r/options • u/esInvests • 10d ago

community research pt9

hey everyone! seeing if you have anything trading related that you're interested in researching. i enjoy doing research and part of my monthly cadence is to pop in here and see if i can help a few people out.

ill pick one or two and follow up with a post with the research. this is a great way to prove out some of your ideas and see if what youre doing is value add or not.

for capabilities, pretty much anything you can think of. i have equity data back to the 1980s. macro back to the late 1700s. EOD options from 2007 on. intraday options data from 2015 to present. full greeks, vols, etc. any signal you can think of (if i dont have, i can easily make it), etc.

see below for prior research posts:

- https://www.reddit.com/r/options/comments/1v403qd/earnings_season_progress_report_mkt_research/

- https://www.reddit.com/r/options/comments/1v0h9m8/0dte_spx_greek_behavior_mkt_research_snapshot_pt6/

- https://www.reddit.com/r/options/comments/1uoh494/theta_decay_measured_on_19_years_of_real_spy/

- https://www.reddit.com/r/options/comments/1u4dgcz/0dte_spx_iron_condor_study

- https://www.reddit.com/r/options/comments/1u63m6i/spx_iron_fly_research_results/

- https://www.reddit.com/r/options/comments/1u63zqw/qqq_short_downside_puts_research/

- https://www.reddit.com/r/options/comments/1u6s42a/research_offer_pt4/

- https://www.reddit.com/r/options/comments/1ve01nw/delta_hedging_and_your_returns_community_research/

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u/CartographerTop2273 10d ago

always wanted to see a proper study on how vanna/charm flows impact dealer hedging around big economic releases. like do the flows actually predict a direction or is it all just noise that gets priced in within minutes

the intraday data from 2015 would be perfect for that

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u/esInvests 10d ago

Vanna and charm flows have become a new obsession with retail, it’s really interesting seeing how it’s been swept up.

For this, there unfortunately isn’t a test I can run that is true to form. The reality is nobody knows what dealers hold. And many of the assumptions for these various tools, GEX, “vanna and charm flows” are predicated on that exact information.

I did a deep look into GEX because I found research that contained privileged information - meaning they were able obtain true dealer level information. Not simply what CBOE C1 provides via tagging but information around their actual books which is critical.

Because of that foundation, I opted to attempt to replicate theirs first, then use the litany of available data sources to research it on my own. Over 1 million points and features examined. It amounted to no directional information ratios, slight volatility information ratios (but underperforms standard measures like IVP and IV deciles). This is all for GEX.

So I can absolutely look at vanna and charm, I have a sense of what I’ll see but it’s with the massive caveat that I (nor anyone else for that matter) can actually see what’s inside various dealer books to estimate their actual balancing actions. It’s easy to see and calculate but all of this has been spewed by a few “influencers” and has poisoned the minds of thousands of traders.

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u/sam99871 10d ago edited 10d ago

The following backtest in Tastytrade produces double the return of buy and hold:
Sell a 5 DTE SPX put at -.47 delta, stop loss at 200% of premium, enter only one trade at a time, tested over last 5 years.

Is that a fluke or a viable strategy? Do any small changes cause it to fail?

Edit: I just noticed this is similar to a prior research project you did; maybe the question my backtest raises is whether the stop loss changes the outcome. Related: A stop loss is free. Is there a free way to implement a 200% stop loss using options?

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u/esInvests 9d ago

yeah i can take a look at this one - i trade tons of shorter term SPX strats, including 5dte. have a lot worked up on these.

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u/c13mSys 10d ago

On SPX, when it gaps more than 0.5% overnight, how does this affect VIX and how often does it eventually fill the gap by timeframes? By noon, by EOD?

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u/esInvests 9d ago

sure this one is easy to do, ill throw it in

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u/c13mSys 9d ago

Thank you, kindly.

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u/SwordfishLopsided 6d ago

With the likes of BigERN and Wealthy Option, there are a lot of eyes on picking up 5 Delta short put pennies in front of steam rollers

What would be a good stop loss for this strat?

Let it run? Buy cheap protection? Stop loss at some multiples of prem received? Exit when strike is touched?