Check Options Strategies With Backtesting

Backtesting is a good way to test options strategies interesting to you. Here we test short puts in single stocks.

Modeling the Implied Volatility Surface: Skewness and Kurtosis

Here’s the ORATS approach to skewness and kurtosis, what we call slope and derivative for strike skew parameters.

How to Backtest a Short Calendar Diagonal Spread

Backtest this ‘non-traditional’ Short Calendar Diagonal options spread by adjusting the Leg Relationships and the deltas away from normal at-the-money.

Sell Put Spread When VIX Spikes, Exit Based on Max Profit

Backtest a short put spread with entry rules like VIX price and percent of max profit and exit based on stop loss and OTM%.

VIX Delta Neutral Backtest Using Futures

Index options can be backtested with delta neutral hedging using the implied futures price for the appropriate expiration in the ORATS system.

Modeling the Implied Volatility Surface Term Structure with Incomplete Options Market Data

Calculating the implied volatility term structure of options expirations at the money using a formula allows…

Implied Volatility Term Structure’s Three Parameters

The implied volatility term structure can be summarized into 1) the 30 day IV 2) the 2 year IV and 3) the implied earnings effect.

Backtest Basics: How to set up the Wheel strategy

The Wheel options strategy is when one of your short puts or short calls finishes in the money. You start a new strategy based on the long stock or short…

Implied Volatility Term Structure and Interpolated IVs

Three ways to calculate constant maturity interpolated implied volatility.

Here at ORATS we have three ways to look at the implied volatility (IV) term…

Is Selling Options Still Worth The Risk? IPS Strategic Capital Cites ORATS Backtesting Data

Selling options is popular and has driven prices down to the point where it had made sense to buy them.