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Good point floho Bid-ask spreads have popped to double the levels of the global financial crisis GFC. Take this graph of market width of the bid-ask spread in volatility points. It measures the weighted average of the S&P 500 components. In 2008 the bid-ask IV spread was 11%, Feb 2018 was 9%...

Previously, the SPY volatility had not surpassed 2008 levels, yesterday it did with the IV as high as 85% before backing off. The other indicator that had not reached 2008 levels was the bid-ask width in IV points that did reach 2008 levels intraday before backing off. This is a sign of panic...

Hi spindr0 I just put an analysis up on our blog looking at this question: https://blog.orats.com/traders-complain-about-options-market-width-here-are-the-worst-offenders We also have a way to look at theoretical values to help with your trading...

There is a way to estimate the short interest by the implied borrow rate in options. Stocks can be hard-to-borrow and instead of receiving interest for being short shares, interest is paid for the privilege of shorting these stocks. In ORATS you will see a positive 'residual yield' for a hard...

Lightfightercap If you have a resting order there are many participants who subscribe to the complex order books and will fill your order if it meets their edge requirements. Our backtester had slippage assumptions based on our fill experience as follows: Slippage is the extra amount paid or...

diseasex ORATS has 2-minute snapshots of options bid-asks. We also offer a backtester with near EOD delta hedging. https://info.orats.com/quotes for more information or email me.

victsavio ORATS provides a data API for programmers and an Excel interface to access the data you mention plus much more. Put Call Ratios are there and also a measure of skew so you can see if there is pressure on the low strike puts or the high strike calls that may be moving the implied...

Ironchef It compares favorably. Return is better. Volatility is lower. Risk is much less. If anyone is interested I can put a risk slide together. https://gyazo.com/0130c6f405b5bd1ce61d28923ba24eef

The best combination of long puts and long SPY is below. The long put strategies are over-hedging with WOTM long-term and under-hedging with OTM short-term puts. This combination had a drawdown of 17%, annualized returns of 7.5%, Sharpe of 0.76. For comparison, SPY had a drawdown of 60%...

Using portfolioanalyzer.com with a free account, you can run analyses back to 2007 with REITS, gold, commodities and more. As below, the drawdowns are substantial. https://gyazo.com/18bfe0e30aff92a042b32b7839f7d017

Way back when I was on the Cboe floor I noticed successful traders paying more than theoretical value for certain low priced options. Also, these traders would not hedge all the theoretical deltas from these options. The options seemed to have a low price but would vary between stocks. I set...

Nice post TheBigShort and I agree with Kevin Schmit's concerns. At ORATS, we use a modified Bezier curve (MBC) to start the process. We are careful to constrain the IV levels at the extreme wings. This method produces skews that are useful for risk. However, these skews are not great for...

When I would delta hedge positions as a market maker, I would simulate many different delta hedging strategies on tick data. For example, flattening deltas after a move of .5, 1 and 2 standard deviations in the stock. I would chose the hedging strategy that maximized profits. I found there was...

You can customize the entry and exit dates by providing symbol, entry date, exit date in a CSV. https://blog.orats.com/backtester-basics-defining-specific-trades-on-specific-days We also have the ability to utilize external data sources.

Hi Baozi The FXI ETF tracks 50 large-cap Chinese equities that trade on the Hong Kong Stock Exchange. Here's the result for FXI for a long term long put 555 day 0.40 delta, and short term short put, this time with a slightly higher delta 0.20 vs 0.10, along with some other broad market ETFs...

Good point nooby_mcnoob (and thanks for liking the post) The optimization process is the first step of many before settling on a trading strategy. Backtesting out of sample (OOS), and on different underlyings gives more confidence the strategy can be replicated. To test OOS you would set a...

Wheezooo The backtest of each strategy produces a daily return calculation back to 2007 that can be downloaded from the online platform. Performing the Excel Correl function on the 60 day short put strategy returns and 555 day equals -0.86 [Cell M2]. The correlation for 60 day and 120 day...

The correlation of 60 day short put strategy returns and 555 day is -0.86. The correlation for 60 day and 120 day returns is -0.91. I would not call that uncorrelated positions, however it is true the strategies have very different greeks, i.e. vega and gamma. We cover US equity options...

Baozi The DTE selection may seem strange to you but we have clients interested in those types of trades, having a long term put and selling near term puts. Yes, the platform does allow for backtesting under specific conditions. What were you thinking? We have technical indicators (MACD ATR...

Here is a study on the days to expiration, deltas and price for a diagonal put spread in SPY. The diagonal put spread buys a long term put and sells a short term put. I tested various days to expiration (DTE) combinations, delta combinations of leg 1 & leg 2, and spread yield (options spread...