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Exactly..In this example the 95 percent spot put = 16 Delta.. Why is this so hard for you? You can program,but you can't equate the 95 percent spot put to its Delta?? put

Dude,you are lost on a simple concept. Take the strike price and divide it by price. That's one method. Or Use Delta of the option as input to run backtest.The author couldn't have been clearer.. Whats the issue , other than the obvious? @taowave, I've enough of BS talkers, pls pls...

of course I am aware of that :) Ive backtested it and know its wrong or optimized :) If someone calls you and says make a 2 sided market on the 95% spot put expiring in 43 days,you have no idea if its a long or short put until I hit the bid or lift the offer. What I am showing you is dealer...

How bad are the commish on 4 sided trades?? I moved from IB(US) because of the costs on 4 leg trades to other brokers who didnt charge a commish

Not sure what you are trying to grasp?? when running an option backtest and looking at what strike to run the test,they typically decide between percent of spot and Delta... In this discussion,we are talking 45 day options,so ATM foward isnt an issue.. As you know,I could choose to run a...

Seems to be needlessly complicated..Why reinvent the wheel? I would stick with Delta or Percent if Spot and decide if you want to have an IV strike effect..

That would make very little sense and the Deltas would be all over the place.. If anything,it could be 116% of spot..but I doubt it

I'm too lazy to open up the link,but there is no way the 16 delta put is the way to go,and there is no chance it outperforms the underlying.. I doubt it outperforms on a delta adjusted basis

Looks like OS is simply calculating premium/max loss 4 put price=.80 3 put price=.34 4/3 put spread = .46 max return 4 put = .80/4= 20% Max return 4/3 PS = .46/1= 46% makes sense,but do not be mislead by the returns

First rule of "dick swinging club" is you have to post something to verify the boasting

Quickly read your opening post follow regarding predictability of T vs T +X. You followed it up with profitability of short dated long options vs long dated.. 2 separate issues that really aren't related..

Gotcha..So it's an outperformance option and Ivol of Pep/Ko is actually historical vol of the ratio?

PEP/ KO Implied = 9%?? I must be missing something .. Pep vol divided by KO vol = 9 percent or 90%??

Nope,Im strictly running pure backtests and for now completely ignoring skew,stickiness,IV,IV%,cones and any other greek voodoo.... FWIW,you appear to approach things in the same framework that I do,and in my case it holds me back..And IMHO,derivative guys tend to needlessly complicate pure...

may as well short Citadel while you are at it...not that you could.. If theres one guy in the industry I woudnt short it would be Izzy

You are looking to short Millenium and you are asking if I am OK??

Ild like to see EI's backtesting approach,but it appears (from my first round of backtesting) hes correct..I havent looked at 0 DTE,I started at 5 DTE,30 delta,25% stop,purchasing at different time intervals

shorting Izzy wouldnt be at the top of my list,but you do you :)

Orats hands down

I see what you are doing