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Jurassic


Total Posts: 136
Joined: Mar 2018
 
Posted: 2018-05-11 12:10
@ronin thanks for all of this.

The rv skew stuff and rv cross asset is still tricky and it now seems that researching these ideas would be different to backtesting them

ronin


Total Posts: 334
Joined: May 2006
 
Posted: 2018-05-11 15:15
> The rv skew stuff and rv cross asset is still tricky and it now seems that researching these ideas would be different to backtesting them

If that's what you are after, it may be worth your while putting together a generic backtesting environment. You have done it in excel, so you know what to do.

Just some brief comments:

RV skew. You want to sell expensive OTM puts? Any assumptions you make on your fills, and I mean *any* assumptions, will be massively over-optimistic. And once you factor in the costs, there better be a huge amount of RV left.

RV cross asset. Why would you even do that to yourself? And I speak as a former hybrid derivatives guy. Seriously. Life is too short to spend it chasing cross asset option RV. My head hurts from even thinking about it.



"There is a SIX am?" -- Arthur

Jurassic


Total Posts: 136
Joined: Mar 2018
 
Posted: 2018-05-11 21:39
My head generally hurts thinking about options backtesting

tbretagn


Total Posts: 260
Joined: Oct 2004
 
Posted: 2018-05-13 19:30
@ronin i must disagree on the option rv. There are some very interesting macro trades which appear. Just hard to quantify. Last year’s north korea situation springs to mind.

Et meme si ce n'est pas vrai, il faut croire en l'histoire ancienne

tbretagn


Total Posts: 260
Joined: Oct 2004
 
Posted: 2018-05-13 19:30

Et meme si ce n'est pas vrai, il faut croire en l'histoire ancienne

Jurassic


Total Posts: 136
Joined: Mar 2018
 
Posted: 2018-05-14 00:28
> Any assumptions you make on your fills, and I mean *any* assumptions, will be massively over-optimistic.

Im happy to temporarily relax any assumptions and assume you can alwways trade where you want (for simplicity reasons). Execution is kinda of secondary problem

Jurassic


Total Posts: 136
Joined: Mar 2018
 
Posted: 2018-05-15 18:51
The thing is if you dont know what sort of quantity you are looking to predict its hard to research this sort of stuff.
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