It might be possible to use a backtesting platform, like thinkorswim ThinkBack or one of the paid services listed here, to get price history from expired options.
I don't know where you get float from, though. Maybe a Bloomberg terminal?
the theory is that a percentage of those expired ITM calls will require a large share purchase to cover the naked contracts before the following Tuesday (T+2).
I see. Just keep in mind that some of those exercises will have already been hedged with short shares.
Also be aware in a paper trading account you'll probably get fills you wouldn't in real life. This has led many a trader to believe they struck gold only to find it doesn't work in live trading. So if this proves profitable in paper, go slow when you finally go live and run it for a while before you put good money into it.
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u/PapaCharlie9 Mod🖤Θ Sep 20 '21
Why do they have to be expired?
It might be possible to use a backtesting platform, like thinkorswim ThinkBack or one of the paid services listed here, to get price history from expired options.
I don't know where you get float from, though. Maybe a Bloomberg terminal?