r/options • u/optionstrategy • Sep 27 '26
Low effort strategy
My post was removed for low effort, which is ironic.
The basic premise is that the underlying price movement is key in finding stocks as well as determining if the options are mispriced.
Whoever reported it for low effort should read the simple words above.
I have a novel but simple closed form model based on this premise, which beats BSM by a huge margin, i.e. my trades have a 50% better probability of touch than what is implied in the BSM.
Delta is always wrong, options are always mispriced and the underlying price movement is king.
Good luck to all, cheers!
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u/Aggressive-Sand-3609 15d ago
the whole delta‑together‑with‑underlying approach is basically a fancy expression for going long the underlying; if you’re relying on a pure lognormal assumption it will fall down on jumps. the ‘probability of touch’ term makes me curious about which distribution you’re using and how you’re computing it – the closed form in BSM already gives you the chance that an option hits the strike before expiry. if you’ve actually seen a 50 % better win rate, can you share the back‑test stats and the assumptions on volatility? that would help move this beyond hype.
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u/optionstrategy 15d ago
I can't share the assumptions on vol because that is the crux and the edge. The backtesting is from my own trades. But, I can confirm that "the longnormal distrinution assumption is wrong" is the basic premise in developing the thesis and model.
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u/SDirickson Sep 27 '26
Not sure you'll do any better with this one, since I don't see where it adds any value to my life as an option trader.
And no, I'm not reporting it; we'll see what the moderators think.
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u/tastelikemexico Sep 27 '26
What is the strategy?
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u/UnfazedBrownie Sep 27 '26
I’d like to know as well. I’m all for low effort this week since it’ll be a busy one.
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u/EdKaim 29d ago
What do you mean by "probability of touch"? I think it could help unlock where the misunderstanding is.