How to Use TheTape.Report
Identify, analyze, and execute on opportunity.
Alerts flag irregularities and indicator dashboards provide context around what's moving. Complement your current trading or develop a custom strategy for Harvested Financial to execute.
Step 1: Identify
Expensive Put Report
The Expensive Put Report looks at every single listed equity option and identifies specific option series that are expensive relative to their stock price. We scrub for corporate actions, no bid, and other market structure irregularities to filter for actionable opportunities sorted by Put%Stock.
This can be used as a way to initiate a wheel style strategy, or to choose the short leg of a put spread. Compare put implied volatility against both Close/Close and Intraday (Parkinsons) historical volatility. Sort by delta, dollar, and days to expiration for a more targeted approach
Call Skew Report
Call Skew refers to the situation where upside calls are trading at a (relatively) elevated level compared to ATM calls or OTM puts. Since the typical equity skew curve is downward sloping from puts to calls, sometimes implied vol is higher, other times it is "less low". The report filters for only structurally actionable opportunities.
Sorted by Call%ATM, this report will highlight places where covered call strategies are relatively rich, or issues where expensive upside offers cheap call spreads. Compare against other issues as well as Close/Close and Intraday(Parkinsons) historical volatility. Sort by delta, dollar, and days to expiration for a more targeted approach
Indicator Alerts
Staying on top of over a dozen indicators and dimensions for hundreds of names is a lot of work. Use our custom alerts to get e-mail notifications any time an indicator breaches a threshold. Set up an unlimited number of alerts across as many names as you want.
Use this to identify cheap ATM volatility, steep skew via FALC, or expensive calls via COVC. When puts go bid, you'll be ready to put on or take off a trade.
An exclusive component of our Trader package.
Step 2: Analyze
Covered Calls and Cash Puts
Reports like Call Skew or Expensive Puts will highlight issues where calls or puts are relatively expensive. To put this in historical context, the Covered Calls report looks at the normalized price of a 30 and 90 day option at 30 delta, and displays that as a percentage of the stock price. These are popular tenors for both overwriting and naked writing strategies.
The stock price is juxtaposed against the value of the puts to compare the price of volatility against the direction of the underlying. Puts are typically more expensive than calls, but the magnitude of the difference gives an indication of skew levels.
Top 50 / Top 200 +
The Top 50 / Top 200 reports are our flagship dashboard, featuring the LIQ Index. When comparing opportunities, understanding relative liquidity in the market is important both for trade entry, but also eventual exit. The LIQ index combines volume, open interest, and market width to allow for day over day as well as cross issue comparisons.
In addition to the LIQ index, the Indicator Dashboards track our stable indicators over time, so traders can better understand which part of the curve is moving and design a trade around that. Read more about GULL, HRON, RAVN, FALC, and COND.
LIQ Picks +
LIQ Picks + brings you a daily curated selection of the names exhibiting the largest changes in liquidity. This might be the result of increased activity, tightening markets, open interest turnover, or some combination of all three. Focus on the most dynamic names in the market, and compare how this has trended over time to calibrate your execution costs.
Once you've seen where trading is happening, review and analyze spreads using all the same indicators available in the Top 50/200.
An exclusive component of our Trader package.
T Minus 5 +
T Minus 5 is our earnings focused dashboard, that focuses on names with earnings in the next five trading days. Earnings announcements typically bring both rising liquidity and greater pricing movements. Lean into the news from the long, short, or neutral side and use the LIQ index to stay on top of major shifts in activity.
Review and analyze spreads using all the same indicators available in the Top 50/200.
An exclusive component of our Trader package.
Stable Skew +
Stable Skew uses the same principles of constant time and delta as our indicators, and applies that to the implied volatility curve. We track delta values along the curve, at four constant maturities (10, 30, 60 and 90 days). Compare the current curve to historical values using the averaging function, which looks at a given maturities curve has changed over time.
As you look for opportunities to sell puts or buy calls, the Stable Skew report will give an idea of how relatively expensive or cheap the curve is.
An exclusive component of our Trader package.
VRP Lab +
VRP stands for "Volatility Risk Premium" and describes the relationship between implied volatility and realized or historical volatility. The larger the VRP, the greater the distance between implied and actual volatility. Option writers look for places where VRP is high, and option buyers will try to identify a narrow or negative spread. This value tends to skew positive.
Here VRP is calculated by taking the implied volatility N days ago (10, 22, 44, 66 trading days) and comparing that to the historical vol over that time frame. E.g. today we calculate the 10 day VRP as the IV ten days ago, minus the last 10 days of HV. VRP is available relative to both Close/Close and Intraday (Parkinsons).
An exclusive component of our Trader package.
Step 3: Execute
Every trader is an entrepreneur. We get that you want to do it your own way.
Take advantage of our market intelligence to super charge your opportunity capture.
If you're looking for specific recommendations about trading platforms, brokerage, or best execution practices; don't hesitate to reach out.
You're a busy person, and have more interesting things to do than manage the nitty gritty of execution. We bring nearly two decades of options execution experience to your portfolio, with the added rigor of systematic implementation.
Don't waste another expiration Friday waiting to roll your position, let us handle that.