Specify child strikes by option price offset
under consideration
M
Migration
We currently can select child strikes on the basis of 'points offset' (+ or -) .... the parent strike is selected based on delta (or dollar offset from [something]), and then OO selects the child strike by calculation.
I would like the opportunity to select the child strike by 'dollar offset' (+ or -) .... in which case the parent strike is as usual selected based on delta (or dollar or offset from [something]), and then OO would select the child strike based on price difference.
Example:- sell a 5 DTE 20 delta put- buy a [50 cents cheaper] put, 7 DTE
There is no hack to do this currently. I have manually tested the concept, with what looks to be promising results ...
This would probably come shortly after MEIC-style spread premium entries, I guess/hope �
@
@wizzy
In addition ... not just a $ offset, but also a % offset. Eg. for ratios (sell a 20 delta put, buy [2 QTY] at 50% of parent strike!
K
Kevin Smith
@wizzy I think this is a great idea. Currently the available parent off sets are delta, parent offset and fixed premium. The SPX has gone from 4,000 to 7,000 since 0 DTEs launched. This means parent off set of 60 or 70 is VERY different for the start of the testing time frame (SPX=4000) versus more recent times (SPX=7000).
This problem makes back testing butterflies more difficult. I currently break the back test into 4,000 - 5,000, 5,000 - 6,000 and 6,000 - 7,000 ranges of time.
Percentage offset would help a lot here.
M
Matthew Simon
marked this post as
under consideration