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They stopped reporting on their own website but you can still find the performance in some hedge fund database. To my surprise they did not do well in Oct and Nov. I have roughly followed my guess of their trading models from Sep to Mid-Nov at a much smaller scale and I had a +10% ROI. That is...

One way is to use both EOD and the Open of next day to run the backtest. If the results are similar then you can either place your order around the close or at the next day's open

seems weird they have not posted their Oct and Nov performance yet. They were usually posting their performances within the first week. Any idea what was going on?

It is very easy for you to backtest this ATM idea if you have the option data. In my experiment with index options I do not see a big advantage of it vs buy-and-hold. You may have slightly higher sharpe but the transaction cost and slippage could make it worse not to mention taxes and the time...

Got the registration and thanks.

Signed up for the beta and waiting for access. Looks cool and thank you for developing such tools. Would you mind tell us some more details about the algorithm platform (C++, C# or python?) and flexibility?

Thanks for the sharing. Are you trading vol mainly based on long-medium term trend following or short-term mean reverting? I guess this trade is based on mean reverting+a still favorable contango. BTW, I have not really traded with VXX options or VIX options so I have a naive question that if...

I am using optionshouse and they have some free rudimentary unusual options activity scanner. Maybe you can start from there?

In R and Python you can use SQL database. A R package called "data.table" is very fast in dealing with big tables which could fit into your RAM. If you have a 16GB memory I guess your factor ranking could be done pretty easily in R.

I am not sure about how the skew has damaged the call but in my backtested curve the call positions were blown by several market rebound. Meanwhile if you use simple delta hedge you could greatly improve the call position which I believe is coming from the profit of your long SP500 positions...

If you simply short naked S&P 500 index put options with a delta of 5-10 for the same time period using a great amount of margin you can get the baseline equity curve which is very close to their performance. I have backtested simple cases of using delta=5, 7.5 and 10 and hold to expiration...

I used Barclayhedge free database to get some info. LJM and ITB were learnt from my friends. Not too many funds rough:-)

The 90-95% probability definitely helped. And there should be something else about how to close the position or hedge it. I do not believe they are delta-hedged using SP futures during the whole time of their positions since the Sharpe ratio could not be that high. Meanwhile their opportunistic...

I think the worry of event risk is why they are exploring bond option strategies which will not suffer from equity market black-swans. Despite the intrinsic risks facing every single put option writer, they are still doing much better than most of the volatility selling funds I have seen.

I think they are mainly selling OTM S&P index put with 90-95% chance of expiring OTM. I have seen one of their interviews and I briefly talked to their new COO(or CFO). They have a prop model to calculate the probability which I guess is very close to using delta. When the market goes against...