News & Events

Buybacks, FOMO, ‘Vanna Tailwind’ Prime Stocks for Year-End Rally
October 31, 2024

"The vanna effect may play a similar role in propelling the market post-elections as it did in 2020, says Garrett DeSimone, head of quantitative research at OptionMetrics. 'The idea is that volatility has been priced higher due to hedging against ...

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Equity Options Are Trading as If the Market Is Exiting a Crisis
October 17, 2024

“'Generally, a larger gap is often a bullish signal over medium-term horizons, like three to six months,' said Garrett DeSimone, head of quantitative research at OptionMetrics. 'This is because the market tends to price in rising volatility risk, which often ...

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The Futures Rundown 7: The Trouble With Futures Prices
October 17, 2024

Brett Friedman of Winhall Risk Analytics, an OptionMetrics contributor, appears on "The Futures Rundown 7: The Trouble with Futures Prices" with host Mark Longo, where they analyze the current futures market and pricing methodology. Read the Full Podcast Here

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OptionMetrics IvyDB Implied Dividend Data Product Projects US Security Implied Dividends Two Years into Future Using Options Sentiment
October 2, 2024

OptionMetrics is pleased to announce the release of IvyDB Implied Dividend. This new dataset uses options pricing data to provide forward-looking dividend projections for optionable single-name securities in the US, two years into the future. This forward looking dividend data ...

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Futures: Not All Price Series Are the Same!
October 1, 2024

Not all continuous futures prices series are the same. Depending on how they are constructed, misleading analysis may result. In this month’s blog, Brett Friedman reviews different price curve method. Read Full Blog Here    

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Stock Options Perspective with Garrett DeSimone, PhD
September 24, 2024

OptionMetrics' Head Quant Garrett DeSimone is featured on The Quant/Financial Engineering Podcast with Professor Zoro of Lehigh University discussing tail hedging, out-of-the-money puts, fat tails, and long-term options. Listen to Podcast Here.

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Trading in popular zero-day options dried up during Monday’s market panic
August 14, 2024

On Monday, zero-day options (0DTE) trading linked to the S&P 500 decreased to 26% of total volume, down from 50%, as U.S. stocks experienced their worst session in two years. This change signals an increasing preference for longer-term hedges in ...

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Traders spurn zero-day options in this week’s market tumble
August 8, 2024

The recent market selloff, where the S&P 500 dropped 3% and volatility surged, led to a decline in 0DTE options volume from 48% to 26%. Despite their popularity for short-term speculation, rising volatility made longer-dated contracts more appealing due to ...

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Is winning the gold medal in the race to hosting the Olympics worth it?
August 7, 2024

Hosting the Olympic Games is the pinnacle of sport; the grandeur and the pride that comes along with it is a sporting triumph for any host city. However, it doesn’t come without its economic implications, the implications for infrastructure, the ...

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