More Research
Option Research and Technology Services ORATS
With over 30 years of experience in option position strategy, execution, and risk management, the professionals at ORATS provide equity option research and the technology to harness it. ORATS research offers underlying volatility measurements based on tick-by-tick data as well as implied volatility surface summarizations which are performed on an extensive option quote database. Products include:
- Earnings Move Report: The goal of the Earnings Move Report is to analyze movement in stocks around earnings reporting periods by showing the expected move in a stock for the day of and after earnings. To calculate the earnings move, ORATS calculates the past moves during earnings compared to the projected normal daily move in a stock. Names on this report will report earnings in the next seven calendar days. Sample File
- ActionAlert: ActionAlert is an executable file which sits on the desktop or laptop that allows for constant updates of implied volatilities and volume information to identify option action in the market. One can monitor volatility and volume for user defined stock lists as well. Sample Snapshot
- Full Listing of Products: For a full listing of all ORATS products and data points, Please view the following file. ORATS Full Product Listing
ORATS proprietary technology uses patent pending algorithms to calculate statistical volatilities and implied volatility skew summarizations. In addition, the following tools are leveraged to uncover trading opportunities:
- TradeFinder: Ranks options by highest probability of profit.
- PressureGauge: Graphically illustrates volatility skews with net change.
- Minder/Matrix: Compares monthly ATM and ORATS volatilities.
- Hittor: Pinpoints the best equities and options to trade based on several metrics.
- ActionAlert: Searches monthly at the money implied volatilities, skew and volume information to identify where there is significant option activity.
- VolGraphor: The VolGraphor is a graphing application that allows the user to include or exclude earnings event volatility (defined as the stock movement on the day of and day after earnings are announced) from historical volatility calculations.
- NewsSpidor: News Spidor is an application that searches user-defined internet news sources for keywords or phrases.
- Vol Forecastor: This application generates GARCH volatility forecasts that match the number of trading days expected between today and the next thirteen (13) expected monthly option expirations, plus the first January expiration after that.
- IVAlert: This tool helps you find the largest IV changes across all stocks, with IV Up and IV Down movers shown on two parts of the same tool.
Options consulting services are also available to help funds with risk management and event and earnings volatility. Option strategies include: Long Straddles, Long Strangles, Short Straddles, Short Strangles, Bull Put Spreads, Bull Call Spreads, Bear Put Spreads, Bear Call Spreads, Collars, and Call Backspreads
The following are ORATS Action Alert files that can be downloaded and utilized for screens. Right mouse click and choose 'save target as'. Save the dat file into your c:\program files\orats\actionalert\data directory: DJ Stocks, ETF Listing, NASDAQ 100, Top 500 Optionable Stocks, S and P 500, S and P 600, Large Cap Type 1s, Small Cap Type 1s, Large Cap Type 4s, and Small Cap Type 4s
ORATS Website
ORATS Update 11/13/2006
ORATS Action Alert software download
Wall Street Horizon
Wall Street Horizon is The Earnings Calendar Company(sm) - We publish highly accurate earnings calendars for the US and global equity markets - a number of algo traders, options arbitrageurs, proprietary trading firms, market makers, and trading desks use our feeds for risk management and trading on their systems.
Unparalleled Accuracy
Wall Street Horizon’s massive database currently boasts coverage of over 5,000 U.S. public companies. The data is gathered directly by trained analysts who speak directly with the companies we track multiple times per quarter. In addition, our QA process, powered by our DoubleCheck(sm) technology, monitors corporate Web sites for daily omissions, deletions, and changes. Our unique combination of high-touch and high-tech data collection methods provides our clients with the most accurate and current calendar information in the market today – guaranteed!
Get Smart. Get Wall Street Horizon.
Simon Economic Systems
Steve Simon’s RADAR (Rotation Analysis Designed to Assess Risk) Alert has been developed around the theory that market psychology is a key force in the pricing mechanism of the market. The key to his work is the analysis of risk – RADAR monitors the risk cycle, which is based on the emotions that drive the market. Traditional valuation metrics state what should be and will be recognized while RADAR pinpoints what is being recognized. Portfolio Managers and Analysts should use RADAR as an extension to their own research to determine if and when the market agrees with their judgments. The RADAR scoring system is based on two factors: the Buy Side Demand Index and trend identification. The BSDI is the core indicator of the model and is used to identify when investors expectations are “stretched out” beyond normal limits. The second component, trend identification, is a forward-looking alpha model that ranks sectors, industries, and individual securities according to their future performance versus a bench mark. Together these indicators have great predictive ability to identify when:
- Volatility in the market, as well as volatility premium, will be increasing over a 30 day period.
- Market risk is much higher than normal due to investor’s misinterpretation of risk.
- Liquidity is drying up and, therefore, a violent trend reversal is likely.
By adding RADAR to the stock selection process, an existing valuation model becomes scaleable and, therefore, a more robust, accurate, and predictive tool. In turn analysts have more time to spend on material valuation issues and strategic forecasts.
Simon Economics Website
Simon Economics Weekly Update 07/27/2006
Minyanville Publishing and Multimedia, LLC
A real-time tool to filter the noise from the news that matters (while it still matters) and help learn how to make better and more informed decisions. A mix of insight and commentary to help identify the macro environment along with actionable stock/sector movements. A resource to help portfolio managers and traders stay more connected to the "flow" of Wall Street
PortfolioScience
PortfolioScience is an on-demand risk analysis service dedicated to bringing powerful, institutional quality portfolio analysis tools to the financial community. PortfolioScience's goal is to provide investors and institutions with the ability to properly analyze market risk in exacting and real dollar terms. Portfolio Science can be used as a risk management infrastructure for Hedge Funds, Portfolio Managers and Trading Desks. Risk tools include differential risk, standard deviation, correlations, beta, alpha and daily risk among others.
Ford Equity Research
Ford Equity Research is an independent, unaffiliated and unbiased equity research firm with one objective: improving investment performance. Equity Research creates its stock selection models and investment techniques through a proprietary Quantitative Validation Process. Ford's unique approach to analyzing equity markets consist of: precise data collection, rigorous testing, and validation through repetition and back testing. This data is the basis for our quantitative decision making process-a process uncompromised by biases introduced by management stories or sell-side rationales.
Model Examples
- Earnings Momentum
- Sales Momentum
- Price Momentum
- Value Momentum
- Operating Earnings
- Yield
- Normal Earnings
- Share Buybacks
- Quality Rating
- Growth Persistence
- Rating