I just put up a separate thread based on your post: Is skew cheap or expensive? I look at historical slope (our measure of skew), ratio of slope...
Skew in options is the slope of the implied volatility of the strikes in an expiration month. Skew is constantly changing and can affect the value...
There are nearly 1 million options and there are going to be cases where there are quotes that are non-standard or stale from the exchanges....
Aquarians, running sanity checks like you did is important with historical options data. You will often identify odd options that have prices that...
Hi Aqua We take a snapshot of all options prices and stock prices 14-minutes before the close. The stock price and options prices are taken at...
Backtest put strategies that do what you expect in tough times like 2008, 2020 or other times. [IMG]
I am suggesting that representative options markets are better reflected well before the close. Many firms trade large size on the close. One of...
As a past market maker and backer of market makers, I echo ajacobson and newwurldmn adding that there are many firms that have algos trading...
This is a good test but has a couple of problems. AAPL post split closing trades are valued at zero. You should be exiting at expiration at...
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I think it is basic. They want to participate in the bull market on these names. They buy calls at low prices. Gamification.
And today thanks to the Robinhood type traders, we see a skew in the right tail. Below is a graph of 5 delta IV divided by 75 delta 30 day IV for...
Hi We have special EliteTrader pricing. https://info.orats.com/elitetrader Historical near end-of-day quotes back to 2007 via FTP are available...
You could simulate a backtest on your short puts and combine the returns with a long put like this one in SPY: [IMG]
You might backtest your strategies and compare your performance. Here's a ITM buywrite in AAPL [IMG]
Benefits of smoothing Smooth market volatilities (SMV) derived from the options market helps traders make sense of a plethora of exchange quotes....
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There are ways to structure crash protection with off setting shorts. I prefer a short put spread against owing two long term puts. Here's a...
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Thanks Alex. DM your address for an ORATS hat! [IMG]
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