About·QuantivWhat options
are saying.
Quantiv reads the options chain like a tape. For every print we measure what the market is paying for movement, what the stock has actually delivered across the last twelve quarters, and where today's premium sits inside its own 52-week history.
Three lenses on every print.
Implied move
Realized track record
ML forecast
The pricing engine, in seven lines.
Every chart on the ticker page traces back to one of these formulas. We show the math because the assumptions behind it (log-normal returns, constant volatility over the horizon) matter for how you read the output.
What dealers are pricing
ATM straddle mid divided by spot. The print-expiry straddle prices a ±1σ move at expiry. Collect it if you think the stock will move less than implied; pay it if you think more.
Scale IV to the horizon
ATM IV is annualized. To compare it with the straddle move, we scale it down to the print expiry. Front-month IV bakes in earnings risk; the next expiry is your ‘quieter’ reference.
Black–Scholes with dividends
IV is solved with Brent's method to 1e-6 tolerance from mid quotes. Greeks are surfaced per expiry so you can see how delta-flat your position is, how much it'll move on a 1-vol jump, and how fast theta accelerates into print.
Two-sided log-normal probability
The hover probability on the density bar uses the correct asymmetric form. Naïve 2·(1 − Φ(z₊)) slightly overstates the tail because the downside in simple-return space is fatter than the upside.
Rich versus what actually printed
Compares today's implied move to the average |close-to-close| over the last four prints. ≥ +20% = options are pricing the print at least a fifth richer than recent history. Sample size is small; treat as a quick prior, not a signal.
LightGBM quantile ensemble
Five gradient-boosted models, one per quantile of |move|, trained walk-forward across every observed earnings event in the universe with no look-ahead. The 80% band P10–P90 is the model's confidence interval, not a guarantee.
From chains to decisions, hourly.
Chain
Hourly OPRA chain snapshots covering every listed expiry and every strike. Landed into a DuckDB-backed parquet warehouse.
Math
Black–Scholes with dividend yield. Brent solver for IV to 1e-6. Term IV, ATM skew, vega, straddle EM and 80% bands on the print expiry.
History
Realized close-to-close moves bracketed by Finnhub-grade earnings timing (BMO/AMC). Twelve quarters per name; EPS / revenue overlay where available.
Score
Rich-vs-hist edge, IV rank vs trailing 52w, and the LightGBM ensemble’s edge over options. Names ranked so the interesting ones rise to the top of the screener.
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