Recent content by ensemble

I wrote a scanner for double calendar spreads... They seem to be the most "tunable" of 4-leg spreads.

Having tried this a few years back, it is intriguing but unsustainable as a core strategy in terms of having a consistent edge. The problem with very short-dated options is balancing theta and gamma. You can buy gamma cheaply at expiration but you need an extreme move in the underlying to offset...

These ETFs are "long convexity" i.e. long gamma https://www.simplify.us/etfs

Wide bid/ask spread is common on illiquid OTM options. I am not as concerned about liquidity at the entry, as much as the probability of expiring worthless at the exit. Unlimited risk is true, certainly with naked calls. The naked call could be spread into a long collar or bull vertical spread...

Thanks for the replies. Exclude rows where the exit date is 2021-05-13 (these are considered 'open') shortPnl = actualCost - exit: Mean 130.83 Median 79 Min -1545 Max 1855 These are limit orders. Selling to open at the bid; Buying to close at the ask. As far as writing calls during a bull...

OTM calls on single stocks are generally overpriced. Using 3 years of EOD options data, I ran the following backtest: OTM call contract selection criteria Bid >= 0.15 and Ask >= 0.15 Bid/Ask spread between 0.01 and 4 Expiration between 11 and 75 days I compute the 30, 45, 60, 75, 90-day...

On historical data, they tend to only run promos in December.

On the other hand, if the stock is trending downward, selling OTM calls (or call overwriting) can be profitable on single stocks where the call is overpriced and has a low probability of expiring ITM (based on a log-normal distribution from VIX/variance of the stock). Here is NFLX for example...

RR = max(theoretical pnl) / abs(min(theoretical pnl)) over 25,000 random walks I am using the Finmath library for the Monte Carlo simulation: http://www.finmath.net/finmath-experiments/montecarlo-blackscholes/ I use the VIX formula applied to the single stock as the volatility (variance) input...

It works on index ETFs, but single stocks are a different story. Boeing (BA) over the past year is a good example of how dangerous this could be. I have backtested vertical spreads, ICs, and iron butterflies over 3 years of EOD data (GBM/Monte Carlo sim) and interestingly only TSLA and AMZN have...

I wouldn't read too much into it in terms of a directional trade. Going back to 2017, large VIX opening trades have expired worthless 90% of the time.

AMC is slightly better. Remarkable. VIX -0.8786877285247543 AMC -0.5497939623371646 GME -0.5011219510374435 CVM -0.4976718395629993 EXPR -0.47029845294565986 BBBY -0.44766777354459175 FOSL -0.4350612213010462 PETS -0.4167494355764384 CBMG -0.40419121445238226 BIG...

IB is a train wreck. Not worth the headaches anymore, even with the convenience of the API... I plan to close my account after tax filings and will switch to TOS.

I don't have data prior to 2018... would need to buy it from CBOE. But this includes the periods of volatility in Feb/Apr/Oct/Dec 2018 and the 2020 crash. The VIX calculation can be applied to any underlying but only SPX returns are negatively correlated to volatility over long periods. So when...