Hi Tao, good question. First, I should mention that the 2% option price divided by stock price has a range around it quite wide. As you point...
The days to expiration were tested with min max ranges. For example, the 30 days to ex had a min of 20 and a max of 50. Each time the call was...
Hi Steve Ophir does a nice job. We have a more intricate backtester- with data going back to 2007, scanner and live market greeks and data. We...
We ran a large backtest to identify the best maturity, delta, call value as a percent of stock price, earnings strategy, and implied volatility...
Ha. The options people know before the company does. Here's today's list: [IMG]
Dest Yes, that is what I see as well: annActDiv annIdiv $2.08 $1.53 From our API: annActDiv is the forecast of the next year of dividends...
Thanks Atikon We publish a forecasted dividend feed that includes a growth projection. The annual dividend amount comes from that feed. As you...
Thanks Sig This is our analysis. We calculate an implied dividend and present the outliers in this report. This is part of an email that goes out...
Hi Ironchef Yes, you can download from our API or you can use our FTP. Our data goes back 13 years to 2007 so I would suggest the FTP unless you...
Today's dividend cuts implied by the options markets includes two builders, Lennar & Pulte. Royal Caribbean Cruises is still expected to cut. Ross...
ironchef 1) We provide 2-minute intraday snapshots back to 2015. However, we do not offer that data in our backtester. 2) We provide near end of...
Thanks taowave. I appreciate your ideas and feedback.
Adam Let me know if you want to review our backtester. Matt
Thanks never2old Yes, volume picks up near the close. I have a client that trades millions of dollars in equities on the last print daily. I am...
Stam My firm, ORATS, uses near end-of-day market data where we snapshot all bid-ask options and stock prices 14 minutes before the close. I was a...
So this report basically says, that the market doesn't expect a dividend > Correct. nor does it expect the stock to move because of the dividend...
Here's the rinse and repeat for the Kohl's covered call strategy: [IMG] [IMG]
Yes. Thanks for the question. I just put up a blog on this. You can view the relative performance of the options strategy in a backtest to those...
Not always will the stock go down. Kohl's KSS for example: Why would Kohl's (KSS) slash its dividend after raising it just two months ago, and...
The implied dividends measure the options market view on how much companies will pay going forward. Embedded in options prices are a portion of...
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