Backtest results with neutral options strategies on stocks with highest implied Vola ?

TrAndy2022

TrAndy2022

Is there any website, which has published some longer term backtest results, if you just screen the stocks for highest implied volatility and then apply neutral options strategies on them ? How much RR or percentage return you could make per anno for the last 5 to 10 years ? I mean neutral options strategies with 4 to 6 weeks expiries. I do not want to do this on my own with software I have not for it. So I am asking is there any website which has already results for this published ? Otherwise anyone experience here and can post his backtest results for this ? Because it looks easy to capture 30% to 40% per month with such neutral option plays with fixed limited risk on neutral options strategies on high implied vola stocks. I just looked on MARA stock and I could find a neutral option play with 3:1 Reward to Risk ratio on 6 weeks expiry with fixed amount of risk. If you now diversify that kind of strategy to a number of say 10 or 20 stocks (with market cap on each above $5 billion for example), how would the results be over time. So I would want to know if you do this systematically over the years, what kind of drawdown and returns you could expect ?
 
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I also think it is better to make no head about options plays as I am not an option expert, though I calculated the Black Scholes formula on paper myself, also other things like Put Call Parity and various options strategies in school long time ago. Better to stick with my scale in strategy to add on winning trades. Far easier to manage and much more scalable too. But I am always open to learn more. So far I think you can make only up to 6R per anno with options, with R based on overall max. drawdown. With scaling in I could make on a 4R trade already 50:1 RR. But you need to know the direction and need to estimate the drawdowns in between the movement. Not easy of course. But also need to estimate a lot on movements with options. Actually I find the timing with the expiries more challenging at a first glance. Let me know if I am wrong and option plays are far better or more interesting.

I believe the compound effect when you hold your leverage constant on one side is the strongest return to risk effect you can get while trading something. You cannot do this to such an extent with options (I think). Let me know if I am wrong.

Options are or should be fair priced, so you cannot make an arb because of pricing itself. So you need to have a good opinion to make money from options. But what I see is, it is already priced in what is and not what should or could come next. I mean there is always that kind of trend exploration pricing among options. So to some extent it is very rational to say that trend cannot continue with that kind of momentum. So basically there would be then option strategies to profit from this "opinion", which are no-brainers to some extent. So the question would be how much this kind of sweet-spot could to what extent result in RRR p.a. ?
 
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To give you an example what I mean what is not priced in, but is kind of normal on future expectation of a behavior of an underyling. I have attached a study on how to get easily Sharpe 3 with Options strategy. That is not priced in the option itself, with the result you can make 5% monthly with it. That is what I mean with trend exploration on options.

"This paper describes design and back-testing of an automated deltahedging strategy applied to short-dated fx options (specifically – weekly and monthly at-the-money EURUSD straddles). The results indicate that systematic sale of options that are deltahedged according to the suggested algorithm generates financial gain for the seller with an attractive Sharpe ratio exceeding 3.0 on after-cost basis (back-testing accounts for volatility bid-offer as well as spot market bidoffer). For weekly options Sharpe ratio significantly depends on the day of week on which the algorithm systematically sells options: delta-hedging of options sold on Thursdays results in highest Sharpe ratio; delta-hedging of options sold on Fridays results in second-best Sharpe ratio. The performance of the algorithmic strategy is not correlated with linear changes in spot price which is in line with Black-Scholes theory. The proposed algorithmic strategy has just a few parameters which serves as a natural protection against over-fitting bias. Further finetuning of the algorithm requires access to historical data over longer period and/or access to live trading environment"
 

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I didn't read your missives but I can add that sht like MARA has a great RR but it's moot as you cannot trade it in size due to the RV. Someone mentioned it in my vol-chat and yeah, I can come up with area under the curve from 15-40, but so what? I'm short 1W vol in GOOGL that's good from 135 to inf. If you can tell me where MARA will land on Jan exp I'll make you rich.

So trade 100 lots GOOGL or 1 lot with MARA.
 
destriero said:
I didn't read your missives but I can add that sht like MARA has a great RR but it's moot as you cannot trade it in size due to the RV. Someone mentioned it in my vol-chat and yeah, I can come up with area under the curve from 15-40, but so what? I'm short 1W vol in GOOGL that's good from 135 to inf. If you can tell me where MARA will land on Jan exp I'll make you rich.

So trade 100 lots GOOGL or 1 lot with MARA.
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What Vol-Chat you have ? On Discord channel or Telegram ? Any website ? What are you offering ?
 
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