Betting on a big move in the SPX in 2 years time

Discussion in 'Options' started by keroppi, May 13, 2020.

  1. I found OptionVue to be a waste of money and time for me.

    I tweaked my syntax support to make it easier for me to use. Below is rslts:
    GetTrade.pl n SPX 204 1350 0 -v 1
    Examine DB for symbol: SPX
    max(ts) -> 20200526.1035 Local TimeStamp -> 20200526.0735
    About to exit! MinDTE=234.07986111111111, Term=SPX210115
    Last for SPX = 3012.55
    Since PriceTarget provided, the uChange is now set to -55.2%

    CRITERIA Used: Time?=Now->20200526.0735, term =SPX210115, Symbol= SPX, days=204, uChange=-55.2%, ivChange=+0.0%
    Per leg Slippage->0.1, MiniBA spread:0.75, Minimum BID:0.3, Commission:1.30, Candidates->5
    Target date = 20201216 is on day# 3 of the week (Mon=1...) Database is "tda_api"
    U= 2983.09, Target U-> 1336.80
    ATM IV= 0.25, Target ATM-IV-> (0.23 -> 0.23):(0.23 -> 0.23)
    Results of evaluation listed below:
    Opra ROR Open Close P0 PT
    SPX210115P1575 1739 % 14.75 271.80 14.65 271.90
    SPX210115P1550 1715 % 13.95 253.70 13.85 253.80
    SPX210115P1525 1696 % 13.15 236.60 13.05 236.70
    SPX210115P1500 1665 % 12.45 220.20 12.35 220.30
    SPX210115P1475 1638 % 11.75 204.67 11.65 204.77
    CALL Vertical Spread Width 25
    Strikes ROR BuySell Open Close
    3650 / 3675 5 % SELL 1.37 0.23
    3675 / 3700 4 % SELL 1.17 0.23
    3700 / 3725 3 % SELL 0.97 0.23
    3725 / 3750 2 % SELL 0.77 0.23
    3750 / 3775 2 % SELL 0.67 0.23
    CALL Vertical Spread Width 50
    Strikes ROR BuySell Open Close
    3650 / 3700 5 % SELL 2.77 0.23
    3675 / 3725 5 % SELL 2.37 0.23
    3700 / 3750 4 % SELL 1.97 0.23
    3725 / 3775 3 % SELL 1.67 0.23
    3750 / 3800 2 % SELL 1.42 0.23
    CALL Vertical Spread Width 75
    Strikes ROR BuySell Open Close
    3650 / 3725 5 % SELL 3.97 0.23
    3675 / 3750 4 % SELL 3.37 0.23
    3700 / 3775 4 % SELL 2.87 0.23
    3725 / 3800 3 % SELL 2.42 0.23
    3775 / 3850 2 % SELL 1.72 0.23
    CALL Vertical Spread Width 100
    Strikes ROR BuySell Open Close
    3650 / 3750 5 % SELL 4.97 0.23
    3675 / 3775 4 % SELL 4.27 0.23
    3700 / 3800 4 % SELL 3.62 0.23
    3750 / 3850 2 % SELL 2.62 0.23
    3800 / 3900 2 % SELL 1.82 0.23
    CALL Vertical Spread Width 125
    Strikes ROR BuySell Open Close
    3650 / 3775 5 % SELL 5.87 0.23
    3675 / 3800 4 % SELL 5.02 0.23
    3725 / 3850 3 % SELL 3.62 0.23
    3775 / 3900 2 % SELL 2.57 0.23
    CALL Vertical Spread Width 150
    Strikes ROR BuySell Open Close
    3650 / 3800 4 % SELL 6.62 0.23
    3700 / 3850 3 % SELL 4.82 0.23
    3750 / 3900 2 % SELL 3.47 0.23
    3850 / 4000 1 % SELL 1.70 0.23
    CALL Vertical Spread Width 175
    Strikes ROR BuySell Open Close
    3675 / 3850 4 % SELL 6.22 0.23
    3725 / 3900 2 % SELL 4.47 0.23
    CALL Vertical Spread Width 200
    Strikes ROR BuySell Open Close
    3650 / 3850 4 % SELL 7.82 0.23
    3700 / 3900 3 % SELL 5.67 0.23
    3800 / 4000 1 % SELL 2.90 0.23
    3900 / 4100 1 % SELL 1.42 0.23
    4000 / 4200 0 % SELL 0.72 0.23
    CALL Vertical Spread Width 225
    Strikes ROR BuySell Open Close
    3675 / 3900 3 % SELL 7.07 0.23
    3775 / 4000 2 % SELL 3.65 0.23
    CALL Vertical Spread Width 250
    Strikes ROR BuySell Open Close
    3650 / 3900 4 % SELL 8.67 0.23
    3750 / 4000 2 % SELL 4.55 0.23
    3850 / 4100 1 % SELL 2.27 0.23
    PUT Vertical Spread Width 25
    Strikes ROR BuySell Open Close
    1500 / 1525 1646 % BUY 0.93 16.17
    1550 / 1575 1643 % BUY 1.03 17.88
    1425 / 1450 1555 % BUY 0.83 13.67
    1475 / 1500 1553 % BUY 0.93 15.30
    1525 / 1550 1545 % BUY 1.03 16.87
    PUT Vertical Spread Width 50
    Strikes ROR BuySell Open Close
    1475 / 1525 1850 % BUY 1.63 31.70
    1500 / 1550 1828 % BUY 1.73 33.27
    1525 / 1575 1816 % BUY 1.83 34.98
    1325 / 1375 1813 % BUY 1.23 23.46
    1400 / 1450 1783 % BUY 1.43 26.85
    PUT Vertical Spread Width 75
    Strikes ROR BuySell Open Close
    1500 / 1575 1934 % BUY 2.53 51.37
    1475 / 1550 1912 % BUY 2.43 48.80
    1450 / 1525 1900 % BUY 2.33 46.51
    1325 / 1400 1889 % BUY 1.83 36.31
    1300 / 1375 1888 % BUY 1.73 34.31
    PUT Vertical Spread Width 100
    Strikes ROR BuySell Open Close
    1475 / 1575 1974 % BUY 3.23 66.90
    1425 / 1525 1964 % BUY 2.93 60.40
    1350 / 1450 1953 % BUY 2.53 51.87
    1325 / 1425 1940 % BUY 2.43 49.49
    1450 / 1550 1935 % BUY 3.13 63.61
    PUT Vertical Spread Width 125
    Strikes ROR BuySell Open Close
    1325 / 1450 1995 % BUY 3.03 63.39
    1400 / 1525 1987 % BUY 3.53 73.59
    1450 / 1575 1981 % BUY 3.93 81.71
    1425 / 1550 1980 % BUY 3.73 77.50
    1350 / 1475 1967 % BUY 3.23 66.68
    PUT Vertical Spread Width 150
    Strikes ROR BuySell Open Close
    1425 / 1575 2012 % BUY 4.53 95.61
    1300 / 1450 2005 % BUY 3.53 74.24
    1325 / 1475 1999 % BUY 3.73 78.20
    1400 / 1550 1996 % BUY 4.33 90.69
    1375 / 1525 1995 % BUY 4.13 86.44
    PUT Vertical Spread Width 175
    Strikes ROR BuySell Open Close
    1350 / 1525 2032 % BUY 4.63 98.60
    1400 / 1575 2022 % BUY 5.13 108.79
    1325 / 1500 2018 % BUY 4.43 93.73
    1300 / 1475 2007 % BUY 4.23 89.05
    1375 / 1550 2002 % BUY 4.93 103.54
    PUT Vertical Spread Width 200
    Strikes ROR BuySell Open Close
    1325 / 1525 2048 % BUY 5.13 110.12
    1350 / 1550 2032 % BUY 5.43 115.70
    1375 / 1575 2024 % BUY 5.73 121.64
    1300 / 1500 2023 % BUY 4.93 104.58
    1250 / 1450 1991 % BUY 4.43 92.53
    PUT Vertical Spread Width 225
    Strikes ROR BuySell Open Close
    1300 / 1525 2050 % BUY 5.63 120.97
    1350 / 1575 2049 % BUY 6.23 133.81
    1325 / 1550 2047 % BUY 5.93 127.22
    1250 / 1475 1994 % BUY 5.13 107.34
    1225 / 1450 1980 % BUY 4.83 100.37
    PUT Vertical Spread Width 250
    Strikes ROR BuySell Open Close
    1325 / 1575 2061 % BUY 6.73 145.33
    1300 / 1550 2049 % BUY 6.43 138.07
    1250 / 1500 2009 % BUY 5.83 122.87
    1225 / 1475 1984 % BUY 5.53 115.18
    1200 / 1450 1961 % BUY 5.23 107.70

    Summary in ROR order for each type
    ROR Type Description Order type
    2061 % Put Spread 250 1325 / 1575 Buy to Open
    2050 % Put Spread 225 1300 / 1525 Buy to Open
    2048 % Put Spread 200 1325 / 1525 Buy to Open
    2032 % Put Spread 175 1350 / 1525 Buy to Open
    2012 % Put Spread 150 1425 / 1575 Buy to Open
    1995 % Put Spread 125 1325 / 1450 Buy to Open
    1974 % Put Spread 100 1475 / 1575 Buy to Open
    1934 % Put Spread 75 1500 / 1575 Buy to Open
    1850 % Put Spread 50 1475 / 1525 Buy to Open
    1739 % Long PUT SPX210115P1575 Buy to Open
    1646 % Put Spread 25 1500 / 1525 Buy to Open
    5 % Call Spread 50 3650 / 3700 Sell to Open
    5 % Call Spread 75 3650 / 3725 Sell to Open
    5 % Call Spread 100 3650 / 3750 Sell to Open
    5 % Call Spread 25 3650 / 3675 Sell to Open
    5 % Call Spread 125 3650 / 3775 Sell to Open
    4 % Call Spread 150 3650 / 3800 Sell to Open
    4 % Call Spread 200 3650 / 3850 Sell to Open
    4 % Call Spread 175 3675 / 3850 Sell to Open
    4 % Call Spread 250 3650 / 3900 Sell to Open
    3 % Call Spread 225 3675 / 3900 Sell to Open
    ------------------------------------
     
    #31     May 26, 2020
    keroppi likes this.
  2. keroppi

    keroppi

    #32     May 27, 2020