Comments on: Algorithmic Options Trading 1

By: Andrew Dolder

Andrew Dolder — Wed, 02 Aug 2023 15:21:11 +0000

I had a thought for artificial options, and maybe I’ll develop it further in a blog post, but maybe there’s no need to generate the complete option history for certain types of trading systems. For example, if trading signals come entirely from the underlying price series only, then calculate option prices at select times. It’s probably a matter of manually managing a set of CONTRACT structs script-side. This can potentially save lots of time and disk space.

By: jcl

jcl — Tue, 07 Dec 2021 09:04:42 +0000

The options data on the Zorro download page is not simulated. It’s the real thing and has indeed OI and volume.

By: hast29

hast29 — Tue, 07 Dec 2021 08:23:25 +0000

Hi JCL, in the simulated SPY.t8 data from the Zorro download page, the fields Val and VolDate are filled with non-zero values. I assume, these are the open interest and trade volume values. They are also simulated with this script OptionsSimulate.c ?

By: jcl

jcl — Tue, 09 Jun 2020 08:32:47 +0000

Syntax errors can be fixed by using correct syntax. There’s a chapter in the Zorro manual about fixing errors.

By: Jacob

Jacob — Mon, 08 Jun 2020 20:50:21 +0000

Hi JCL I hope it’s not too far past the post date for you to see this question:

I downloaded the file, “FRED-DTBR.csv” and placed it in the History file for Zorro to attempt to generate the synthetic options data. I also tried changing the function to the “yieldCSV()” function so that it could grab the data directly from the csv file.

However, I’m still getting a syntax error when running the file with the code above to generate the data.
the error:

How can this be fixed?

Thanks a ton if you see this!

By: jcl

jcl — Tue, 31 Dec 2019 09:56:31 +0000

In reply to Machou.

I would tell, but unfortunately that broker isn’t paying me enough.

Broker’s fees and margins are listed on their websites. Just compare.

By: Machou

Machou — Mon, 30 Dec 2019 22:22:44 +0000

What is the best api broker for trading option ?

By: Tanner

Tanner — Sun, 13 Oct 2019 07:35:15 +0000

What is your opinion on selling vertical spreads every month or two weeks in LEAPS? I’ve been interested in compiling historical SPY and QQQ returns monthly/daily for each year over the course of its inception and selling spreads at least 1+ years from expiration.

By: Binary Today 5

Binary Today 5 — Wed, 20 Dec 2017 00:08:44 +0000

I hope that it’s alright that I discuss this with just a few of my clientele, this will assist
their knowledge of binary trading significantly.

By: jcl

jcl — Fri, 10 Nov 2017 10:35:22 +0000

Thank you for your kind words. Finance is complex. My knowledge is even more limited and I’m daily surprised by some results that I didn’t expect. – In your example, the 15.23% volatility is the correct value. If you used a higher volatility period for higher expiration, then it depends on whether it’s still annualized volatility or just volatility of a longer time. In the latter case the results are off by some factor, in the former case they are based on too old volatility and thus not up to date. – You’re right about the implied volatility, since it is affected by the difference of theoretical and real option value. So you cannot use the script above for getting it. Otherwise you would just get back some approximation of the current volatility. You need real option prices for IV.