Frequently Asked Questions
Which symbols do you cover and do you have futures options?
Our data API and historical quotes cover all optionable US equity options on all stocks, ETFs and indexes. For indexes, the implied futures price and spot price is included for each option based on the expiration. Each option's volume and open interest are also included.
How do I cancel my subscription / trial?
Click here to be redirected to the billing portal where you can manage your subscription.
How do I use the Optimize feature to run thousands of backtests?
With the Optimizer, you can set up and run 10s, 100s or 1000s of backtests quickly, and get the results back in a table that is sortable and filterable.
Start by running multiple backtests of the same strategy with different parameters (i.e., different days to expiration). Then, on the backtest home page, check those backtests and click optimize to generate a report.
Start by running multiple backtests of the same strategy with different parameters (i.e., different days to expiration). Then, on the backtest home page, check those backtests and click optimize to generate a report.
Can I compare stock returns to options returns?
We have added the ability to run a Long Stock and Short Stock strategy to the backtester. You can run the strategies on a symbol, list of symbols with weights (i.e., FB: 0.2, AAPL: 0.2, AMZN: 0.2, NFLX: 0.2, GOOGL: 0.2), and with defined start and end dates.
This new feature is important 1) to see the results of a stock (or group of stocks) and 2) to combine stock strategies with other options strategies.
This new feature is important 1) to see the results of a stock (or group of stocks) and 2) to combine stock strategies with other options strategies.
How would you set up a pairs backtest?
Pairs trading is used by options traders to take advantage of miss-pricing between two symbols options prices. The strategy usually involves purchasing an option or spread of options and selling a similar option or spread in another related symbol.
Traders using ORATS usually will look for historical relationships that have gotten out of whack to set up a pairs trade entry and exit dates and then backtest the strategy before implementing.
Read more in our blog post.
Traders using ORATS usually will look for historical relationships that have gotten out of whack to set up a pairs trade entry and exit dates and then backtest the strategy before implementing.
Read more in our blog post.
Can I download the trades, all returns and statistics?
Yes. When viewing a backtest report, click the download button in the top right. We'll generate a zip file called "WheelBacktestReport" with both a stock summary and strategy summary folder. These folders include CSV files for all of the trades, returns, and stats.
Do you have weekly options?
We get asked often if the backtester can handle short dated SPX trading strategies. The answer is YES!
The CBOE started one week expirations in 2005 as a pilot. By March 6, 2014, weekly options were available on more than 325 securities. Here's the complete list on the CBOE site.
The CBOE started one week expirations in 2005 as a pilot. By March 6, 2014, weekly options were available on more than 325 securities. Here's the complete list on the CBOE site.
How do you calculate returns, based on margin or risk capital?
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.
To calculate annual returns, we use average returns instead of compound returns since compounding returns create special problems in options trading. To calculate the annual returns for each year, just add up the daily returns for the date range of the year.
To calculate annual returns, we use average returns instead of compound returns since compounding returns create special problems in options trading. To calculate the annual returns for each year, just add up the daily returns for the date range of the year.
How does the backtester choose which option to trade?
ORATS uses a sophisticated scoring system to choose the best option based on the parameters. We measure how far each option is away from the ideal as a proportion of the range of the minimum and maximum. We score each parameter based on how far the actual is from the ideal divided by the range of the min and max. We choose the option that has the least difference from the ideal, the lowest score.
Read more in our blog post.
Read more in our blog post.
Can I stagger my trades, trading a little every week, instead of just trading monthly?
Yes! The technique offered by the ORATS backtester parameter called 'EntryDays' allows multiple trades to be on at the same time. Staggering trades helps to smooth results especially in options strategies with long days to expiration.
For example, if you are testing a long dated put and the stock steadily drifts up before crashing down will have much different results depending when the put trade was entered. This is called a backtest suffering from 'path dependency'.
For example, if you are testing a long dated put and the stock steadily drifts up before crashing down will have much different results depending when the put trade was entered. This is called a backtest suffering from 'path dependency'.
What is the difference between a covered call, a buywrite, and a short call with married stock?
A covered call and buywrite are the same in our backtester, 100 shares of stock are held for the life of the backtest and short calls are traded according to the parameters the user sets.
The Short Call strategy and with the Stock Position parameter set to Married will only trade stock at the time of trading the options.
The Short Call strategy and with the Stock Position parameter set to Married will only trade stock at the time of trading the options.
How do you calculate slippage (the distance between the bid-ask to trade) and commissions?
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.
Read our documentation to see the table we use for calculating slippage.
Read our documentation to see the table we use for calculating slippage.
Where are the stock prices in the trades section for indexes from?
Indexes like SPX, NDX and VIX do not have a trade-able underlying price like stocks and ETFs do. What index options traders use is a futures price. Futures prices are usually quoted quarterly, and do not exist for every expiration. Traders need to interpolate or calculate an implied futures rate for the expirations without a corresponding futures price expiration date.
Here at ORATS we use put-call parity to solve for the futures at each expiration. In the backtester, the stock price associated with the options trade is the implied futures price for the expiration. Similarly, in the Data API, the stock price associated with the options trade is the implied futures price for the expiration.
Read more in our blog post.
Here at ORATS we use put-call parity to solve for the futures at each expiration. In the backtester, the stock price associated with the options trade is the implied futures price for the expiration. Similarly, in the Data API, the stock price associated with the options trade is the implied futures price for the expiration.
Read more in our blog post.
How are stock and options prices synched in delta neutral hedging?
The options trading technique called 'delta neutral' is flattening out a position's delta at a time interval or a delta level.
ORATS offers the ability to backtest delta neutral by selecting 'Hedge Days' parameter when setting up a backtest. For example, you can flatten deltas every 7 days or when the delta reaches 50 long or short.
For a delta neutral trading example, assume a position short 50 deltas from selling an at-the-money call. To make the deltas neutral, 50 shares of stock are bought to flatten the deltas. The next day, if the stock goes up and the call is now an in-the-money 80 delta, 30 more shares are bought to again flatten the deltas. On the third day, if the stock were to go back down to its original level, then the 30 shares would have to be sold to be again delta neutral.
Read more in our blog post.
ORATS offers the ability to backtest delta neutral by selecting 'Hedge Days' parameter when setting up a backtest. For example, you can flatten deltas every 7 days or when the delta reaches 50 long or short.
For a delta neutral trading example, assume a position short 50 deltas from selling an at-the-money call. To make the deltas neutral, 50 shares of stock are bought to flatten the deltas. The next day, if the stock goes up and the call is now an in-the-money 80 delta, 30 more shares are bought to again flatten the deltas. On the third day, if the stock were to go back down to its original level, then the 30 shares would have to be sold to be again delta neutral.
Read more in our blog post.
Does your API work with Python?
Yes! 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.
Read more in our documentation.
Read more in our documentation.
Do you offer ex-earnings historical volatility?
Yes!
Why don't you offer call and put implied volatilities?
Calls and puts should have the same implied volatility. The implied volatility should describe that portion of the options price attributable to the movement in the stock, ie the implied volatility. If your implieds are different you have not done enough work to identify what is causing the imbalance.
The most obvious culprits causing calls and puts to have different IVs are interest and dividends. 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.
Read more in our blog post.
The most obvious culprits causing calls and puts to have different IVs are interest and dividends. 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.
Read more in our blog post.
What type of historical volatility calculation do you use?
Our historical volatility calculation utilizes the intraday moves in a stock price. Contrary to the popular close-to-close calculation, our intraday method has an additional benefit of providing a one-day historical volatility calculation.
Read more in our blog post.
Read more in our blog post.
How are futures prices calculated for the implied Monies and Strikes stock price?
Indexes like SPX, NDX and VIX do not have a trade-able underlying price like stocks and ETFs do. What index options traders use is a futures price. Futures prices are usually quoted quarterly, and do not exist for every expiration. Traders need to interpolate or calculate an implied futures rate for the expirations without a corresponding futures price expiration date.
Here at ORATS we use put-call parity to solve for the futures at each expiration. In the backtester, the stock price associated with the options trade is the implied futures price for the expiration. Similarly, in the Data API, the stock price associated with the options trade is the implied futures price for the expiration.
Read more in our blog post.
Here at ORATS we use put-call parity to solve for the futures at each expiration. In the backtester, the stock price associated with the options trade is the implied futures price for the expiration. Similarly, in the Data API, the stock price associated with the options trade is the implied futures price for the expiration.
Read more in our blog post.
Do you have constant maturity implied volatility calculations?
Here at ORATS we have three ways to look at the implied volatility (IV) term structure and constant maturity interpolated IVs:
Simple interpolation: We take the expiration directly before and directly after the constant maturity day reading.
Ex-earnings interpolation: We take the earnings effect out of the implied volatility.
Term structure IVs: Whereas the two examples above use just two expirations to calculate a constant maturity IV, this method uses all expirations and minimizes the difference in a formulaic rational term structure from the term structure made using just two constant maturities, a 30 calendar day IV and a 2 year IV. An implied earnings effect is also simultaneously solved for to develop this term structure.
Read about examples in our blog post.
Simple interpolation: We take the expiration directly before and directly after the constant maturity day reading.
Ex-earnings interpolation: We take the earnings effect out of the implied volatility.
Term structure IVs: Whereas the two examples above use just two expirations to calculate a constant maturity IV, this method uses all expirations and minimizes the difference in a formulaic rational term structure from the term structure made using just two constant maturities, a 30 calendar day IV and a 2 year IV. An implied earnings effect is also simultaneously solved for to develop this term structure.
Read about examples in our blog post.
How far back does your quotes product go?
We have end-of-day quotes dating back to 2007. We also have 2-minute snapshots (raw no greeks) dating back to 2015, and 1-minute intraday data since June 2020.
You can read more about our historical quotes here.
You can read more about our historical quotes here.
What format do you use and can I get a sample of your historical quotes?
Our historical quotes can be downloaded through Amazon S3 or FTP. They are in CSV format and are typically viewed in Excel. You can download samples from our website here.
Is there any limitation as to the number of symbols in the bulk download?
No.
How do you forecast dividends?
ORATS provides an unparalleled dividend feed for options traders. We utilize our deep database of historical dividends along with our ability to imply future dividends from the options markets. We partner with top corporate actions provider Wall Street Horizon whose algorithms are continuously scanning the news wires and providing ORATS with updated data. We constantly monitor, verify, and evolve our dividend forecast methods to ensure quality.
Read more in our blog post.
Read more in our blog post.
How far out into the future do your dividend forecasts go?
2.67 years. The projected dividend dates and amounts take into account seasonal irregularities observed in the past. The dividend amount forecasts also use historical patterns to forecast future dividend growth (or decline) and to forecast how many periods a dividend will remain at a particular amount before being adjusted by the board.
How often do you update your dividend forecasts?
ORATS provides a daily FTP download service that updates hourly with all expected ex-div dates and forecasted dividend amounts for the next 2.67 years for all stocks with US exchange listed options.
How do you forecast earnings?
We observe the five factors and the options straddle price prior to earnings announcement and see if any were predictive. Four factors are related to stock moves after earnings announcement and one is the historical average options straddle price before earnings. Moves are presented as dollar stock prices but made from historical percent moves.
1. The Past Straddle Price is the average of the past 12 quarters
2. The Historical Projected Move is the average of All Moves, Same Quarter Moves, and Past Year Moves
3. Past Actual Moves is the average of all moves over the past 12 quarters
4. Same Quarter Moves is the median of same quarter Moves within the last 12 quarters.
5. Past Year Moves is the average of the last four quarter Moves.
Read more in our blog post.
1. The Past Straddle Price is the average of the past 12 quarters
2. The Historical Projected Move is the average of All Moves, Same Quarter Moves, and Past Year Moves
3. Past Actual Moves is the average of all moves over the past 12 quarters
4. Same Quarter Moves is the median of same quarter Moves within the last 12 quarters.
5. Past Year Moves is the average of the last four quarter Moves.
Read more in our blog post.
What are excess options returns?
Halfway through earnings season, ORATS looks back at the stocks that have already announced and assesses the best signals for identifying excess options returns. Excess returns are the difference between the options market expectation of stock movement after earnings announcement and how much the stock actually moved. We look at the stock price moves after announcement compared to the options straddle price.
When we mention "options straddles" we are referring to adjusted straddles. Straddles need to be adjusted to isolate the earnings announcement by taking out the non earnings premium. By isolating the portion of the straddle price to earnings announcement time, we normalize the straddle prices so that straddles can be compared historically and to stock moves at earnings.
When we mention "options straddles" we are referring to adjusted straddles. Straddles need to be adjusted to isolate the earnings announcement by taking out the non earnings premium. By isolating the portion of the straddle price to earnings announcement time, we normalize the straddle prices so that straddles can be compared historically and to stock moves at earnings.
Let's get in touch.
Let us know how we can help. Ask us about pricing, tech support, product demos, and more.
(312) 986 - 1060
support@orats.com
36 Maplewood Ave, Portsmouth, NH 03801
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