I wrote a scanner for double calendar spreads... They seem to be the most "tunable" of 4-leg spreads. [ATTACH]
Having tried this a few years back, it is intriguing but unsustainable as a core strategy in terms of having a consistent edge. The problem with...
These ETFs are "long convexity" i.e. long gamma https://www.simplify.us/etfs
Wide bid/ask spread is common on illiquid OTM options. I am not as concerned about liquidity at the entry, as much as the probability of expiring...
Thanks for the replies. Exclude rows where the exit date is 2021-05-13 (these are considered 'open') shortPnl = actualCost - exit: Mean 130.83...
OTM calls on single stocks are generally overpriced. Using 3 years of EOD options data, I ran the following backtest: OTM call contract selection...
On historical data, they tend to only run promos in December.
On the other hand, if the stock is trending downward, selling OTM calls (or call overwriting) can be profitable on single stocks where the call is...
RR = max(theoretical pnl) / abs(min(theoretical pnl)) over 25,000 random walks I am using the Finmath library for the Monte Carlo simulation:...
It works on index ETFs, but single stocks are a different story. Boeing (BA) over the past year is a good example of how dangerous this could be....
I wouldn't read too much into it in terms of a directional trade. Going back to 2017, large VIX opening trades have expired worthless 90% of the time.
AMC is slightly better. Remarkable. VIX -0.8786877285247543 AMC -0.5497939623371646 GME -0.5011219510374435 CVM -0.4976718395629993...
IB is a train wreck. Not worth the headaches anymore, even with the convenience of the API... I plan to close my account after tax filings and...
I don't have data prior to 2018... would need to buy it from CBOE. But this includes the periods of volatility in Feb/Apr/Oct/Dec 2018 and the...
I've spent a fair amount of time backtesting put/call writing. On individual names, it is not as clear cut. But on SPY (or SPX), volatility always...
Thanks for the replies. This occurs at the millisecond/tick timeframe and the 1s TWS chart (or completed bar) only shows the price after reaching...
This is probably stating the obvious but I am wondering if the microstructure experts could share some insight. Attached is a recent tick chart on...
Assuming you aren't collecting quotes in real-time, here is what I do for EOD with CBOE daily files. I have a small Java/Spring app that polls the...
Here is some R code to calculate the current VIX from Yahoo (using SPY since there is a bug in quantmod). I ported the same to Java with CBOE EOD...
Net options premium is a better indicator than spot VIX [ATTACH]
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