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  1. Selling naked puts option strategy

    They stopped reporting on their own website but you can still find the performance in some hedge fund database. To my surprise they did not do...
    Post by: windwine, Dec 16, 2015 in forum: Options

  2. Backtest with EOD data - how to decide entry/exit point?

    One way is to use both EOD and the Open of next day to run the backtest. If the results are similar then you can either place your order around...
    Post by: windwine, Dec 16, 2015 in forum: Strategy Building

  3. Selling naked puts option strategy

    seems weird they have not posted their Oct and Nov performance yet. They were usually posting their performances within the first week. Any idea...
    Post by: windwine, Dec 11, 2015 in forum: Options

  4. Selling ATM Options - Viable for long term strategy?

    It is very easy for you to backtest this ATM idea if you have the option data. In my experiment with index options I do not see a big advantage of...
    Post by: windwine, Sep 24, 2015 in forum: Options

  5. Option Backtesting Tools?

    Got the registration and thanks.
    Post by: windwine, Sep 22, 2015 in forum: Options

  6. Option Backtesting Tools?

    Signed up for the beta and waiting for access. Looks cool and thank you for developing such tools. Would you mind tell us some more details about...
    Post by: windwine, Sep 22, 2015 in forum: Options

  7. VIX/VXX/VX Trading Journal

    Thanks for the sharing. Are you trading vol mainly based on long-medium term trend following or short-term mean reverting? I guess this trade is...
    Post by: windwine, Aug 19, 2015 in forum: Journals

  8. Unusual Option Activity

    I am using optionshouse and they have some free rudimentary unusual options activity scanner. Maybe you can start from there?
    Post by: windwine, Aug 19, 2015 in forum: Options

  9. Large sorting in R

    In R and Python you can use SQL database. A R package called "data.table" is very fast in dealing with big tables which could fit into your RAM....
    Post by: windwine, Aug 3, 2015 in forum: App Development

  10. Selling naked puts option strategy

    I am not sure about how the skew has damaged the call but in my backtested curve the call positions were blown by several market rebound....
    Post by: windwine, Aug 3, 2015 in forum: Options

  11. Selling naked puts option strategy

    If you simply short naked S&P 500 index put options with a delta of 5-10 for the same time period using a great amount of margin you can get the...
    Post by: windwine, Aug 3, 2015 in forum: Options

  12. Selling naked puts option strategy

    I used Barclayhedge free database to get some info. LJM and ITB were learnt from my friends. Not too many funds rough:-)
    Post by: windwine, Jul 30, 2015 in forum: Options

  13. Selling naked puts option strategy

    The 90-95% probability definitely helped. And there should be something else about how to close the position or hedge it. I do not believe they...
    Post by: windwine, Jul 30, 2015 in forum: Options

  14. Selling naked puts option strategy

    I think the worry of event risk is why they are exploring bond option strategies which will not suffer from equity market black-swans. Despite the...
    Post by: windwine, Jul 30, 2015 in forum: Options

  15. Selling naked puts option strategy

    I think they are mainly selling OTM S&P index put with 90-95% chance of expiring OTM. I have seen one of their interviews and I briefly talked to...
    Post by: windwine, Jul 30, 2015 in forum: Options
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