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Re: AW: What options to sell?



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On Sun, 13 Aug 2000 20:34:20 +0200, you wrote:

>don't forget we are talking options here. It is well nigh impossible to
>create a mechanical option trading system, let alone optimize it. 

???

>The first
>reason is the fundamental lack of historical data for the millions of
>options generated through the different option series with their strikes;

Why to construct a system for _all_ options and for _all_ strikes and
expiries? (We also would not try to construct one system for all e.g.
financial shares.) 

Why not concentrate on one kind of options (e.g. DAX) and strike
prices e.g. at-the money? For these options we can construct a
equivalent _continuous_ option price from historical data, which
reflects nicely the underlying price as well as the market volatility.
And using these data, we can use all the TA techniques available to
set-up and optimize an appropriate system. - Why not?

>furthermore, there are additional outside factors such as early exercise in
>the OEX etc. 

Ok, this requires more modeling effort, but only for
non-european-style options. 

>I have yet to see a real mechanical trading system for options. There have
>been attempts at such systems, such as Essex Option Pro, but these are
>extremely limited.

Constructing a trading system for options imo is not so much a
question of a special software, even if some "standard trading
software" may have some restrictions, e.g. concerning its capabilities
to define appropriate goal functions and its optimization techniques.

mfg rudolf stricker
| Disclaimer: The views of this user are strictly his own.