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Rudi
Sorry, that software was at the CBOE site
http://www.cboe.com/index/oex/yes-oex.html
Michael
rudolf stricker wrote:
>
> 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.
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