Backtest, scan, analyze, and trade options with institutional quality web tools, APIs, and historical data from ORATS.
Chicago, IL
Joined June 2010
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Introducing the top 10 tools in your ORATS options trading dashboard - Whether you're a beginner or an experienced trader, these tools will enhance your trading strategy and decision-making process:
#options #trading #backtesting #scanning #orats
“The calm before the storm.”
ORATS founder Matt Amberson’s MarketWatch comment gets a closer look in our latest research: SPX options price roughly 50% larger average daily moves for late October and early November.
orats.com/blog/spx-options-t…
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A large options trade hits the tape. What strategy was it? Which side was aggressive? How much exposure did it create?
Episode 150 shows ORATS reconstructing a 45,000-contract, roughly $11M bearish trade and using Otto to investigate the story behind it.
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Find a tested options strategy, match it to today’s market, then customize it.
This ORATS tutorial shows how Interactive Brokers users can search 300M+ backtests and move a strategy into the Custom Backtester to adjust entries, exits, targets, and stops.
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Technical indicators are now available in the ORATS Stock Scanner.
Episode 149 shows how to combine RSI, MACD, moving averages, and custom ratios with options data, then send the results into the Option Scanner.
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A packed Big Tech calendar doesn’t necessarily mean the options market is pricing huge moves.
Ahead of Apple’s Sept. 9 event, AAPL was near 26% implied volatility, roughly a 1.6% daily move.
orats.com/blog/big-tech-sept…
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Investing.com used ORATS data to put Apple’s September event into perspective.
AAPL was trading near 26% implied volatility, roughly equivalent to a 1.6% daily move, as Big Tech enters a packed September event calendar.
investing.com/analysis/from-…
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Nvidia reports tonight, and the options market is expecting its quietest earnings reaction in five years.
ORATS data cited by @MarketWatch puts the implied move at just 5.4%, the lowest since August 2021.
NVDA has moved less than implied after each of its last 8 reports.
The market appears to have noticed.
orats.com/blog/marketwatch-n…
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$280 billion sounds like a massive earnings swing.
For $NVDA, volatility expectations are actually falling.
Expected move:
May earnings: 6.5%
Wednesday: ~5.4%
Is Nvidia becoming more predictable, or is the options market getting too comfortable?
orats.com/blog/nvidia-option…
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How long or short is your portfolio really?
The ORATS Risk Profile can combine positions, translate exposure into SPY terms, overlay delta and theta, and show how the entire book responds to market moves.
Driven By Data Ep. 146
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The biggest earnings fireworks usually come later, when smaller companies report. Not this quarter.
Week 1 long straddles: +23%
Prior 12-quarter avg: -2%
AI hyperscalers flipped the usual earnings-season pattern.
orats.com/blog/reuters-ai-hy…
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30-day IV fell after 97.3% of 1,978 earnings reports, with a median drop of 17.6%.
Most of that decline was measurable beforehand as the earnings premium leaving the 30-day window.
What remains depends heavily on when you start measuring.
orats.com/blog/earnings-vola…
ALT Line chart of the median path of ORATS fitted ex-earnings 30-day implied vol, indexed to 100 five sessions before a print. The orange earnings line falls to 95.6 by the last close before the news and rebounds to 97.0, while the grey ordinary-session line stays flat near 100.
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$SPCX options imply a 15.9% move around SpaceX’s first public earnings, near the top of this week’s 131 liquid reporters.
The catch: no earnings history, a reused ticker and three events inside the expiry.
orats.com/blog/spacex-first-…
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Earlier this week, chip options showed little premium for Big Tech earnings.
Then $MSFT reported.
Five non-reporting suppliers moved a median 12.9% vs. 1.4% for beta-matched controls.
Across 70 previous megacap reaction days, the widest gap was 7.4 points.
Today: 11.5.
orats.com/blog/big-tech-earn…
$MSFT options imply a 6.6% move after tonight’s earnings.
Average over the last 12 reports:
Implied: 4.8%
Actual: 4.4%
That represents a potential $190 billion swing in market value.
Reuters reports using ORATS data:
reuters.com/business/finance…
$NVDA fell 5%, while its 30-day IV jumped 4.5 points amid a record move in its credit default swaps.
But most of the IV increase came from earnings entering the 30-day window. The priced earnings move barely changed.
orats.com/blog/nvidia-option…
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The chip rally may depend on hyperscaler AI spending, but the options market is not broadly pricing their earnings risk into chipmakers.
$MSFT, $META, $AMZN and $AAPL: 3.41 median event-week vol ratio.
Eight non-reporting chips: 1.32.
orats.com/blog/chip-stocks-b…
ALT A horizontal diverging bar chart titled The reporters price the week 2.7 times as richly as the chip complex. Bars extend from a vertical line at 1.00, with a dashed line at 1.15 marking what a typical Monday prints, in four labelled groups each headed by its median. The four reporting companies sit at a median 3.412: MSFT 3.958, META 3.666, AMZN 3.159, AAPL 2.079. Funds that hold all four at 1.389: SPY 1.416, QQQ 1.363. The chip complex at a median 1.262, or 1.323 for the eight unstarred, running from ASML 1.463 down through MU 1.179 to AMD 0.956 and ON 0.780 left of the line. Funds holding none of the four at 1.267: XLU 1.317, IWM 1.274, XLE 1.267, XLP 1.263, XLV 1.204.
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Options price a 7.2% move for $META earnings Wednesday.
That sounds dramatic. By Meta’s own history, it’s ordinary.
The catch: its last four earnings reactions averaged roughly 10%.
What the expected move leaves out:
orats.com/blog/meta-earnings…
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Corporate bonds barely moved during Thursday’s AI selloff. Their options did.
$LQD fell just 0.34%, while its 30-day IV jumped from 5.85% to 7.92%, a 98th-percentile move across 19 years of ORATS data.
orats.com/blog/ai-selloff-co…
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