Betting on a big move in the SPX in 2 years time

TooEffingOld said:
@Overnight: Well, at expiration, the spread is a better return here, unless spx goes above 4500 or higher. The breakeven is a few points above 4000, and at 4100 you get the full 18x return... and not a bad return if you sell early:

View attachment 227892

But when just buying the 4000 call for $3500, if kept to expiration, to get the same return spx would have to hit ~4650, but you could sell earlier, say in June '21, for a decent return, although still way higher than 4100:

View attachment 227893

And obviously everything above 4700 is gravy for the lone call.

That's what @stepandfetchit showed with spx going to 4750 (his hypothetical), that buying the 4300 call gave the highest return.
More...

what software is that?
 
Thanks for running this.

I am curious what program did you use.

@stepandfetchit would it be possible to run and see what results in generates if you expect a bearish scenario of say spx at 1250 in 2 years time? I would sincerely appreciate it


stepandfetchit said:
Not recommending this be used, but here is a test for the 5K case:
------------------
CRITERIA Used: Time?=Now->20200513.0712, term =SPX221216, Symbol= SPX, days=850, uChange=+74.0%, ivChange=+0.0%
Per leg Slippage->0.1 MiniBA spread:50 Commission:1.30 Candidates->5
Target date = 20220910 is on day# 6 of the week (Mon=1...) Database is "xxxx
"
Beware your Target exit date is on a weekend, not during trading!
U= 2730.19, Target U-> 4750.53
ATM IV= 0.24, Target ATM-IV-> (0.28 -> 0.28):(0.28 -> 0.28)
Results of evaluation listed below:
Opra ROR Open Close P0 PT
SPX221216C4300 3438 % 20.10 712.09 20.00 712.19
SPX221216C4200 2740 % 27.80 790.35 27.70 790.45
SPX221216C4100 2698 % 31.30 876.59 31.20 876.69
SPX221216C4000 2407 % 38.60 968.24 38.50 968.34
SPX221216C3900 2108 % 48.10 1062.43 48.00 1062.53
CALL Vertical Spread Width 25
Strikes ROR BuySell Open Close
3500 / 3525 1061 % BUY 2.13 24.69
3775 / 3800 550 % BUY 3.73 24.21
3750 / 3775 504 % BUY 4.03 24.30
3725 / 3750 491 % BUY 4.13 24.40
3700 / 3725 452 % BUY 4.43 24.44
CALL Vertical Spread Width 50
Strikes ROR BuySell Open Close
3850 / 3900 710 % BUY 5.93 47.99
3800 / 3850 631 % BUY 6.63 48.44
3750 / 3800 548 % BUY 7.53 48.74
3725 / 3775 517 % BUY 7.93 48.92
3700 / 3750 489 % BUY 8.33 49.07
CALL Vertical Spread Width 75
Strikes ROR BuySell Open Close
3775 / 3850 620 % BUY 10.13 72.88
3725 / 3800 542 % BUY 11.43 73.36
3700 / 3775 507 % BUY 12.13 73.59
3675 / 3750 480 % BUY 12.73 73.79
3650 / 3725 447 % BUY 13.53 73.95
CALL Vertical Spread Width 100
Strikes ROR BuySell Open Close
4100 / 4200 2208 % BUY 3.73 86.01
4000 / 4100 1115 % BUY 7.53 91.42
4200 / 4300 885 % BUY 7.93 78.04
3900 / 4000 866 % BUY 9.73 93.96
3800 / 3900 684 % BUY 12.33 96.65
CALL Vertical Spread Width 125
Strikes ROR BuySell Open Close
3775 / 3900 665 % BUY 15.83 121.09
3725 / 3850 585 % BUY 17.83 122.03
3675 / 3800 513 % BUY 20.03 122.75
3650 / 3775 480 % BUY 21.23 123.10
3625 / 3750 453 % BUY 22.33 123.38
CALL Vertical Spread Width 150
Strikes ROR BuySell Open Close
3850 / 4000 822 % BUY 15.43 142.18
3750 / 3900 642 % BUY 19.63 145.61
3700 / 3850 566 % BUY 22.03 146.70
3650 / 3800 497 % BUY 24.73 147.54
3625 / 3775 466 % BUY 26.13 147.90
CALL Vertical Spread Width 175
Strikes ROR BuySell Open Close
3725 / 3900 624 % BUY 23.53 170.24
3675 / 3850 549 % BUY 26.43 171.41
3625 / 3800 482 % BUY 29.63 172.34
3600 / 3775 451 % BUY 31.33 172.72
3575 / 3750 426 % BUY 32.93 173.06
CALL Vertical Spread Width 200
Strikes ROR BuySell Open Close
4000 / 4200 1511 % BUY 11.03 177.66
4100 / 4300 1338 % BUY 11.43 164.28
3900 / 4100 990 % BUY 17.03 185.61
3800 / 4000 774 % BUY 21.83 190.84
3700 / 3900 603 % BUY 27.73 194.91
CALL Vertical Spread Width 225
Strikes ROR BuySell Open Close
3775 / 4000 750 % BUY 25.33 215.28
3675 / 3900 584 % BUY 32.13 219.63
3625 / 3850 513 % BUY 36.03 221.01
3575 / 3800 452 % BUY 40.23 222.03
3550 / 3775 424 % BUY 42.43 222.47
CALL Vertical Spread Width 250
Strikes ROR BuySell Open Close
3850 / 4100 929 % BUY 22.73 233.82
3750 / 4000 723 % BUY 29.13 239.80
3650 / 3900 564 % BUY 36.83 244.41
3600 / 3850 496 % BUY 41.23 245.82
3550 / 3800 438 % BUY 45.93 246.91
PUT Vertical Spread Width 25
Strikes ROR BuySell Open Close
3775 / 3800 500 % SELL 20.87 0.23
3750 / 3775 473 % SELL 20.67 0.23
3725 / 3750 447 % SELL 20.47 0.23
3700 / 3725 413 % SELL 20.17 0.23
3675 / 3700 393 % SELL 19.97 0.23
PUT Vertical Spread Width 50
Strikes ROR BuySell Open Close
3850 / 3900 640 % SELL 43.27 0.23
3800 / 3850 579 % SELL 42.67 0.23
3750 / 3800 505 % SELL 41.77 0.23
3725 / 3775 477 % SELL 41.37 0.23
3700 / 3750 445 % SELL 40.87 0.23
PUT Vertical Spread Width 75
Strikes ROR BuySell Open Close
3775 / 3850 566 % SELL 63.77 0.23
3725 / 3800 497 % SELL 62.47 0.23
3700 / 3775 465 % SELL 61.77 0.23
3675 / 3750 437 % SELL 61.07 0.23
3650 / 3725 411 % SELL 60.37 0.23
PUT Vertical Spread Width 100
Strikes ROR BuySell Open Close
4200 / 4300 1503 % SELL 93.77 0.23
4100 / 4200 1320 % SELL 92.97 0.23
4000 / 4100 1005 % SELL 90.97 0.23
3900 / 4000 797 % SELL 88.87 0.23
3800 / 3900 622 % SELL 86.17 0.23
PUT Vertical Spread Width 125
Strikes ROR BuySell Open Close
3775 / 3900 604 % SELL 107.27 0.23
3725 / 3850 536 % SELL 105.37 0.23
3675 / 3800 469 % SELL 103.07 0.23
3650 / 3775 442 % SELL 101.97 0.23
3625 / 3750 415 % SELL 100.77 0.23
PUT Vertical Spread Width 150
Strikes ROR BuySell Open Close
3850 / 4000 750 % SELL 132.37 0.23
3750 / 3900 586 % SELL 128.17 0.23
3700 / 3850 518 % SELL 125.77 0.23
3650 / 3800 456 % SELL 123.07 0.23
3625 / 3775 429 % SELL 121.67 0.23
PUT Vertical Spread Width 175
Strikes ROR BuySell Open Close
3725 / 3900 569 % SELL 148.87 0.23
3675 / 3850 502 % SELL 145.97 0.23
3625 / 3800 442 % SELL 142.77 0.23
3600 / 3775 417 % SELL 141.17 0.23
3575 / 3750 392 % SELL 139.47 0.23
PUT Vertical Spread Width 200
Strikes ROR BuySell Open Close
4100 / 4300 1434 % SELL 186.97 0.23
4000 / 4200 1162 % SELL 184.17 0.23
3900 / 4100 903 % SELL 180.07 0.23
3800 / 4000 708 % SELL 175.27 0.23
3700 / 3900 550 % SELL 169.27 0.23
PUT Vertical Spread Width 225
Strikes ROR BuySell Open Close
3775 / 4000 685 % SELL 196.37 0.23
3675 / 3900 533 % SELL 189.47 0.23
3625 / 3850 472 % SELL 185.67 0.23
3575 / 3800 416 % SELL 181.47 0.23
3550 / 3775 393 % SELL 179.37 0.23
PUT Vertical Spread Width 250
Strikes ROR BuySell Open Close
3850 / 4100 845 % SELL 223.57 0.23
3750 / 4000 663 % SELL 217.27 0.23
3650 / 3900 516 % SELL 209.47 0.23
3600 / 3850 457 % SELL 205.17 0.23
3550 / 3800 404 % SELL 200.47 0.23

Summary in ROR order for each type
ROR Type Description Order type
3438 % Long CALL SPX221216C4300 Buy to Open
2208 % Call Spread 100 4100 / 4200 Buy to Open
1511 % Call Spread 200 4000 / 4200 Buy to Open
1503 % Put Spread 100 4200 / 4300 Sell to Open
1434 % Put Spread 200 4100 / 4300 Sell to Open
1061 % Call Spread 25 3500 / 3525 Buy to Open
929 % Call Spread 250 3850 / 4100 Buy to Open
845 % Put Spread 250 3850 / 4100 Sell to Open
822 % Call Spread 150 3850 / 4000 Buy to Open
750 % Call Spread 225 3775 / 4000 Buy to Open
750 % Put Spread 150 3850 / 4000 Sell to Open
710 % Call Spread 50 3850 / 3900 Buy to Open
685 % Put Spread 225 3775 / 4000 Sell to Open
665 % Call Spread 125 3775 / 3900 Buy to Open
640 % Put Spread 50 3850 / 3900 Sell to Open
624 % Call Spread 175 3725 / 3900 Buy to Open
620 % Call Spread 75 3775 / 3850 Buy to Open
604 % Put Spread 125 3775 / 3900 Sell to Open
569 % Put Spread 175 3725 / 3900 Sell to Open
566 % Put Spread 75 3775 / 3850 Sell to Open
500 % Put Spread 25 3775 / 3800 Sell to Open
-------------------------
An example run. Beware, this has not be sanitized (Bid Ask spread allows 50 for this run)
More...
 
Sure: Using similar request, but for lower target. (I wrote the script against market prices) Note: The script as currently written addresses only Risk defined long option and Verticals of 1 to 10 strikes wide. Kindof a "shotgun/rifle" approach to a reasonable trade fit. If one felt very confident of the specific date, other types of trades could provide much higher returns. This method is intentionally non-critical of the precise time! However, note that you must provide what implied volatility will be at that time... For these runs, I assumed it would be about where it is now per the existing vol surface.
-----------
CRITERIA Used: Time?=Now->20200515.1315, term =SPX221216, Symbol= SPX, days=850, uChange=-53.0%, ivChange=+0.0%
Per leg Slippage->0.1 MiniBA spread:50 Commission:1.30 Candidates->5
Target date = 20220912 is on day# 1 of the week (Mon=1...) Database is "xxxx"
U= 2728.43, Target U-> 1282.36
ATM IV= 0.24, Target ATM-IV-> (0.28 -> 0.28):(0.29 -> 0.29)
Results of evaluation listed below:
Opra ROR Open Close P0 PT
SPX221216P2050 304 % 177.40 716.16 177.30 716.26
SPX221216P2025 304 % 171.45 692.03 171.35 692.13
SPX221216P2000 303 % 165.55 668.08 165.45 668.18
SPX221216P2075 303 % 183.55 740.44 183.45 740.54
SPX221216P2100 303 % 189.75 764.84 189.65 764.94
CALL Vertical Spread Width 25
Strikes ROR BuySell Open Close
1700 / 1725 226 % SELL 20.62 10.72
1450 / 1475 199 % SELL 21.17 13.54
1750 / 1775 191 % SELL 19.82 9.96
2025 / 2050 188 % SELL 18.37 5.93
2125 / 2150 188 % SELL 17.87 4.49
CALL Vertical Spread Width 50
Strikes ROR BuySell Open Close
1100 / 1150 221 % SELL 45.62 35.97
2025 / 2075 194 % SELL 36.87 11.39
1925 / 1975 193 % SELL 37.97 14.76
2000 / 2050 193 % SELL 37.17 12.41
2175 / 2225 193 % SELL 35.27 6.85
CALL Vertical Spread Width 75
Strikes ROR BuySell Open Close
2000 / 2075 196 % SELL 55.67 17.88
2025 / 2100 195 % SELL 55.17 16.48
2125 / 2200 195 % SELL 53.57 11.82
2150 / 2225 195 % SELL 53.17 10.69
2100 / 2175 195 % SELL 53.97 13.05
CALL Vertical Spread Width 100
Strikes ROR BuySell Open Close
700 / 800 249 % SELL 94.42 80.53
900 / 1000 242 % SELL 93.32 77.17
1000 / 1100 233 % SELL 92.22 74.11
800 / 900 230 % SELL 93.72 79.28
1100 / 1200 211 % SELL 90.92 71.78
CALL Vertical Spread Width 125
Strikes ROR BuySell Open Close
2025 / 2150 197 % SELL 91.47 25.47
1950 / 2075 197 % SELL 93.57 31.75
1925 / 2050 197 % SELL 94.27 33.88
2100 / 2225 196 % SELL 89.47 19.68
2000 / 2125 196 % SELL 92.17 27.69
CALL Vertical Spread Width 150
Strikes ROR BuySell Open Close
1000 / 1150 237 % SELL 138.07 109.86
1100 / 1250 209 % SELL 135.87 106.33
1925 / 2075 197 % SELL 112.77 39.35
2000 / 2150 197 % SELL 110.27 31.95
2025 / 2175 197 % SELL 109.37 29.30
CALL Vertical Spread Width 175
Strikes ROR BuySell Open Close
2025 / 2200 197 % SELL 127.17 32.80
2000 / 2175 197 % SELL 128.17 35.79
1925 / 2100 197 % SELL 131.07 44.43
2050 / 2225 197 % SELL 126.27 30.23
1950 / 2125 197 % SELL 130.07 41.56
CALL Vertical Spread Width 200
Strikes ROR BuySell Open Close
700 / 900 248 % SELL 188.37 159.59
900 / 1100 244 % SELL 185.77 151.06
800 / 1000 244 % SELL 187.27 156.23
1000 / 1200 227 % SELL 183.37 145.66
1100 / 1300 204 % SELL 180.27 140.10
CALL Vertical Spread Width 225
Strikes ROR BuySell Open Close
1925 / 2150 198 % SELL 167.37 53.42
2000 / 2225 198 % SELL 163.67 42.42
1950 / 2175 198 % SELL 166.07 49.66
2025 / 2250 197 % SELL 162.37 38.69
1975 / 2200 197 % SELL 164.87 46.22
CALL Vertical Spread Width 250
Strikes ROR BuySell Open Close
900 / 1150 244 % SELL 231.62 186.80
1000 / 1250 222 % SELL 228.32 180.22
1100 / 1350 199 % SELL 224.27 173.08
1925 / 2175 198 % SELL 185.27 57.26
1950 / 2200 198 % SELL 183.87 53.16
PUT Vertical Spread Width 25
Strikes ROR BuySell Open Close
1825 / 1850 902 % BUY 2.18 21.80
1775 / 1800 419 % BUY 4.08 21.16
1725 / 1750 340 % BUY 4.58 20.12
1650 / 1675 328 % BUY 4.43 18.94
1700 / 1725 326 % BUY 4.68 19.91
PUT Vertical Spread Width 50
Strikes ROR BuySell Open Close
1825 / 1875 504 % BUY 7.33 44.26
1750 / 1800 381 % BUY 8.73 42.01
1700 / 1750 346 % BUY 9.03 40.26
1725 / 1775 344 % BUY 9.23 40.97
1625 / 1675 336 % BUY 8.58 37.43
PUT Vertical Spread Width 75
Strikes ROR BuySell Open Close
1825 / 1900 435 % BUY 12.53 67.02
1725 / 1800 377 % BUY 13.08 62.36
1700 / 1775 347 % BUY 13.68 61.11
1675 / 1750 343 % BUY 13.48 59.63
1475 / 1550 340 % BUY 10.78 47.40
PUT Vertical Spread Width 100
Strikes ROR BuySell Open Close
1825 / 1925 402 % BUY 17.93 90.03
1700 / 1800 371 % BUY 17.53 82.50
1650 / 1750 346 % BUY 17.68 78.79
1675 / 1775 344 % BUY 18.13 80.48
1475 / 1575 343 % BUY 14.58 64.59
PUT Vertical Spread Width 125
Strikes ROR BuySell Open Close
1825 / 1950 384 % BUY 23.43 113.37
1675 / 1800 364 % BUY 21.98 101.87
1650 / 1775 346 % BUY 22.33 99.64
1625 / 1750 346 % BUY 21.83 97.29
1475 / 1600 345 % BUY 18.43 81.91
PUT Vertical Spread Width 150
Strikes ROR BuySell Open Close
1825 / 1975 372 % BUY 29.03 136.91
1650 / 1800 362 % BUY 26.18 121.03
1625 / 1775 346 % BUY 26.48 118.13
1700 / 1850 345 % BUY 28.38 126.24
1600 / 1750 345 % BUY 25.93 115.33
PUT Vertical Spread Width 175
Strikes ROR BuySell Open Close
1825 / 2000 363 % BUY 34.73 160.70
1625 / 1800 360 % BUY 30.33 139.52
1575 / 1750 346 % BUY 29.78 132.66
1600 / 1775 345 % BUY 30.58 136.18
1500 / 1675 345 % BUY 27.48 122.14
PUT Vertical Spread Width 200
Strikes ROR BuySell Open Close
1600 / 1800 358 % BUY 34.43 157.57
1825 / 2025 355 % BUY 40.63 184.65
1550 / 1750 346 % BUY 33.58 149.85
1575 / 1775 346 % BUY 34.43 153.50
1475 / 1675 346 % BUY 30.88 137.61
PUT Vertical Spread Width 225
Strikes ROR BuySell Open Close
1575 / 1800 357 % BUY 38.28 174.89
1825 / 2050 348 % BUY 46.58 208.78
1525 / 1750 347 % BUY 37.23 166.25
1550 / 1775 347 % BUY 38.23 170.69
1625 / 1850 345 % BUY 41.18 183.27
PUT Vertical Spread Width 250
Strikes ROR BuySell Open Close
1550 / 1800 357 % BUY 42.08 192.08
1500 / 1750 347 % BUY 40.73 182.00
1525 / 1775 347 % BUY 41.88 187.09
1475 / 1725 345 % BUY 39.78 177.12
1600 / 1850 345 % BUY 45.28 201.31

Summary in ROR order for each type
ROR Type Description Order type
902 % Put Spread 25 1825 / 1850 Buy to Open
504 % Put Spread 50 1825 / 1875 Buy to Open
435 % Put Spread 75 1825 / 1900 Buy to Open
402 % Put Spread 100 1825 / 1925 Buy to Open
384 % Put Spread 125 1825 / 1950 Buy to Open
372 % Put Spread 150 1825 / 1975 Buy to Open
363 % Put Spread 175 1825 / 2000 Buy to Open
358 % Put Spread 200 1600 / 1800 Buy to Open
357 % Put Spread 225 1575 / 1800 Buy to Open
357 % Put Spread 250 1550 / 1800 Buy to Open
304 % Long PUT SPX221216P2050 Buy to Open
249 % Call Spread 100 700 / 800 Sell to Open
248 % Call Spread 200 700 / 900 Sell to Open
244 % Call Spread 250 900 / 1150 Sell to Open
237 % Call Spread 150 1000 / 1150 Sell to Open
226 % Call Spread 25 1700 / 1725 Sell to Open
221 % Call Spread 50 1100 / 1150 Sell to Open
198 % Call Spread 225 1925 / 2150 Sell to Open
197 % Call Spread 175 2025 / 2200 Sell to Open
197 % Call Spread 125 2025 / 2150 Sell to Open
196 % Call Spread 75 2000 / 2075 Sell to Open
-----------------------------
 
Last edited:
Thanks again @stepandfetchit

May I ask if you can run more scenario? Say what option strategies would generate the best returns if you expected 2650 any time by September?

Also can you get a summary of the option strategies that you get by using OptionNetExplorer or OptionVue? I am looking to trial one of these platforms as I am not sure how to write a script myself.


stepandfetchit said:
Sure: Using similar request, but for lower target. (I wrote the script against market prices) Note: The script as currently written addresses only Risk defined long option and Verticals of 1 to 10 strikes wide. Kindof a "shotgun/rifle" approach to a reasonable trade fit. If one felt very confident of the specific date, other types of trades could provide much higher returns. This method is intentionally non-critical of the precise time! However, note that you must provide what implied volatility will be at that time... For these runs, I assumed it would be about where it is now per the existing vol surface.
-----------
CRITERIA Used: Time?=Now->20200515.1315, term =SPX221216, Symbol= SPX, days=850, uChange=-53.0%, ivChange=+0.0%
Per leg Slippage->0.1 MiniBA spread:50 Commission:1.30 Candidates->5
Target date = 20220912 is on day# 1 of the week (Mon=1...) Database is "xxxx"
U= 2728.43, Target U-> 1282.36
ATM IV= 0.24, Target ATM-IV-> (0.28 -> 0.28):(0.29 -> 0.29)
Results of evaluation listed below:
Opra ROR Open Close P0 PT
SPX221216P2050 304 % 177.40 716.16 177.30 716.26
SPX221216P2025 304 % 171.45 692.03 171.35 692.13
SPX221216P2000 303 % 165.55 668.08 165.45 668.18
SPX221216P2075 303 % 183.55 740.44 183.45 740.54
SPX221216P2100 303 % 189.75 764.84 189.65 764.94
CALL Vertical Spread Width 25
Strikes ROR BuySell Open Close
1700 / 1725 226 % SELL 20.62 10.72
1450 / 1475 199 % SELL 21.17 13.54
1750 / 1775 191 % SELL 19.82 9.96
2025 / 2050 188 % SELL 18.37 5.93
2125 / 2150 188 % SELL 17.87 4.49
CALL Vertical Spread Width 50
Strikes ROR BuySell Open Close
1100 / 1150 221 % SELL 45.62 35.97
2025 / 2075 194 % SELL 36.87 11.39
1925 / 1975 193 % SELL 37.97 14.76
2000 / 2050 193 % SELL 37.17 12.41
2175 / 2225 193 % SELL 35.27 6.85
CALL Vertical Spread Width 75
Strikes ROR BuySell Open Close
2000 / 2075 196 % SELL 55.67 17.88
2025 / 2100 195 % SELL 55.17 16.48
2125 / 2200 195 % SELL 53.57 11.82
2150 / 2225 195 % SELL 53.17 10.69
2100 / 2175 195 % SELL 53.97 13.05
CALL Vertical Spread Width 100
Strikes ROR BuySell Open Close
700 / 800 249 % SELL 94.42 80.53
900 / 1000 242 % SELL 93.32 77.17
1000 / 1100 233 % SELL 92.22 74.11
800 / 900 230 % SELL 93.72 79.28
1100 / 1200 211 % SELL 90.92 71.78
CALL Vertical Spread Width 125
Strikes ROR BuySell Open Close
2025 / 2150 197 % SELL 91.47 25.47
1950 / 2075 197 % SELL 93.57 31.75
1925 / 2050 197 % SELL 94.27 33.88
2100 / 2225 196 % SELL 89.47 19.68
2000 / 2125 196 % SELL 92.17 27.69
CALL Vertical Spread Width 150
Strikes ROR BuySell Open Close
1000 / 1150 237 % SELL 138.07 109.86
1100 / 1250 209 % SELL 135.87 106.33
1925 / 2075 197 % SELL 112.77 39.35
2000 / 2150 197 % SELL 110.27 31.95
2025 / 2175 197 % SELL 109.37 29.30
CALL Vertical Spread Width 175
Strikes ROR BuySell Open Close
2025 / 2200 197 % SELL 127.17 32.80
2000 / 2175 197 % SELL 128.17 35.79
1925 / 2100 197 % SELL 131.07 44.43
2050 / 2225 197 % SELL 126.27 30.23
1950 / 2125 197 % SELL 130.07 41.56
CALL Vertical Spread Width 200
Strikes ROR BuySell Open Close
700 / 900 248 % SELL 188.37 159.59
900 / 1100 244 % SELL 185.77 151.06
800 / 1000 244 % SELL 187.27 156.23
1000 / 1200 227 % SELL 183.37 145.66
1100 / 1300 204 % SELL 180.27 140.10
CALL Vertical Spread Width 225
Strikes ROR BuySell Open Close
1925 / 2150 198 % SELL 167.37 53.42
2000 / 2225 198 % SELL 163.67 42.42
1950 / 2175 198 % SELL 166.07 49.66
2025 / 2250 197 % SELL 162.37 38.69
1975 / 2200 197 % SELL 164.87 46.22
CALL Vertical Spread Width 250
Strikes ROR BuySell Open Close
900 / 1150 244 % SELL 231.62 186.80
1000 / 1250 222 % SELL 228.32 180.22
1100 / 1350 199 % SELL 224.27 173.08
1925 / 2175 198 % SELL 185.27 57.26
1950 / 2200 198 % SELL 183.87 53.16
PUT Vertical Spread Width 25
Strikes ROR BuySell Open Close
1825 / 1850 902 % BUY 2.18 21.80
1775 / 1800 419 % BUY 4.08 21.16
1725 / 1750 340 % BUY 4.58 20.12
1650 / 1675 328 % BUY 4.43 18.94
1700 / 1725 326 % BUY 4.68 19.91
PUT Vertical Spread Width 50
Strikes ROR BuySell Open Close
1825 / 1875 504 % BUY 7.33 44.26
1750 / 1800 381 % BUY 8.73 42.01
1700 / 1750 346 % BUY 9.03 40.26
1725 / 1775 344 % BUY 9.23 40.97
1625 / 1675 336 % BUY 8.58 37.43
PUT Vertical Spread Width 75
Strikes ROR BuySell Open Close
1825 / 1900 435 % BUY 12.53 67.02
1725 / 1800 377 % BUY 13.08 62.36
1700 / 1775 347 % BUY 13.68 61.11
1675 / 1750 343 % BUY 13.48 59.63
1475 / 1550 340 % BUY 10.78 47.40
PUT Vertical Spread Width 100
Strikes ROR BuySell Open Close
1825 / 1925 402 % BUY 17.93 90.03
1700 / 1800 371 % BUY 17.53 82.50
1650 / 1750 346 % BUY 17.68 78.79
1675 / 1775 344 % BUY 18.13 80.48
1475 / 1575 343 % BUY 14.58 64.59
PUT Vertical Spread Width 125
Strikes ROR BuySell Open Close
1825 / 1950 384 % BUY 23.43 113.37
1675 / 1800 364 % BUY 21.98 101.87
1650 / 1775 346 % BUY 22.33 99.64
1625 / 1750 346 % BUY 21.83 97.29
1475 / 1600 345 % BUY 18.43 81.91
PUT Vertical Spread Width 150
Strikes ROR BuySell Open Close
1825 / 1975 372 % BUY 29.03 136.91
1650 / 1800 362 % BUY 26.18 121.03
1625 / 1775 346 % BUY 26.48 118.13
1700 / 1850 345 % BUY 28.38 126.24
1600 / 1750 345 % BUY 25.93 115.33
PUT Vertical Spread Width 175
Strikes ROR BuySell Open Close
1825 / 2000 363 % BUY 34.73 160.70
1625 / 1800 360 % BUY 30.33 139.52
1575 / 1750 346 % BUY 29.78 132.66
1600 / 1775 345 % BUY 30.58 136.18
1500 / 1675 345 % BUY 27.48 122.14
PUT Vertical Spread Width 200
Strikes ROR BuySell Open Close
1600 / 1800 358 % BUY 34.43 157.57
1825 / 2025 355 % BUY 40.63 184.65
1550 / 1750 346 % BUY 33.58 149.85
1575 / 1775 346 % BUY 34.43 153.50
1475 / 1675 346 % BUY 30.88 137.61
PUT Vertical Spread Width 225
Strikes ROR BuySell Open Close
1575 / 1800 357 % BUY 38.28 174.89
1825 / 2050 348 % BUY 46.58 208.78
1525 / 1750 347 % BUY 37.23 166.25
1550 / 1775 347 % BUY 38.23 170.69
1625 / 1850 345 % BUY 41.18 183.27
PUT Vertical Spread Width 250
Strikes ROR BuySell Open Close
1550 / 1800 357 % BUY 42.08 192.08
1500 / 1750 347 % BUY 40.73 182.00
1525 / 1775 347 % BUY 41.88 187.09
1475 / 1725 345 % BUY 39.78 177.12
1600 / 1850 345 % BUY 45.28 201.31

Summary in ROR order for each type
ROR Type Description Order type
902 % Put Spread 25 1825 / 1850 Buy to Open
504 % Put Spread 50 1825 / 1875 Buy to Open
435 % Put Spread 75 1825 / 1900 Buy to Open
402 % Put Spread 100 1825 / 1925 Buy to Open
384 % Put Spread 125 1825 / 1950 Buy to Open
372 % Put Spread 150 1825 / 1975 Buy to Open
363 % Put Spread 175 1825 / 2000 Buy to Open
358 % Put Spread 200 1600 / 1800 Buy to Open
357 % Put Spread 225 1575 / 1800 Buy to Open
357 % Put Spread 250 1550 / 1800 Buy to Open
304 % Long PUT SPX221216P2050 Buy to Open
249 % Call Spread 100 700 / 800 Sell to Open
248 % Call Spread 200 700 / 900 Sell to Open
244 % Call Spread 250 900 / 1150 Sell to Open
237 % Call Spread 150 1000 / 1150 Sell to Open
226 % Call Spread 25 1700 / 1725 Sell to Open
221 % Call Spread 50 1100 / 1150 Sell to Open
198 % Call Spread 225 1925 / 2150 Sell to Open
197 % Call Spread 175 2025 / 2200 Sell to Open
197 % Call Spread 125 2025 / 2150 Sell to Open
196 % Call Spread 75 2000 / 2075 Sell to Open
-----------------------------
More...
 
I do not have ONE or OV (I had them in the past), but they lacked in user flexibility for my needs.
This is a current view of vertical and long option candidates for 125 days from now if SPX is down 6.3% (near 2650 on Sep 17th, 2020) and the IV relatively unchanged.
------------------


CRITERIA Used: Time?=Now->20200515.1315, term =SPX201016, Symbol= SPX, days=125, uChange=-6.3%, ivChange=+0.0%
Per leg Slippage->0.1 MiniBA spread:20 Commission:1.30 Candidates->5
Target date = 20200917 is on day# 4 of the week (Mon=1...) Database is "xxxxx"
U= 2829.54, Target U-> 2651.28
ATM IV= 0.29, Target ATM-IV-> (0.28 -> 0.28):(0.27 -> 0.27)
Results of evaluation listed below:
Opra ROR Open Close P0 PT
SPX201016P3225 32 % 421.55 556.92 421.45 557.02
SPX201016P3200 32 % 402.90 531.93 402.80 532.03
SPX201016P3250 32 % 440.90 581.92 440.80 582.02
SPX201016P3275 32 % 460.95 606.91 460.85 607.01
SPX201016P3175 32 % 385.40 506.93 385.30 507.03
CALL Vertical Spread Width 25
Strikes ROR BuySell Open Close
2950 / 2975 86 % SELL 13.12 2.87
2975 / 3000 85 % SELL 12.57 1.96
3000 / 3025 81 % SELL 11.87 1.26
2925 / 2950 81 % SELL 13.37 3.99
2900 / 2925 80 % SELL 13.97 5.18
CALL Vertical Spread Width 50
Strikes ROR BuySell Open Close
2950 / 3000 89 % SELL 25.92 4.60
2925 / 2975 86 % SELL 26.72 6.64
2975 / 3025 86 % SELL 24.67 2.99
2900 / 2950 83 % SELL 27.57 8.95
2875 / 2925 82 % SELL 28.82 11.50
CALL Vertical Spread Width 75
Strikes ROR BuySell Open Close
2925 / 3000 88 % SELL 39.52 8.37
2950 / 3025 88 % SELL 38.02 5.64
2900 / 2975 86 % SELL 40.92 11.59
2975 / 3050 84 % SELL 36.17 3.56
2875 / 2950 83 % SELL 42.42 15.26
CALL Vertical Spread Width 100
Strikes ROR BuySell Open Close
2900 / 3000 87 % SELL 53.72 13.32
2925 / 3025 87 % SELL 51.62 9.40
2950 / 3050 86 % SELL 49.52 6.21
2875 / 2975 86 % SELL 55.77 17.91
2850 / 2950 82 % SELL 57.52 22.77
CALL Vertical Spread Width 125
Strikes ROR BuySell Open Close
2900 / 3025 87 % SELL 65.82 14.36
2875 / 3000 87 % SELL 68.57 19.64
2925 / 3050 86 % SELL 63.12 9.97
2850 / 2975 84 % SELL 70.87 25.42
2950 / 3075 83 % SELL 60.42 6.51
CALL Vertical Spread Width 150
Strikes ROR BuySell Open Close
2875 / 3025 87 % SELL 80.67 20.67
2900 / 3050 86 % SELL 77.32 14.93
2850 / 3000 85 % SELL 83.67 27.15
2925 / 3075 84 % SELL 74.02 10.28
2825 / 2975 82 % SELL 86.42 34.25
CALL Vertical Spread Width 175
Strikes ROR BuySell Open Close
2875 / 3050 86 % SELL 92.17 21.24
2850 / 3025 85 % SELL 95.77 28.18
2900 / 3075 84 % SELL 88.22 15.23
2825 / 3000 83 % SELL 99.22 35.98
2925 / 3100 81 % SELL 84.27 10.44
CALL Vertical Spread Width 200
Strikes ROR BuySell Open Close
2850 / 3050 85 % SELL 107.27 28.75
2875 / 3075 84 % SELL 103.07 21.55
2825 / 3025 84 % SELL 111.32 37.02
2900 / 3100 82 % SELL 98.47 15.39
2800 / 3000 81 % SELL 115.12 46.03
CALL Vertical Spread Width 225
Strikes ROR BuySell Open Close
2850 / 3075 83 % SELL 118.17 29.06
2825 / 3050 83 % SELL 122.82 37.59
2875 / 3100 82 % SELL 113.32 21.71
2800 / 3025 82 % SELL 127.22 47.06
2775 / 3000 79 % SELL 131.37 57.04
CALL Vertical Spread Width 250
Strikes ROR BuySell Open Close
2825 / 3075 82 % SELL 133.72 37.89
2800 / 3050 82 % SELL 138.72 47.63
2850 / 3100 82 % SELL 128.42 29.22
2775 / 3025 80 % SELL 143.47 58.07
2875 / 3125 80 % SELL 122.92 21.79
PUT Vertical Spread Width 25
Strikes ROR BuySell Open Close
2950 / 2975 99 % BUY 11.83 23.59
2975 / 3000 98 % BUY 12.33 24.39
2925 / 2950 96 % BUY 11.48 22.54
2900 / 2925 92 % BUY 11.08 21.25
3000 / 3025 90 % BUY 13.03 24.76
PUT Vertical Spread Width 50
Strikes ROR BuySell Open Close
2950 / 3000 101 % BUY 23.93 48.21
2925 / 2975 101 % BUY 23.08 46.36
2900 / 2950 97 % BUY 22.33 44.02
2975 / 3025 97 % BUY 25.13 49.38
2875 / 2925 93 % BUY 21.48 41.43
PUT Vertical Spread Width 75
Strikes ROR BuySell Open Close
2925 / 3000 102 % BUY 35.18 70.98
2900 / 2975 100 % BUY 33.93 67.84
2950 / 3025 99 % BUY 36.73 73.19
2875 / 2950 96 % BUY 32.73 64.20
2975 / 3050 93 % BUY 38.48 74.37
PUT Vertical Spread Width 100
Strikes ROR BuySell Open Close
2900 / 3000 101 % BUY 46.03 92.46
2925 / 3025 100 % BUY 47.98 95.96
2875 / 2975 99 % BUY 44.33 88.02
2950 / 3050 96 % BUY 50.08 98.19
2850 / 2950 95 % BUY 42.53 83.04
PUT Vertical Spread Width 125
Strikes ROR BuySell Open Close
2900 / 3025 100 % BUY 58.83 117.44
2875 / 3000 100 % BUY 56.43 112.64
2850 / 2975 97 % BUY 54.13 106.85
2925 / 3050 97 % BUY 61.33 120.96
2825 / 2950 93 % BUY 51.98 100.53
PUT Vertical Spread Width 150
Strikes ROR BuySell Open Close
2875 / 3025 99 % BUY 69.23 137.62
2850 / 3000 99 % BUY 66.23 131.47
2900 / 3050 97 % BUY 72.18 142.44
2825 / 2975 96 % BUY 63.58 124.35
2925 / 3075 94 % BUY 75.38 145.95
PUT Vertical Spread Width 175
Strikes ROR BuySell Open Close
2850 / 3025 98 % BUY 79.03 156.46
2875 / 3050 97 % BUY 82.58 162.62
2825 / 3000 97 % BUY 75.68 148.97
2900 / 3075 94 % BUY 86.23 167.43
2800 / 2975 94 % BUY 72.63 140.58
PUT Vertical Spread Width 200
Strikes ROR BuySell Open Close
2825 / 3025 97 % BUY 88.48 173.95
2850 / 3050 96 % BUY 92.38 181.45
2800 / 3000 95 % BUY 84.73 165.20
2875 / 3075 94 % BUY 96.63 187.61
2775 / 2975 92 % BUY 81.18 155.59
PUT Vertical Spread Width 225
Strikes ROR BuySell Open Close
2825 / 3050 95 % BUY 101.83 198.95
2800 / 3025 95 % BUY 97.53 190.19
2850 / 3075 94 % BUY 106.43 206.45
2775 / 3000 93 % BUY 93.28 180.21
2875 / 3100 91 % BUY 111.18 212.61
PUT Vertical Spread Width 250
Strikes ROR BuySell Open Close
2800 / 3050 94 % BUY 110.88 215.18
2775 / 3025 93 % BUY 106.08 205.19
2825 / 3075 93 % BUY 115.88 223.95
2850 / 3100 91 % BUY 120.98 231.44
2750 / 3000 91 % BUY 101.78 194.09

Summary in ROR order for each type
ROR Type Description Order type
102 % Put Spread 75 2925 / 3000 Buy to Open
101 % Put Spread 50 2950 / 3000 Buy to Open
101 % Put Spread 100 2900 / 3000 Buy to Open
100 % Put Spread 125 2900 / 3025 Buy to Open
99 % Put Spread 25 2950 / 2975 Buy to Open
99 % Put Spread 150 2875 / 3025 Buy to Open
98 % Put Spread 175 2850 / 3025 Buy to Open
97 % Put Spread 200 2825 / 3025 Buy to Open
95 % Put Spread 225 2825 / 3050 Buy to Open
94 % Put Spread 250 2800 / 3050 Buy to Open
89 % Call Spread 50 2950 / 3000 Sell to Open
88 % Call Spread 75 2925 / 3000 Sell to Open
87 % Call Spread 100 2900 / 3000 Sell to Open
87 % Call Spread 125 2900 / 3025 Sell to Open
87 % Call Spread 150 2875 / 3025 Sell to Open
86 % Call Spread 25 2950 / 2975 Sell to Open
86 % Call Spread 175 2875 / 3050 Sell to Open
85 % Call Spread 200 2850 / 3050 Sell to Open
83 % Call Spread 225 2850 / 3075 Sell to Open
82 % Call Spread 250 2825 / 3075 Sell to Open
32 % Long PUT SPX201016P3225 Buy to Open
 
FYI: If you would like to see others...
Below is the syntax I need, so if you have other request, consider providing the syntax, then I can just copy/paste and run it.

Parameters are required (min 5 parameters)
<timestamp> : format 'YYYYMMDD.hhmm' or n for now
An opra or Expiry to identify the underlying and option chain you wish to enter trade in
# calendar days from now for the evaluation (may be real, but should terminate on a trading day if you desire to verify the results)
change in underlying price, ie -0.05 if price expected to fall 5% in specified time!
change in ATM IV expected in the specified time based on present volatility surface! Note if vol surface changes considerably during trade, results may loose value
Note: IV on Target date uses reference IV inferred by present volatility surface, which can be nudged by user input in percentage change.
optional parameters
-v N For verbose set to numerical value N
-slippage n To specify amount of slippage on each contract (open as well as close)
-BA n To specify Minimum ASK-BID spread to consider as a candidate
-candidates n To specify maximum number of candidates per type to list if verbose is on
-MinBid n To specify minimum value of BID to consider
Example: GetTrade.pl n .SPXW200501C2495 7 -0.03 0
--
Note: the data is pulled from my SQL database, so "now" really means last (most recent) sample.
BTW: This is syntax used for above run:
GetTrade.pl n .SPX201016C1475 125 -.063 0 -BA 20 -v 1
 
Last edited:
@stepandfetchit

Could you do one more run for me for a SPX price target of 1350 by 16 December 2022?

I tried your syntax but can't understand it. Sorry. I know it starts with GetTrade.pl n .SPX221216 but I am having difficulty understanding the remainder of it.

I bought a trial version of OptionVue and it is crap. I tried to run option strategies but keep getting an error 'Projecting beyond the expiration of the farthest options' even after putting in 2022. I have tried to contact their support already

Thank you so much. I am sincerely grateful!
 
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