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Iam MacAuslan wrote:
> TS4 and TS2ki included not only TradeStation, but also OptionStation.
> Curious why no one ever posts here anything about options (and
> OptionStation).
Probably because most of us are more interested in historical validation
of trading strategies. Historical testing of option strategies is really
hard, and as far as I know OptionStation is a tool to help you find
situations "right now".
For historical testing, stocks are easy; you just have one dimension in
your price data: the price. It's a bit harder with futures because you
have more dimensions: price of different concurrent contracts as well as
the price of the underlying. With options, historical testing is almost
unmanageable because you have still more dimensions: price of different
concurrent contracts over different strike prices as well as the price of
the underlying. I've done custom historical option trading simulation
software; it's a real pain.
> Moreover: a quick scan through some job search engines
> reveal the Big Money (Goldman-Sachs, Merrill, and most hedge funds)
> seem rarely interested in technical analysis, equities and futures--but
> very interested in Options. Indeed, hedge funds with Option Arbitrage
> strategies seem to be often looking for talent.
I wouldn't be surprised. The whole point of options is to use them for
hedging in various ways.
> Another thing I've noticed is that generally such institutions seem to
> typically be looking to "remake the wheel" a lot (not using something
> like TradeStation, but doing something home-grown): looking for people
> with C++ and UNIX experience, typically.
That's because Tradestation is extremely limited in that it doesn't handle
portfolios, which is what all those big funds need.
> Anyone know why this is? (Also, if the Big Money is focused so much on
> quant strategies applied to options--not equities or futures--I wonder
> if it's time I switched over myself?!)
I had a pleasurable time earning money by selling naked options on
futures, as described in my spreadsheet at
http://unicorn.us.com/trading/opsel2a.zip -- unfortunately the strategy
was not compatible with my job's travel schedule.
-Alex
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