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Politics : Idea Of The Day -- Ignore unavailable to you. Want to Upgrade?

To: IQBAL LATIF who wrote (18071)	4/21/1998 5:00:00 PM
From: Thomas Winklhofer	Read Replies (1) \| Respond to of 50167

> Dear Thomas: Sorry for coming back late to you. No need to hurry. Markets open every day ;-)) > I just wanted to check Question 2 before I answer your > question 1. I was checking with Raj if there was any way to back > test your option trading model, but I did > not find any source of historical option prices. Thank you for trying to find a source. I knew that it would be difficult. May be it is not necessary doing that. I will develop a simple option pricing model. Shouldn't be too difficult for options deep ITM with 0-4 weeks till expiry. Do you have a spreadsheet for option pricing (inputs like vola, strike, duration and so on)? > I've just checked the prices on RUT options ... > but however, the spread is three-fourth of a dollar, > like May 490 call is 8-1/2/9-1/4, > The problem with RUT is that it is > very illiquid, hence the spread will be very high Yes, thats true. With a very fast trading system you need small spreads. > At the moment both look in uptrend, but if you go back > to Dec/Jan/Feb, they were not moving in the same direction. Sometimes yes, sometimes no. I will have to apply my RUT signal to SPX automatically to see the results. > In my opinion, RUT and SPX is a difficult model as they are > different products. May be its not worth doing that. I will check. > I will like to coordinate RUT with Composite I will check the trading system on these two as well. > On the question of market-makers, how much options they're ready to > take it is 10 on bid and offer side Thank you for confirming this. The bigger problems is as you mentioned before the spread on RUT. It kills the profit of a fast system with lots of tiny results. If you like I will post my results. Thomas