Check Options Strategies With Backtesting

Backtesting is a good way to test options strategies interesting to you. Here we test short puts in single stocks.

Covered Call Backtest: Finding The Best Maturity, Strike, IV, And Earnings Methods

Covered call backtest on the S&P500 names like MSFT, MA, INTC showed that options with 30 days to maturity and 10 delta…

Naked Put Selling Burns Hawaii Pension

Get ready for the other shoe to drop from last week’s short volatility fueled crash. Short vol funds could face redemptions when investors see performance from last week. Pensions don’t face redemptions, they fire investment officers. The first signs of trouble…

Options Indicator Spotlight: Implied Volatility Ratio To SPY

ORATS calculates implied volatility ex-earnings and its ratio to SPY. When applied to a backtest, this indicator improves annual return…

Earnings Options Strategies Backtest

The Earnings Move report contains important information for options traders which was tested to determine the best strategy for the implied, historical and forecast…

The Best Predictors of Earnings Moves

Half way through earnings season, ORATS looks back at the stocks that have already announced and assesses the best signals for identifying excess options returns. Excess returns are the difference between the options market expectation of stock movement after…

Modeling the Implied Volatility Surface: Skewness and Kurtosis

Here’s the ORATS approach to skewness and kurtosis, what we call slope and derivative for strike skew parameters.

How to Backtest a Short Calendar Diagonal Spread

Backtest this ‘non-traditional’ Short Calendar Diagonal options spread by adjusting the Leg Relationships and the deltas away from normal at-the-money.

Backtesting Basics: Trading SPY Options Based On Contango, Skew and VIX Levels

Backtesting using technical triggers contango backwardation, VIX levels, and days of the month can be accomplished with ORATS…

Describing The Implied Volatility Options Surface

ORATS summarizes the implied volatility skew into slope, derivative, and fixed day points after drawing a smooth curve through the strike IVs.