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Ironchef It is great to hear feedback from you and like yours. It is a lot of work to do this research and it is nice to hear that it is helping. Matt

Hi d0rian We offer a real time greeks and theoretical value feed through Tradier Brokerage. We have an API, though not an Excel API. I am not familiar with the Option Model Price. Is that something where you would feed it your vols? Our theo values are smoothed and fall between the bid ask...

Hi Tao, good question. First, I should mention that the 2% option price divided by stock price has a range around it quite wide. As you point out, a 2% is quite high. Most of the yields are lower in the range. You are asking if it is fair to sell a lower delta in a bull environment. You are...

The days to expiration were tested with min max ranges. For example, the 30 days to ex had a min of 20 and a max of 50. Each time the call was rolled, the new expiration would be within that range. The IV percentile was observed at each trade.

Hi Steve Ophir does a nice job. We have a more intricate backtester- with data going back to 2007, scanner and live market greeks and data. We concentrate on proprietary options calculations which help us with trading triggers and accurate vols. We are past market makers, been in business since...

We ran a large backtest to identify the best maturity, delta, call value as a percent of stock price, earnings strategy, and implied volatility profile for call selling on S&P 500 components. We found some interesting results. Symbols used in the test were MSFT, AAPL, AMZN, PFE, JNJ, T, GOOG...

Ha. The options people know before the company does. Here's today's list:

Dest Yes, that is what I see as well: annActDiv annIdiv $2.08 $1.53 From our API: annActDiv is the forecast of the next year of dividends actual. annIdiv is the implied dividend for the year from options prices.

Thanks Atikon We publish a forecasted dividend feed that includes a growth projection. The annual dividend amount comes from that feed. As you state, the implied dividend comes from a modified binomial options pricing model that includes the Black Scholes Model. I am writing a post to explain...

Thanks Sig This is our analysis. We calculate an implied dividend and present the outliers in this report. This is part of an email that goes out to our report subscribers. I wonder if I made a special for ET members daily and gave it free weekly if that would be interesting.

Hi Ironchef Yes, you can download from our API or you can use our FTP. Our data goes back 13 years to 2007 so I would suggest the FTP unless you only have a few symbols, in which case you can loop through our API in Excel or a programming language. Historical quotes back to 2007 available via...

Today's dividend cuts implied by the options markets includes two builders, Lennar & Pulte. Royal Caribbean Cruises is still expected to cut. Ross Stores and the Retail SPDR expect lower dividends too.

ironchef 1) We provide 2-minute intraday snapshots back to 2015. However, we do not offer that data in our backtester. 2) We provide near end of day snapshots 14-minutes before the close back to 2007 in our backtester. We cover all US equity options including indexes. We have the ability to...

Thanks taowave. I appreciate your ideas and feedback.

Adam Let me know if you want to review our backtester. Matt

Thanks never2old Yes, volume picks up near the close. I have a client that trades millions of dollars in equities on the last print daily. I am not sure if it is a predictor of the next day open or movement.

Stam My firm, ORATS, uses near end-of-day market data where we snapshot all bid-ask options and stock prices 14 minutes before the close. I was a market maker and saw what happened to the prices as the close approached, widening out. We apply a smoothing algorithm that produces good theoretical...

So this report basically says, that the market doesn't expect a dividend > Correct. nor does it expect the stock to move because of the dividend slash? > It does not make that statement. Where is the Implied Move? > The implied move can be extracted from the relationship in the expirations but...

Here's the rinse and repeat for the Kohl's covered call strategy:

Yes. Thanks for the question. I just put up a blog on this. You can view the relative performance of the options strategy in a backtest to those of the underlying instrument by downloading the report. You will get a downloaded zip file. Open StockStats: Do the same for StrategyStats. Add...