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Quiz
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Why do calls and puts have different implied volatilities?
A
Varied interest rate assumptionsB
Dividend riskC
Liquidity concernsD
All of the aboveWhich of the following is NOT a theoretical edge that ORATS calculates?
A
Distribution edge (D%)B
Volatility edge (V%)C
Forecast edge (F%)D
Smoothed edge (S%)What does SMV stand for?
A
Smoothing Market VolatilityB
Smoothing Market VegaC
Smoothed Market ValuesD
Smoothed Market VolatilitiesWhich of the following is a common pitfall traders experience when backtesting?
A
OverfittingB
Path dependencyC
Unrealistic pricesD
All of the aboveAccording to ORATS, when is the closest you can get to the market close (4pm EST) without experiencing deterioration in the quality of the options prices?
A
1 minute beforeB
7 minutes beforeC
14 minutes beforeD
28 minutes beforeWhat term refers to the volatility for all options across all strikes and all expirations for a single symbol?
A
Term structureB
IV skewC
ContangoD
Volatility surfaceWhich of the following is NOT an assumption of the original Black-Scholes model?
A
The movement of the underlying stock is random and normally distributedB
The option can be exercised at any timeC
The volatility of the underlying stock is known and constantD
The risk-free rate is known and constantWhat does slope measure?
A
The steepness of the term structureB
The curvature of the term structureC
The steepness of the skewD
The curvature of the skewORATS interpolates IVs across different deltas to simplify the term structure. Which deltas do ORATS present?
A
10, 25, 50, 75, 90B
25, 50, 75C
5, 25, 50, 75, 95D
20, 40, 60, 80What is the significance of the _C tickers in ORATS?
A
They represent the average of all calls for a given expirationB
They represent the slope of the term structureC
They represent correlations between IV and stock priceD
They represent component weighted averages of ETFsWhy is it important to calculate the earnings effect?
A
To determine the implied earnings moveB
To compare IV across different symbols and historyC
To calculate the residual rate based on put-call parityD
The earnings effect is not importantBacktesting is part of which pillar of the ORATS methodology?
A
ResearchB
ImplementationC
RiskD
ReviewNotional returns are used in the backtester to help standardize and normalize performance across all different types of strategies and symbols.
A
TrueB
FalseSubmit quiz
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