earnings date back 8
ernMv9percentage move for earnings date back 9
ernMv10percentage move for earnings date back 10
ernMv11percentage move for earnings date back 11
ernMv12percentage 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

ernEffct1earn effect for earnings date number 1
ernEffct2earn effect for earnings date number 2
ernEffct3earn effect for earnings date number 3
ernEffct4earn effect for earnings date number 4
ernEffct5earn effect for earnings date number 5
ernEffct6earn effect for earnings date number 6
ernEffct7earn effect for earnings date number 7
ernEffct8earn effect for earnings date number 8
ernEffct9earn effect for earnings date number 9
ernEffct10earn effect for earnings date number 10
ernEffct11earn effect for earnings date number 11
ernEffct12earn effect for earnings date number 12
orHv5d5-day historical intraday volatility
orHv10d10-day historical intraday volatility
orHv20d20-day historical intraday volatility
orHv60d60-day historical intraday volatility
orHv90d90-day historical intraday volatility
orHv120d120-day historical intraday volatility
orHv252d252-day historical intraday volatility
orHv500d500-day historical intraday volatility
orHv1000d1000-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

clsHv5d5-day historical close to close volatility
clsHv10d10-day historical close to close volatility
clsHv20d20-day historical close to close volatility
clsHv60d60-day historical close to close volatility
clsHv90d90-day historical close to close volatility
clsHv120d120-day historical close to close volatility
clsHv252d252-day historical close to close volatility
clsHv500d500-day historical close to close volatility
clsHv1000d1000-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

iv10d10 calendar day interpolated implied volatility
iv20d20 calendar day interpolated implied volatility
iv30d30 calendar day interpolated implied volatility
iv60d60 calendar day interpolated implied volatility
iv90d90 calendar day interpolated implied volatility
iv6m6 month interpolated implied volatility
iv1yr1 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

fairVol90dIV 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

updatedAtdate and time of data updated

Daily Price

FieldDefinition
tickerunderlying symbol
tradeDatetrade 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
unadjClsPxunadjusted closing stock price
unadjHiPxunadjusted high of day stock price
unadjLoPxunadjusted low of day stock price
unadjOpenunadjusted opening stock price
unadjStockVolume unadjusted total stock volume of the day
updatedAtdate and time of data updated

Historical Volatility

FieldDefinition
tickerunderlying symbol
tradeDatetrade date
orHv1d1-day historical intraday volatility
orHv5d5-day historical intraday volatility
orHv10d10-day historical intraday volatility
orHv20d20-day historical intraday volatility
orHv30d30-day historical intraday volatility
orHv60d60-day historical intraday volatility
orHv90d90-day historical intraday volatility
orHv100d100-day historical intraday volatility
orHv120d120-day historical intraday volatility
orHv252d252-day historical intraday volatility
orHv500d500-day historical intraday volatility
orHv1000d1000-day historical intraday volatility
clsHv5d5-day historical close to close volatility
clsHv10d10-day historical close to close volatility
clsHv20d20-day historical close to close volatility
clsHv30d30-day historical close to close volatility
clsHv60d60-day historical close to close volatility
clsHv90d90-day historical close to close volatility
clsHv100d100-day historical close to close volatility
clsHv120d120-day historical close to close volatility
clsHv252d252-day historical close to close volatility
clsHv500d500-day historical close to close volatility
clsHv1000d1000-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

FieldDefinition
tickerunderlying symbol
exDateex-dividend date
divAmtdividend amount
divFreqdividend frequency per year
declaredDatedeclared dividend date

Earnings History

FieldDefinition
tickerunderlying symbol
earnDateearnings date
anncTod

time of day earnings released: Before=900, After=1630, During=1200, Unknown=2359

updatedAtdate and time of data updated

Stock Split History

FieldDefinition
tickerunderlying symbol
splitDatestock split date
divisorratio of stock split

IV Rank

FieldDefinition
tickerunderlying symbol
tradeDatetrade date
ivimplied 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).

updatedAtdate and time of data updated
ORATS University
ORATS University
Master the art of options
Research
Implementation
Risk
Review
Contact Us
Curious about enterprise pricing? Want to become an affiliate? Questions about our data? Let us know.
Your email
Your message
Submit
ORATSORATS
Institutional Quality Tools for All Options Traders
(312) 986 - 1060
support@orats.com
36 Maplewood Ave, Portsmouth, NH 03801
Trading Tools
APIs
Historical Data
More Information
The opinions and ideas presented herein are for informational and educational purposes only and should not be construed to represent trading or investment advice tailored to your investment objectives. You should not rely solely on any content herein and we strongly encourage you to discuss any trades or investments with your broker or investment adviser, prior to execution. None of the information contained herein constitutes a recommendation that any particular security, 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.
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.