Hi all, I want to backtest some strats on bond options (ZN and ZB). Before buying expensive data and investing considerable time and resources into it, I’d like to do some quick tests of my investment thesis Questions: -does it make sense to run backtests on ETFs like TLT and IEF (have data for them ready) ? -next step would be to use historical vol surface. Just looked at Quandle and unfortunately they don’t have vol surface for ZN and ZB. Do you know of other data providers ? Thanks Spec
Bond futures vol is quite tricky, especially in the US. I am not eve sure that BBG does a good job with those. I imagine ETF options might actually be easier, although I am not an expert by any means.
yes I think it's easier to backout vol from ETFs. My main concern is once I develop a strat using bond ETFs, not sure if I can use it on futures options and still expect the same returns
It's the opposite. You would be backing implied vol out of American options on a product with a complex dividend term structure (plus, there are other complications there due to the nature of the ETF). Doing it on bond futures and correcting for CTD-related issues is actually easier.