|
PureBytes Links
Trading Reference Links
|
On Fri, 10 Jul 1998 18:08:05 -0400, you wrote:
>Your question sounds naive but maybe you're not experienced
>with options.
You are right: After about six month of doing some "historical"
calculations on options especially for the german main index DAX, I
started trading some months ago. So I really do not have a lot of
experience, and I'm restricted to day-to-day trading for several
reasons.
>To evaluate options before trading you need selected data,
>such as Historical Volatility, on the underlying and of course
>you should see the Greeks for each position.
Imo, the most important point in option trading is to have an estimate
of the option prices for the next days (and weeks), i.e. the price of
the underlying and its (implicit) volatility. So I concentrated my
effort on this point.
Concerning selection of the "best" option: I did several tests on
options (for the DAX) at different strike prices around the "at the
money" boundary. I got the best results for strikes of about 50 to 100
points "out of money", whereby the difference from "option selection"
is MUCH smaller than the difference from doing a poor or good estimate
for the option prices coming up. So, imo, it doesn't make much sense
for me to play around with Greeks, because the time to buy & sell is
fixed by the option price estimation, and all I have to do is buy 50
to 100 "out of money".
>A graphic chart of the Profit and Loss of a position is useful
>and very necessary if you're doing Spreads.
Why should I do spreads? If I have an idea, where the prices will go,
imo, spreads do not make much sense, do they? And if I have no idea
about the prices coming up, imo, I should stay out of the market.
>All this applies equally to Index Options as well as Equity Options.
>I have experience in both.
>If you're trading end of day and are willing to manually input
>the Option quotes then you won't need proper Data feeds
>(Option quotes, Open Interest, Volume) but if you value the
>latter then programs with proper data feeds are necessary.
At this time, I still get some day-to-day data about (also
international) indices and about option prices at the german option &
future exchange, but I consider to cancel these sources, because I can
find the most important data on the web. And concerning option prices:
At least for the german DAX, imo, it is not necessary to collect
option prices, because those prices (near the money) can be calculated
(e.g. by Excel) with sufficient accuracy using the (implicit)
volatility index data provided with the DAX.
(BTW: Are there any other (main) indices around the world, which also
are accompanied by an appropriate volatility index (like the DAX)?
Would be interesting to extend my option trading to such indices ...)
>You need to cut down on the manual, mechanical work and
>spend time on interpreting the evaluations put out by the SW.
I tried some test versions of "option sw" (including MS OptionScope),
but I couldn't find a reason to use these programs. All the "option
calculations" I do is to look at the prices of options I have bought
in a small Excel sheet, which compares the prices for several
potential prices of the underlying vs time (up to expiration) to the
(actual prices and the) prices calculated after B&S, like described
above. Imo, this is enough to get an idea, where to sell, together
with the (by far more important) price estimates.
Any hint where to refine my "strategy"?
mfg rudolf stricker
| Disclaimer: The views of this user are strictly his own.
|