Options Education - Got a Website / Book / PDF You Like? Post It Up

https://www.elitetrader.com/et/thre...lling-iron-condors.323844/page-4#post-5743975
Matt_ORATS said:
You can test most of the set ups mentioned.
Here's the simple backtest of a 1 month, $5 strike diff, 30/10 delta IC.
a333b516f1eb544d32934cc3ec5e151f.png

https://gyazo.com/a333b516f1eb544d32934cc3ec5e151f
b94cbafa5e98d69c936d4a117be81030.png

https://gyazo.com/b94cbafa5e98d69c936d4a117be81030

Here's adding exiting after a 7 day hold:
e13cb8280fb6313142eee3f5651f7e33.png

https://gyazo.com/e13cb8280fb6313142eee3f5651f7e33

Here's exiting with a 50% profit:
5e0ec192f7db3db874ec1f76085d1a52.png

https://gyazo.com/5e0ec192f7db3db874ec1f76085d1a52

If I were going to trade a strategy like this, I would look at hundreds of derivations including looking at IV levels and technical levels. All can be tested in our platform. We backest on snapshots 14 minutes before the close back to 2007.
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Last edited:
option data?
Matt_ORATS said:
Here's a sample zipped for the near EOD we offer (with a good ET discount in my signature)
http://s3.amazonaws.com/assets.orats.com/ORATS_SMV_Strikes_20201217.zip

We also have a 1-minute snapshot available back to Aug 2020 or a 2-minute raw back to 2015.
The best is our 1-minute API that allows you to get only what you want. You can drill down to request current and historical information on an option's OPRA. Email me for a discount.
Here's our API console to see sample requests free: https://dashboard.orats.com/api-console
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easymon1 said:
option data?
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Yes, this is options data.
It has greeks, IVs, and theoretical values:
8d2a0a6474454fa71523330f0bf62c29.png

https://gyazo.com/8d2a0a6474454fa71523330f0bf62c29
We also have summarized data like IVs, implied earnings moves and borrow rates, forward IVs, delta IVs:
8eff741c051cfc3e397b1ce00a501aa3.png

https://gyazo.com/8eff741c051cfc3e397b1ce00a501aa3

We have these every minute back to Aug 2020 so you can graph like this:
26508f8427fa2f4be41531bdb5fdcb4c.png

https://gyazo.com/26508f8427fa2f4be41531bdb5fdcb4c
This is from our Signal Builder where you can set alerts for set ups meeting criteria.
 
Matt_ORATS said:
Yes, this is options data.
It has greeks, IVs, and theoretical values:
8d2a0a6474454fa71523330f0bf62c29.png

https://gyazo.com/8d2a0a6474454fa71523330f0bf62c29
We also have summarized data like IVs, implied earnings moves and borrow rates, forward IVs, delta IVs:
8eff741c051cfc3e397b1ce00a501aa3.png

https://gyazo.com/8eff741c051cfc3e397b1ce00a501aa3

We have these every minute back to Aug 2020 so you can graph like this:
26508f8427fa2f4be41531bdb5fdcb4c.png

https://gyazo.com/26508f8427fa2f4be41531bdb5fdcb4c
This is from our Signal Builder where you can set alerts for set ups meeting criteria.
More...
Matt, Is there a way to get a conservative estimate of yield on a simple buy calls trade based
on the two entries and exits shown on this chart?

delete xly 1m chart.png
 
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