Where to backtest a very basic option strategy?

K

kroon1ke

I'm looking for a website/platform to backtest a very simple option strategy.

The idea is to systematically write a naked call on a certain security. I.e. every month write a call with specific delta (or strike/price ratio) that matures in 40-50 days.

Any good suggestions? Simple interface and reasonable pricing is welcome.
 
Backtesting option trades may be done by various tools, however, few, if any, provide much systematic automation. If you have TOS; a quick and dirty method is to use ThinkBack with end of day pricing (may be adequate for your needs). Other tools, that provide more bells and whistles, but are still manual, include OptionNet Explorer and OptionVue (I have had both). If you are good with ThinkScript, you can code your own, however be warned, it is an uphill battle since it is not intended for Option trading, and you may hit their "complexity limit" before you achieve success. Both OptionNet and OptionVue, run about $1K per year (but may not be what you want).
 
I'm using a trial of OptionNet and finding it really unintuitive. The help videos are awful and the help manual is scanty. It appears to me that in their database of prices they are missing weeklys for the SPY. It could be that I just can't find them or because its a trial subscription, maybe. Still trying to figure this thing out.
 
Get a series of underlying plus implied vols and calculate your own prices. I'd suggest running two separate tests in parallel
Sell calls at actual prices, pricing them using implied vol
Sell calls using forward realized vols for pricing
This will tell you if your strategy is mainly about predicting price direction or about selling risk premium
 
Yes but getting the historic implied vols across strikes for hundreds of days is just as expensive as getting the options price data and less direct. I have done that for hundreds of stock options going back to the beginning of this year and the data was expensive and with some errors and missing values. I want to test index options through the 2008 crisis, properly.
 
Diamond: I thought ONE only went back to something like 2010! (I may be mistaken).
Note: there were no weeklies back then, those began to dribble out much later (check CBOE for when each were introduced).
To test thru 2008 crisis "properly", may imply you need LiveVol's data (which I think is fairly reliable)-- Beware of only using EOD data, since the B/A spreads inflate at EOD resulting in lots of error in your backtest.
 
You are right about ONE - I was not referring to it a s viable means of doing that. Weeklys were originally debuted in 2005 and the S&P was one of the first. I plan on buying data for this. Yes bid-ask bounce is important and there are other pitfalls. Thanks for the advice and comments.
 
deltaneutral.com has OPRA data from 2004 - you might have to do some serious cleaning but overall it's ok.
 
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