ORATS Data col definitions#

[‘ticker’, ‘cOpra’, ‘pOpra’, ‘stkPx’, ‘expirDate’, ‘yte’, ‘strike’, ‘cVolu’, ‘cOi’, ‘pVolu’, ‘pOi’, ‘cBidPx’, ‘cValue’, ‘cAskPx’, ‘pBidPx’, ‘pValue’, ‘pAskPx’, ‘cBidIv’, ‘cMidIv’, ‘cAskIv’, ‘smoothSmvVol’, ‘pBidIv’, ‘pMidIv’, ‘pAskIv’, ‘iRate’, ‘divRate’, ‘residualRateData’, ‘delta’, ‘gamma’, ‘theta’, ‘vega’, ‘rho’, ‘phi’, ‘driftlessTheta’, ‘extVol’, ‘extCTheo’, ‘extPTheo’, ‘spot_px’, ‘trade_date’]

These are the columns in ORATS data

Column Name	Description
ticker	Ticker symbol of the underlying asset
cOpra	Reference number or identifier for call options
pOpra	Reference number or identifier for put options
stkPx	Stock price or spot price of the underlying asset
expirDate	Expiration date of the options contracts
yte	Year To Expiration - Time to expiration of the options contracts in years
strike	Strike price of the options contracts
cVolu	Volume (number of contracts traded) for call options
cOi	Call Open Interest - Total number of outstanding (open) call options contracts
pVolu	Volume for put options
pOi	Put Open Interest - Total number of outstanding (open) put options contracts
cBidPx	Bid price for call options
cAskPx	Ask price for call options
cValue	Value of call options traded
pBidPx	Bid price for put options
pAskPx	Ask price for put options
pValue	Value of put options traded
cBidIv	Bid implied volatility for call options
cMidIv	Mid implied volatility for call options
cAskIv	Ask implied volatility for call options
pBidIv	Bid implied volatility for put options
pMidIv	Mid implied volatility for put options
pAskIv	Ask implied volatility for put options
smoothSmvVol	Smoothed historical volatility
iRate	Interest rate
divRate	Dividend rate
residualRateData	Residual rate data (purpose unclear)
delta	Delta - Sensitivity measure for options contracts
gamma	Gamma - Sensitivity measure for options contracts
theta	Theta - Sensitivity measure for options contracts
vega	Vega - Sensitivity measure for options contracts
rho	Rho - Sensitivity measure for options contracts
phi	Phi - Sensitivity measure for options contracts
driftlessTheta	Driftless theta - Another sensitivity measure for options contracts
extVol	External volatility
extCTheo	External call theoretical value
extPTheo	External put theoretical value
spot_px	Spot price of the underlying asset
trade_date	Date on which the trades occurred

These columns collectively provide various pieces of information about the options contracts traded on a particular trading day, including their prices, volumes, implied volatilities, Greeks, and other relevant details.

What we can interpret from this mean implied volatility skew?#

The mean implied volatility skew provides insight into the overall sentiment or behavior of options traders regarding the underlying asset. Here’s what you can interpret from the mean implied volatility skew:

Direction of Skew:
- Positive Skew: A positive mean implied volatility skew suggests that call options (OTM) tend to have higher implied volatility compared to put options (OTM). This could indicate bullish sentiment, as traders are more willing to pay higher premiums for call options, anticipating upward price movements.
- Negative Skew: Conversely, a negative mean implied volatility skew indicates higher implied volatility for put options compared to call options. This might imply bearish sentiment, as traders are willing to pay higher premiums for put options, anticipating downward price movements.
Market Sentiment:
- Bullish Sentiment: A positive mean implied volatility skew may suggest overall bullish sentiment in the market, as traders are more interested in buying call options to capitalize on potential price increases.
- Bearish Sentiment: Conversely, a negative mean implied volatility skew may indicate bearish sentiment, with traders preferring to buy put options to hedge against potential price declines or speculate on downward movements.
Risk Perception:
- Risk Perception: Implied volatility skew reflects traders’ perception of risk. A steeper skew, whether positive or negative, indicates a greater perceived risk in one direction (up or down). For example, a steep positive skew suggests higher perceived risk of upside movements, while a steep negative skew indicates higher perceived risk of downside movements.
Trading Strategies:
- Option Trading Strategies: Traders can use the information from implied volatility skew to formulate trading strategies. For example, they might consider selling overpriced options (calls or puts) with high implied volatility or constructing spreads to take advantage of the skew.
Market Conditions:
- Market Conditions: Changes in the mean implied volatility skew over time can indicate shifts in market sentiment, changes in supply and demand dynamics for options, or adjustments in the perceived risk environment.

Overall, the mean implied volatility skew provides valuable information about market sentiment, risk perception, and potential trading opportunities in the options market. However, it’s essential to consider other factors and conduct further analysis to make informed trading decisions.