OTM calls on single stocks are generally overpriced. Using 3 years of EOD options data, I ran the following backtest: OTM call contract selection...
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...
I wrote a 'textbook BSM' program to analyze all of the possible spreads on all liquid options expiring <1 week, and filtered by the highest...
I ran my system on paper in May. The system made a total of 718 trades on 4250 contracts. The activity increased in the last week of the month...
Some background: I posted on ET 10+ years ago under a different moniker. In 2011, I handed all of my accounts to UBS due to lack of time, but...
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