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I have herd of a rule-of-thumb of the specific Option Volume, being a minimum of 20 times the number of contracts you intend to trade. This seems to be a safe metric. However, I think you may not be able to adhere to that. One thought is you would prefer your exit to be more liquid than your...

thompson182: Typically, the type of ETFs you mention will also exhibit low implied volatility, which will likely keep the CALL premium low, so you will be picking up pennies in front of bulldozers, so to speak. If you are writing your calls closer to ATM, you need to insure you address...

Yes! No or low open interest implies there is little or no market. Not a good thing. If you feel you must trade the particular underlying using options, consider looking closer to the money, down to around 70 delta, to see if ample Open Interest exists there, and verify the bid/ask spread is...

Great! No problem, just wanted to insure I understood. This looks like good data. I really appreciate this info.

Victory5: Thnx. Can you clarify the "OHLC" data you ordered was for the Options and not the underlying? (I do see OHLC for the underlying's, but already have that.) This even without the OHLC, it does seem a bit better than the EODDATA.com "close only" data. I really appreciate your...

I am looking for Historic Option pricing data which at a minimum includes Daily prices. I would like history to go back as far as possible (back to year 2000 would be great). I would prefer OHLC for each OPRA. (SPY, IWM, SPX, and RUT are most critical interesting underlying's). EODDATA...

FYI: Michael Himmel seems to be in this space, his url: http://www.essex.us.com/about I have not seen any publications on any details, however.

Erick: Unclear what your expectation is for a Stop on an Option! Unless the option contract has tight bid/ask spread and good volume, a Stop may take you to the cleaners. If you use TOS as your trading platform, post the question in the "thinkScript Lounge" of the "Chat Rooms". TOS supports...

petersen82 To answer your question, you will need to nail down the missing information. 1) Quantify the market move you expect and quantify the probability. 2) Quantify when #1 will occur and quantify the probability. 3) Using 1 & 2, determine if any positive expectancy is possible. And pick...

GarrettKimmel A couple clarification questions: 1) your reference to "previous high"... Do you mean prior BAR high, or prior high Pivot? 2) do you have interest in applying to equities? The reason I ask, is it seems this should be fairly easily scripted to backtest thru different...

Erick: If you are trying to zero in on the Theo pricing, you may find it useful to "initially" pick an underlying which does NOT have dividends, to insure your "error" is due to your "IV" approximation and not from an issue with how you compute the dividend impact. -- Just use SPX or RUT...

Erick: I found this to be handy. "http://www.macroption.com/black-scholes-excel/". Have you considered using RTD in Excel to extract the info needed, then calculate the remaining information you need? This way, you have access to bid/ask and other info available in TOS in your EXCEL. Be...

Erick: While not a direct response to your question... I want to insure you are aware that the TOS "Theo price" is a function of their "Implied Volatility" value for that strike, which is dependent on the method YOU select for "Volatility calculation mode:" See setting below: Your Achilles...

EliteTraderNYC : I traded some 9-day SPX asymmetrical IB's for a while but no longer trade them. With the Shorts ATM, and the longs many strikes away from the shorts, you get some similarity with ICs, while reaping maximum selling premium. I think you are referring to a Straddle with long...

It would seem you are not alone with interest in this strike!

TianBa: Free daily OHLC volume data is available from Yahoo Finance and from Quandl. I use Quandl, because more securities and indexes are available thru them. Free daily OHLC for options is a different story. I have not found it. You can obtain Endof Day price (not OHLC) from EODDATA.com...

Eric: A few thoughts: DTE: IFF your Duration is accurate, you may consider using something like 40 DTE options, such that you are out of your position prior to the acceleration of time-decay for the option. You may want a rule such as EXIT before 20 DTE remaining , which seems like a doable...

kcgoogler: TOS does NOT support systematic algorithmic option trading. (I heard a rumor they plan to support some algorithmic trading in the future to compete with TradeStation, but no WHAT or WHEN data yet.) I currently use TOS as my primary trading platform, but am looking for something...

For any who do systematic OPTION trading, Black Box or Gray Box: Can you share your experience/recommendation on platforms/tools? Or even a list of candidates... Thnx.

Stops should be considered as "lines in the sand" that if crossed means you are committed to some "irreversible? action". -- "The sky is falling" trigger. 1) You drew you line in the wrong place, if you did not want this to occur. 2) Stops on Options, such as RUT (as well as most) are seldom...