 Posted 5/10/2007 06:36:02
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| The question in my mind is, would the development of such a strategy require access to historical option-chain information? That could entail an immense amount of data. However, like duane1221, I'm interested in options. Three capabilities would seem of basic interest: a) how to fetch (and display?) an option chain, b) how to select a contract and c) how to place an options order. -Pete
-Pete
(See also rightedge-ats Yahoo group  )
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Posted 5/10/2007 17:00:43
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| This is a FYI. If you have access to the June 2007 issue of "Active Trader" let me point out the profile of an option trader on page 52. A trader of my stripe if ever there was one: stock selection is critical, the money is made selling premium and he accepts some assignments against which he sells covered calls. (But I am skeptical of the claimed 50-60% yearly return, for the record.) -Pete
-Pete
(See also rightedge-ats Yahoo group )
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Posted 5/11/2007 11:55:53
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| duane, Sorry for the late response, I apparently missed or didn't receive the post notification. Anyway, looking up the options chain isn't something that we currently support. We looked into getting this data it's very cost prohibitive. If you have access to this data, my recommendation would be to read it from a system and use the output window to make recommendations with your calculations. (i.e. OTM put credit spread looks attractive because of current IV). The historical data is going to be tricky. I think it would help us a ton if we had a source for this data and then could come up with some ways to assemble it and support it natively in the data stores. I'm open to suggestions. duane1221 (5/9/2007)
Bill, I am an options trader, and what I currently do with other software (Ensign) is scan for underlying stocks that are good candidates for a particular options strategy. The I go look up the options chain manually, do some calculations to determine which strikes, if any, have the return/risk I am looking for. Then I place the trade.
Ultimately if RightEdge could allow me to automate the "looking up the options chains" and finding the correct strikes for the setup I want and then place the trade that would be what I would want.
For example, looking for a Bull Put credit spread, look for a stock that is moving sideways or trending up, then look at the options chain for the next month and look at strikes between 6 and 12% below the current stock price for a setup that meets my parameters
Being able to back test these strategies would be a big plus for me.
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Posted 5/11/2007 12:00:18
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How long have you been selling puts? What happens in a bear market? Have you experienced one with your current strategy? What is the current method of risk management? Always accepting assignment probably works most of the time, but what about a case like NFI?phg (5/10/2007)
This is a FYI. If you have access to the June 2007 issue of "Active Trader" let me point out the profile of an option trader on page 52. A trader of my stripe if ever there was one: stock selection is critical, the money is made selling premium and he accepts some assignments against which he sells covered calls. (But I am skeptical of the claimed 50-60% yearly return, for the record.) -Pete
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Posted 5/12/2007 00:00:12
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The historical data is going to be tricky. I think it would help us a ton if we had a source for this data and then could come up with some ways to assemble it and support it natively in the data stores. I'm open to suggestions.
How about OpenTick? You can get historical options data for free from them.
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Posted 5/12/2007 07:11:12
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| I'm going to lobby for making this a two-part problem. Getting data for backtesting is one problem. The second problem, and frankly the more interesting one to me, is getting access to current option-chain information (through the IB interface). Not high priorty, but interesting. Suppose a strategy relied on a signal from the stock price (current, standard stuff) to suggest writing a put. Would the option chain be fetched under the NewSymbolBar? Wouldn't it be better to spawn a new thread to handle the matter from there: fetch a (partial) chain, chose the strike and expiry and place the order? Could the quote stream for the selected option then be added to the 'watchlist' dynamically? This question gets at the matter of monitoring the option with a 'strategy' that determines when to get out. This suggests the need for concurrent strategies: one for the stock and one to monitor the option. I see some interesting problems to work out. -Pete
-Pete
(See also rightedge-ats Yahoo group )
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Posted 5/14/2007 07:47:19
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You can get entire option chain data (historical) from OT? Wow, that'd be outstanding.extesy (5/12/2007)
The historical data is going to be tricky. I think it would help us a ton if we had a source for this data and then could come up with some ways to assemble it and support it natively in the data stores. I'm open to suggestions. How about OpenTick? You can get historical options data for free from them.
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Posted 5/14/2007 07:49:29
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Yes, the tricky part about "automatically" is how would we know what items to request? In other words, without knowing symbol details (as a user would configure in the Watchlist folder), how would RightEdge know that MSFT has a 22.5, 25, 27.5, 30 and 32.5 strike? Is this information provided by the data provider?phg (5/12/2007)
I'm going to lobby for making this a two-part problem. Getting data for backtesting is one problem. The second problem, and frankly the more interesting one to me, is getting access to current option-chain information (through the IB interface). Not high priorty, but interesting. Suppose a strategy relied on a signal from the stock price (current, standard stuff) to suggest writing a put. Would the option chain be fetched under the NewSymbolBar? Wouldn't it be better to spawn a new thread to handle the matter from there: fetch a (partial) chain, chose the strike and expiry and place the order? Could the quote stream for the selected option then be added to the 'watchlist' dynamically? This question gets at the matter of monitoring the option with a 'strategy' that determines when to get out. This suggests the need for concurrent strategies: one for the stock and one to monitor the option. I see some interesting problems to work out. -Pete
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Posted 5/15/2007 07:43:47
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Posted 5/15/2007 07:55:12
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| Interesting. There's still one last trick and that's have RightEdge build the option chain based on information received from the data provider.
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