Recent content by dorietrading

yep, with high IV the prices should be sky high..

You can write a ATM call with a longer duration to protect the stocks in a high IV environment

I have written my own backtest software and thanks to this backtesting (not overfitting) ik know how to deal with crashes (most of the time i sell options). 2008, 2015, 2018, 2020 are all years where you can learn a lot from backtesting. A lot of option writers went broker because they didnt...

I use IB, its cheaper for SPX but i always trade at least 2, min tx cost is 1 dollar there..

Still opening and closing 2 ES futures: 4 dollar. SPX is 2,40. Big difference..

Instead of 1 SPX option I have to do 2 ES options, more transaction fee...

you can also find the bid/ask there per minute..

you can find the trades in the backtest but you can always choose not to trade when vix is eg above 30

Please look at the spx option prices in the feb/march 2020 period in the 1 to 3 dollar range. There were no big gaps so stops should be filled near stoploss.

Sure, they are tricky. But since start the realtime results match The backtest results.

No, i'm not the programmer. Regarding your other questions, please have a good look at the site, you can figure it out..

It ueses The high price of The option (timeframe 15m). See also backtest url

Please check this url, here you can backtest on different times: https://tradeautomationtoolbox.com/byob-ticks

So directional (delta or vol) is not really needed..

I also backtested this strategy for the last hour. With 10 cent slippage and tx costs included you earn on average 56 dollar a day with one strangle. Biggest drawdown (multiple days loss) from 2018 is 1317 dollar. So with 100K your can earn on average 560 dollar net a day with a max drawdown of...