I forgot to answer the question. A covered call is equivalent to a naked short put and it is a very conservative strategy in equities. In general...
There are many ways to make (and lose) money with options. They range from very conservative (like covered calls), to outright crazy (naked calls...
I see, but how do you compute that lognormal distribitution? In other words, what mean and standard deviation do you use for it ? I ask this...
I'm glad you played with it, One piece of information that the optimizer provides is the Risk Reward factor (you can select it from the type of...
From all your posts I have always wondered where do you get the Probability from? It is a honest curiosity, is it from the moneyness of the 140 Call ?
When playing long gamma (long options) we want to have maximum optionality (that is we want to pick options with high gamma values) for the period...
Day trading price with linear instruments (shares, futures, CFD's) is an attrition game. I'm surprised by how little statistical analysis is done...
The question that everyone asks all the time is what is the best strike and expiration to play a given move. At least that is the question that...
It does make a huge difference in particular as you move farther away in expirations. Also for the sake of accuracy use the following website for...
I forgot to add here that a common methodology to solve this issue is to compute the underlying price at 4:15PM by using something like the CBOE...
Stepan, one thing you need to take into account is to remember something very simple but that still trips everyone looking at end of day option...
There are plenty of research papers that try to extract information from volume (from calls and puts) with diverse results. In index options there...
Just a comment about dividends. Because SPX options use the basket of SP500 stocks as its reference underlying, then it would be possible to do...
I think you sidestepped the question rajesheck. I'm asking if the strategy can be automated in general (no referring to any particular tool). As a...
It is systematic rajesheck in the sense it can be readily automated. Any insights/research are all gone once you turn the switch on for the...
Just do basic back testing and/or simulation, and I'm pretty sure that in a sufficient long period this thing will give you 50% success rate like...
I hear you Tibster, but believe me, the money in long gamma (long options) is only present at the short term interval trades. Doing long gamma...
Good one, But I'm being serious, back in the day (decades ago) I wrote a market simulator using GBM and prevalent realized volatility values to...
In an efficient market (like the US equities one) the best that any systematic strategy hopes to achieve is 50% success rate. I can suggest a...
Man, almost two years and the VA product is still without volume. So sad, I badly wanted to build a whole trading empire around it :)
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