Announcing forward-looking payoff grids alongside every backtest
22 Mar 2016Strategy payoff grids added to every backtest
We are happy to announce our latest addition to Volatility. Forward-looking grids which show profit and loss estimates by underlying price and time are now shown alongside every backtest. These intuitive grids make it even easier to contextualize when your strategy will succeed and what risks you’re taking all the way through expiry. You can also re-calculate the entire future payoff grid under custom implied volatilities. Try it now.
Negative put selling expected value
Short-dated implied volatilities have compressed significantly over the past two weeks, so much so that selling 1-month 5-10% OTM puts at today’s pricing now has negative expected value on a historical backtest. On the major indices, put sellers are collecting 45% less premium (on average) than just four weeks ago and 25% less than the median over the past seven years. Premium sellers may be better served looking at select single names. We highlight a few below.
Vols that remain high: Tesla (upcoming Model 3 unveil), Hewlett Packard, Activision Blizzard.
Historically attractive put-writes: S&P Biotech, Nike, Zoetis.
Historically attractive covered calls: LinkedIn, Alibaba, Viacom.
Interested in private beta access? Sign up here.
