Recent content by markg_ny

Try: http://www.crimsonmind.com To get recent daily changes for a specific strike I use this method: Enter any quote (say: msft) then click column Strike (History) in the quote table. I use intraday snapshot from the site as well. You can get historical quotes as well (manually, day by day...

Excel is also a good backtesting tool. spy, straddle, fly, backtesting, jwcapital…. This rings a bell…. Similar discussion: http://www.elitetrader.com/vb/showthread.php?s=&threadid=120465&highlight=markgny or search for a thread Short Straddle Update

Some links/sites from few months back (from ET forum): http://www.elitetrader.com/vb/showthread.php?s=&threadid=121798&perpage=6&pagenumber=2

Summary: spy 132 April straddle could sell 7.5 last month. I have Iron Butterfly 125-132-139 (selling straddle and getting protective puts/calls) for 4.85 (max loss around 2.15). Just closed my fly today for 4.2. Profit: 0.65. (should closed on Tuesday, regretted yesterday, do not want to wait...

It makes three of us. I did short straddle for SPY 132 last Friday but I did not follow to the short straddle plan and I wasted money on protective put and call 139 and 125 (7 from 132 as I mentioned in previous thread since the credit was close to 7) – ended up with iron butterfly. 1...

Too late to edit my post. I am a ‘free stuff’ type of amateur options trader/analyst and <b>I should not post a comment “unbeatable prices” with a link to a site</b> (I mentioned I do not use) that is less expensive than some other sites but clearly not with the “unbeatable...

I was also looking for csv and I found that: 1. CBOE is the place for current data (download the file option): http://www.cboe.com/DelayedQuote/QuoteTable.aspx 2. I used also excel web read (not recently): excel ->data->import external data->new web query: Type (sample)...

jwcapital, I agree with you in most of the points and I am glad someone took time to confirm my ‘findings’ and apparently used it in practice. Points I want to make: 1. I realized quickly that we need to adjust the number of contracts and this was the reason I used percentage (or...

1. Protection to the downside by buying puts so that there is almost no downside risk (strike of puts = strike for selling puts/calls - initial credit for puts and calls, eg. for March 2008 we sold 135 strike for 8.2 so the protection puts would be at 127). The average gain is reduced to 10% and...

Quick update and new test results. 1. My spy selling call and put for March 2008 for $8.2 strike 135 is still $1.7 ahead (even with all the down movement). 2. I repeated the analysis for last 28 months for qqqq, djx, and spy and to simplifiy the strategy I sell put/call for the closest strike...

Thanks segv for pointing me in vol. risk premium direction: Googlegives a lot of pdf research documents (a lot of them deal with currencies) but essentially what spy sample here showed was: spy positive risk premium without writing/reading research paper but with quick ‘not scientific’...

Attached Excel file sort of suggests I was using real market data with bid price (no slippage) (excel has also ask price but I removed volume and OI to limit number of columns). I used spy options quotes from third Friday of a month (28 previous months) and copied to excel the closest ITM and...

Wayne, You are so right about Jan expiration (it looks obvious - after the fact - from the excel I attached that I had a typo in the only manual column I filled). I close the position at the expiration Friday (this would be Jan 18 for Jan expiration options I sold on Dec. expiration Friday...

To partially answer “the question” what is better: buy or sell options, I did 28 months test for SPY with the following methodology: If price at expiration Friday is +- 0.2$ from strike, sell straddle (e.g.: price 140.15 sell straddle for next month at 140), otherwise sell strangle (put and...