Quiz

Take the quiz to prove your knowledge of the ORATS platform!

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%)Skew describes implied volatility for ________ in a single expiration, while term structure describes implied volatility for ________ across all expirations.

A

all strikes, a single strikeB

a single strike, all strikesC

all strikes, all strikesD

a single strike, a single strikeWhat 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 skewWhat term does ORATS use to describe the tendency for implied volatility to increase heading into earnings?

A

Earnings effectB

Implied earnings moveC

Earnings driftD

Vega spikeORATS 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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