I've cracked the code...

[danielc1]

Interesting combo...

Im not a programmer, I use ORATS...

I believe they have option data going back to 07...

can definetly set stops and/or profit targets.

Havent run backtests on Buy writes,I backtest naked puts.Same difference,though there may be some rolling nuances with the Coverrd Call..

Take the trial, Matts a good guy

Ok.
Btw running a backtest with naked puts give not the same results as a covered call strategy. They are similar in risk, not in performance. There is also a skew in volatility for puts, that make them more expensive.
For example, with covered calls you can roll faster with your positions, if the underlying is dropping. Also you collect the dividends. In a naked put strategy, you could only start rolling, if price goes up. Also the skew in volatility makes that the premium doesn't drop as fast, as in a call.

 

[taowave]

Not true,read up on put call parity.You are suggrsting a risk free arbitrage exists.

There is a skew in strikes and/or different duration.

You should be talking skew in terms of percent of spot.

Yes,if lucky and skillful you may be able to perform some dividend arb magic...Doubtful..

Think of strike and tenor,not put vs call,.

Ok.
Btw running a backtest with naked puts give not the same results as a covered call strategy. They are similar in risk, not in performance. There is also a skew in volatility for puts, that make them more expensive.
For example, with covered calls you can roll faster with your positions, if the underlying is dropping. Also you collect the dividends. In a naked put strategy, you could only start rolling, if price goes up. Also the skew in volatility makes that the premium doesn't drop as fast, as in a call.

 

[danielc1]

Not true,read up on put call parity.You are suggrsting a risk free arbitrage exists.

There is a skew in strikes and/or different duration.

You should be talking skew in terms of percent of spot.

Yes,if lucky and skillful you may be able to perform some dividend arb magic...Doubtful..

Think of strike and tenor,not put vs call,.

I'm not talking about parity. I'm talking about behavior of the underlying that volatility goes up, when the underlying goes down and that therefore behave differently then when you have an opposite scenario, with a call. That volatility gives different price actions in your options. Both call and put. But your exposure at that moment in a put, is not great to get the premium dropping fast.

 

[taowave]

You need to read up and learn the proper terminolgy.

Im not sure you know what put call parity is, and are suggesting riskless arbitrage opportunities beyond the risk free rate..

You should be talking percent of spot and not " put vs call"..
.

I'm not talking about parity. I'm talking about behavior of the underlying that volatility goes up, when the underlying goes down and that therefore behave differently then when you have an opposite scenario, with a call. That volatility gives different price actions in your options. Both call and put. But your exposure at that moment in a put, is not great to get the premium dropping fast.

 

[danielc1]

You need to read up and learn the proper terminolgy.

Im not sure you know what put call parity is, and are suggesting riskless arbitrage opportunities beyond the risk free rate..

You should be talking percent of spot and not " put vs call"..
.

Ok, I do not think what I'm talking about is arbitrage..
How would you explain the behavior differences between a call and a put, with the underlying?

 

[taowave]

In today's efficient market,there is no vol difference between a put and call for the same strike ..Thats basically put call parity in a nutshell

If there was a difference,you would put on a conversion or reversal,depending where the disparity lies.

I think you refer to strikes above the spot as "calls", and strikes below the spot as "puts"??

That's where the confusion may come in.

When you say the differences between put and call with the underlying ,I think you are referring to strike skew,and are starting to venture into "sticky strike" vs "sticky delta"..

What I am trying to help you understand is that while vol for a particular strike may change with a change in the underlying ,the put and corresponding call will change in unison.

Pros refer to the strike,i.e percent of spot,maybe Delta,not the put vs the call on the same line..

You should read up a bit, but don't get bogged down in the advanced mumbo jumbo.




..

 

[Sprout]

Think of strike and tenor,not put vs call,.

Would you elaborate? Haven't heard 'tenor' talked about.

 

[taowave]

Tenor= Expiration

Would you elaborate? Haven't heard 'tenor' talked about.

 

[danielc1]

In today's efficient market,there is no vol difference between a put and call for the same strike ..Thats basically put call parity in a nutshell

If there was a difference,you would put on a conversion or reversal,depending where the disparity lies.

I think you refer to strikes above the spot as "calls", and strikes below the spot as "puts"??

That's where the confusion may come in.

When you say the differences between put and call with the underlying ,I think you are referring to strike skew,and are starting to venture into "sticky strike" vs "sticky delta"..

What I am trying to help you understand is that while vol for a particular strike may change with a change in the underlying ,the put and corresponding call will change in unison.

Pros refer to the strike,i.e percent of spot,maybe Delta,not the put vs the call on the same line..

You should read up a bit, but don't get bogged down in the advanced mumbo jumbo.




..

Thank you for the explanation. And I'm sorry that I confused you with my explanation. I'm indeed referring to strike skew, like you called it.

Funny, doing this stuff for a real long time now and still learning new stuff about my own methods.

 

[murray t turtle]

I recently found out that if you buy low and sell high, you can make a profit. It's pretty crazy.

%%
LOL, crazy like a FOX
Believe it or not, a buy high + sell higher can work well sometimes also.
I've gotten burned by a buy low + it goes lower;
but low PE, DIA can NOT burn you if we dont buy it LOL