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IF you think the market has a better chance of 1) sitting here, 2) go up slowly or 3) drop hard and most important, NOT 4) drip down slowly, then your best bet, with vols low, would be put backspread- continuously roll it to another expiration cycle IF the market does what you think it won't...

Decades back, some bad CTA's would do something like this and when it is time to raise some money, they pull out the statements from the winning side and bury the story of the bad side..I am in no was suggesting that this is the case here.. just saying...you are syn short put in acct 1 and syn...

If you are in the option space a better line of inquiry would be "Trying to find the right spread" .. let me explain.. the expected returns of options spreads are very dependent on the Iv regime. Try backtesting flies with vix at 12 vs 22 and you will see a huge difference in expected returns...

yes.. good point... forgot about that.. I meant strictly non vol products.. which I know very little about.

sasha.. take a look at Amibroker. I have tried others- investorRT, Sierra,TOS ,etc and when it comes to backtesting, AB is pretty good and reasonably priced.Their autotrading is a weak link --only thru an IB plugin. Check out their site specifically their custom backtester interface which is a...

Saw this old thread and want to suggest a pretty cheap approach to getting data. Subscribe to IQFeed for $70, download all the tickers you want 10 years back, then cancel it after 1 month. A not too expensive way to get intra-day data on hundreds of tickers for backtesting purposes.

Fraser, the way to choose better underlyings for your calls spreads is the same way you choose underlyings for outright positions. If you want to put on long call spreads, look for names that you think will go higher using standard technical analysis-- do the reverse for short call spreads ie...

If you want a set and forget, buy OTM calendars on names you think might go higher or lower. WATCH your vega! Might hit 50% win IF you have some good charting ability. On the ones you lose you lose the debit, on the ones you make you might make 2-3x debit.

joarbana. premium selling is far from a set and forget strategy specially with VIX this low. My worse week in the options pits decades ago was standing next to a lady about to go on her honeymoon. She sold tons of juice thinking she could buy it back after getting back from the islands . Sugar...

edstile... before you plunge into the world of newsletters and option advisory services, try to get the basics down cold first. Read the Option 101 books by Sheldon Natenburg, Lawrence McMillan then move on to Option 102- Charles Cottle, Najarian. Will give you some discernment which you will...

The last sentence is so cogent, succint and yet so true...

Steven you are correct. By definition, option spreads imply a long offset by a short-sometimes ratioed else 1 x 1. In the case of an ATM iron condor with current price at "C", it consists of a short D/E call vertical and a short A/B put vertical. The package is a credit spread because you are...

In addition to win/loss ratio.. dont't forget the most overlooked thing - expected returns. One can be wrong 2/3 if the expected payout on the 1/3 is much bigger. Turtle traders trained by Richard Dennis did not mind bad win/loss ratio - they made many multiples over when they got it right.

So if you have an indicator like % R or if you are wondering if you add a new indicator to layer to existing ones....how would you test it's efficacy against a call vertical, a put fly, an ATM condor? ... hint.. the answer is in this post...:-)

Nothing inherently wrong w you trying to catch the mid point but stymie is right- gotta brush up on your synthetics and lock insome trades thru the other option. That beign said, I'd still avoid the wide spreads even though you might occasionally get lucky and get a MM to hit your midpoint. If...

Try this formula. iv -iv low x bars back divided by iv hi xbb - iv low xbb.... long veta < 20 / short vega > 75, verticals in between... The secret is in the finding the x

OMG...vanzandt.. thanks for the article push but now you just gave me a ton of work next week(s) ... this sentence from that article is very significant... "Near as we can tell, this is a persistent source of edge in the market and yet the complexity of the process seems to deter investors...

I've flipped flopped 2 x on using volume indicators in options as a "tell". I used to think it was a good indicator as it shows commitment of traders to a certain price expectation, then I got talked into by friends of not putting weight on it due to hedging action by the "pro's".. then the...

Scataphagos.. options are probably one of the trickiest to trade for there are so many dimensions money is made / lost. One can make bets on direction, duration, magnitude, terminal distribution, and I assume 1 or 2 other additional elements. This fact makes it, IMHO, less appropriate to the...

Hi. Helpmeplease. I scanned the AB website and saw the matrices description. I don't think that is a new feature- AB has , at least when I started 5-7 years ago, been an array based language so I don't think we need to re-code our AFL formulas. When I started programming, it was strange how...