Its a good question as to where the 90% number comes from...It seems that it is just a convenient number, but nothing much more than that... Someone once mentioned, that it might be possible that a number such as this could be true for OTM options, but that this is irrelevant because the "drift" between strikes during an expiration cycle will likely negate any benefit from the fact that some arbitrary percentage of options MAY, in fact, expire worthless... After all, there is little comfort to be taken in selling calls or puts for 5 bucks watching them go to 15 then saying to yourself "well, 90% expire worthless"...In any event, the position will have to be adjusted because there are enough situations where the "flyer" puts or calls that seem like a great sell become the "outlier"... Gallacher discusses this theory of 90% in one of his books...But it has been about 3 years since I read it, so I dont remember his final conclusion...
email www.ivolatility.com they may program up the answer if enough people ask. To answer your question, we can program our database to calculate that type of information and make it available on the website. That is a rather large project and could take some time. Do you have any ideas on how you would like to view this type of information? I can pass that info along to our development team for a basis for future development. If you could clarify âstrikes times volumeâ as well. Do you mean expired otm strikes with residual open interest? If you are very interested in that type of data we can work out a custom data delivery to you or even provide the calculation results that you want. Please contact me if you would like a quote or to discuss things. Thanks for your time and interest. Cordially, Wayne Wayne Razzi Sales Executive Wayne.Razzi@egartech.com 609.714.0585 Office 609.680.9471 Mobile Ryan Mastro Sales Executive Ryan.Mastro@egartech.com 215.830.8909 Office 215.285.7324 Mobile
I bought back some naked XL 80 dec calls that i failed to make into a spread due to illiquidity. Sold for 1.60 closed for 3.00. Market looks very bullish after failure to correct. I am going to refine my list of symbols to chart. Going to stop using the www.callsandputs.com covered calls list and going to use the www.ivolatilty.com adanced ranker, searching for high volatility but only on the top 200 most liquid options.
In your quest to find these things there is a relatively inexpensive tool called "OptimalTrader" at www.deltaneutral.com that searches either a single stock option chain or multiple stocks that you specify. It applies over 46 different strategies that you can specify and ranks them for probability and profit. It then shows you a risk graph(absolutely essential IMO) and gives you all of the Greeks for the position and lots of other info on the position. It is in BETA and had a free weekend trial a couple of weeks ago. I am in no way connected but have corresponded with the author and he is very helpful. It uses CBOE option chains so it is slightly delayed.
Just21, what quotes provider or software do you use? From your posts, it seams like you trade enough, and have plenty of capital, to invest in software to make things a little easier. I find most web based information to be clunky and slow, but, if it works for you that's cool.
With the OtimalTrader the CBOE option chains are used for the search so they are free but are delayed 15 min. and it links to Ivolitility for the IV. I have been playing with the Calender Ratio Backspreads which are fascinating. It also searches the highest IV skews for calender spreads automatically when they are available. It also downloads EOD stock quotes in a format other charting programs can use.