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SELECT |
CRITERIA |
DESCRIPTION |
| Bullish
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Bearish
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DEFAULT SEARCHES
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Underlying Asset Direction
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Indicator of underlying
asset direction. Multiple criteria that may affect future direction
of underlying asset including implied volatility and technical information.
Not intended for use with any other criteria. |
| Long |
Short
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STRADDLES |
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Short Term
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Ranks overvalued
and undervalued short term at-the-money straddles based on expected
underlying asset volatility. ORATS
FORECAST of asset volatility for the next 20 trading days divided
by the Implied 20 day. |
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Short Term
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Ranks overvalued
and undervalued short term at-the-money straddles based on expected
implied volatility change. ORATS forecast of where Implied 20 day
will be trading in 20 trading days divided by the Implied 20 day. |
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Long Term
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Ranks overvalued
and undervalued long term at-the-money straddles based on relationships
between equities. ORATS forecast of where Long Term Implied (Implied
Infinite) should be trading, based on cross-sectional relationships
between all equities at present, divided by the Long Term Implied. |
| Long |
Short
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TIME
SPREADS |
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Volatility Term Structure
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Ranks based on
mispricing of implied volatility term structure. Short Term Straddles
criteria divided by Long Term Straddles criteria. |
| Long |
Short
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VERTICAL
SPREADS |
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Strike Slope
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Ranks
based on mispricing from the expected strike by strike implied volatility
slope. ORATS Strike-by-strike
Slope forecast divided by Implied Slope. Example Search: Long Short
Term Straddles + Long Strike Slope will find undervalued lower strike
short term options. |
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Strike Slope Derivative
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Ranks
based on mispricing from the expected amount of curvature in the strike
by strike implied volatility slope.
ORATS Derivative
forecast divided by Implied Derivative. Example Search: Long Short Term
Straddles + Long Strike Slope Derivative will find undervalued out of
the money short term options. |
| Highest |
Lowest |
IMPLIED VOLATILITY |
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Implied 20 day
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Ranks
based on highest and lowest short term at-the-money implied volatility.
Estimated by fitting a patent pending proprietary inter-month
curve through at-the-money market implied monthly volatilities (dependant
variable) and time to expiration (independent variable). The volatility
observed on the curve at the point where time to expiration equals 20
trading days is the 20day
ATM Implied Volatility. |
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Implied Long Term |
Ranks based on
highest and lowest long term at-the-money implied volatility. Estimated
by fitting a patent pending proprietary inter-month curve through at-the-money
market implied monthly volatilities (dependant variable) and time to
expiration (independent variable). The volatility observed on the curve
at the point where time to expiration equals infinity is the LongTerm
Implied. |
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Implied Strike Slope
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Ranks based on
highest and lowest average Implied Strike Slopes across all expiration
months. Implied Strike Slope is a measure of the percentage that
implied volatility changes with every 10 point increase in the call
delta within the intra-month skew; measures how lopsided the 'smile'
or 'smirk' is. Units: percentage of the ATM volatility.
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Implied Derivative
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Ranks based on
highest and lowest average Implied Derivative across all expiration
months. A measure of the rate at which the strike
slope is changes with every 10 point increase in the call delta
within the intra-month skew;measures the curvature of the intra-month
skew or 'smile'. Units: percentage of the ATM volatility.
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Implied 20 day Channel Slope
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Ranks based
on highest and lowest Implied 20 day Channel Slope. The channel
slope of Implied 20 day is expressed as volatility points per trading
day. Positive indicates an upward trend in at the money short term implied
volatility. |
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Implied 20 day 200-day Average
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Ranks based
on highest and lowest 200 day simple moving average of the Implied 20
day. |
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Cost of 1000 Gamma |
Ranks based
on highest and lowest decay (theta) for an option position that has
1000 gamma across wide ranges of strike prices and times to expiration.
This value has a positive relationship with stock price and market
implied volatility. Units: dollars of decay per trading day. |
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Current Implied Level |
Ranks based on
highest and lowest ratios of Implied 20day / 200 day moving average
of the Implied 20 day. A measure of how far above or below implied
volatility is from its recent average. |
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Historical vs. Implied
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Ranks based on
highest and lowest ratios of 20 day Historical (Asset) Volatility versus
Implied 20 day. Values greater than 1.0 indicate recent asset volatility
has been greater than the current at-the-money implied volatility |
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Implied Trend Turn |
Indicates whether
implied volatity is changing from an uptrend to a downtrend, not changing
its trend, or from a downtrend to an uptrend. Range of values: 0=
implied volatility is trending; 1=implied volatility has changed from
an uptrend to a downtrend; -1=downtrend to uptrend. Selecting the Highest
checkbox will rank equities where implied volatility has changed from
an uptrend to a downtrend the highest. |
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Implied in 20 Day Forecast
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Ranks based
on the highest and lowest forecast of where the Implied 20 Day will
be in 20 trading days. Higher values indicate higher forecasts of
at-the-money Implied Volatility. |
| Highest |
Lowest |
UNDERLYING VOLATILITY |
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1 Day Asset Volatility
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Ranks based
on the highest and lowest underlying asset volatility for the preceding
trading day. Asset Volatility is measured using tick data and a
proprietary, patent-pending method. |
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20 Day Asset Volatility
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Ranks based
on the highest and lowest underlying asset volatility for the preceding
20 trading days. Asset Volatility is measured using tick data and
a proprietary, patent-pending method. |
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Long Term Volatility |
Ranks based on
the highest and lowest average underlying asset volatility for the length
of the Profile study. Note: some equities may not have been trading
for the entire 4 year period.
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Median Volatility |
Ranks based on
the highest and lowest median daily asset volatility for the length
of the Profile study. Note: some equities may not have been trading
for the entire 4 year period.
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Asset Volatility Forecast
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Ranks based on
the highest and lowest FORECAST of underlying asset volatility for the
next 20 trading days. ORATS uses proprietary multiple regression
and weighting methods to arrive at its forecasts. Inputs to the forecast
include implied volatility, asset volatility, technical indicators measured
from implied volatility, technical indicators measured from underlying
asset price and others. |
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Asset Volatility Forecast Fit
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Ranks equities
based on how well the Asset Volatility Forecast has predicted actual
asset volatility over the past 252 trading days. Higher values indicate
greater accuracy of the ORATS FORECAST. Range: 0 to 1.00. Excellent
= 0.7 to 1.00. Good = 0.5 to 0.69. Fair = Poor = 0.00 to 0.29. |
| Highest |
Lowest |
TECHNICAL/FUNDAMENTAL |
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Underlying Asset Price
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Ranks based on
the highest and lowest price of the underlying asset. |
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Technical Channel Slope
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Ranks based on
highest and lowest slope of the Technical Channel of the underlying
asset price. Units: dollars per trading day. Positive values indicate
an upsloping channel. |
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Channel Break Out
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Indicates whether
the underlying asset price has broken up or down out of a technical
channel or is continuing in its current Technical Channel. Selecting
'Highest' ranks equities that are breaking up the highest. Selecting
'Lowest' ranks equities that are breaking down the highest. Possible
values: 0.00, 1.00, and -1.00. 0.00 indicates that the equity price
is remaining in its best-fitting technical channel. 1.00 indicates that
the equity price has broken up through the resistance line of the Technical
Channel. -1.00 indicates that the equity price has broken down through
the support line of the Technical Channel. |
| Highest |
Lowest |
SIGNALING |
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Underlying Asset Direction
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Indicates a proprietary
bullish or bearish signal for the direction of the price of the underlying
asset. Possible values: 0.00 = No Signal, 1.00 = Bullish Signal
and -1.00 = Bearish Signal. Select 'Highest' to find equities where
a multitude of variables are indicating an expected rise in underlying
price. Select 'Lowest' to find equities where a multitude of variables
are indicating an expected decline in underlying price. |
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Underlying Volatility Direction
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Indicates a proprietary
bullish or bearish signal for the direction of the Underlying Volatility.
Possible values: 0.00 = No Signal, 1.00 = Bullish Signal and -1.00
= Bearish Signal. Select 'Highest' to find equities where a multitude
of variables are indicating an expected rise in the Implied 20 Day.
Select 'Lowest' to find equities where a multitude of variables are
indicating an expected decline in the Implied 20 Day. |
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Minimum Stock Price
| Display results for
10
20
50 equities.
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