Most "Efficient" Options On The Market Today (How Should I Improve This? What Else You Guys Want to See?)mytendies OP t1_iuijxms wrote
Reply to comment by qb_source in Most "Efficient" Options On The Market Today (How Should I Improve This? What Else You Guys Want to See?) by mytendies
slippage is bid - ask / price of the option / 2.
It assumes you are going to pay "half" the bid ask spread to get in, and half to get out. Wide bid ask spreads = more slippage = less efficient.
I guess the word friction should not have been used and isn't really relevant. My b
qb_source t1_iuik4qs wrote
I assumed you were referring to the illiquidity making it hard to get the mid, thanks for the answer
mytendies OP t1_iuilkp2 wrote
going to try and work in "average daily volume" and consider open interest as well to give a probability of getting filled at that mid price. Not an exact science but let me know if you have any ideas/suggestions
qb_source t1_iuim3ro wrote
I typically factor in the margin requirements so I can come up with some sort of way of comparing the amount of premium for the amount of capital at risk.
For example, IWM and TSLA are high on your list but IWM has a much lower requirement
mytendies OP t1_iuinime wrote
Those margin requirements are broker dependent tho right? And just to be clear, it would be the same "capital at risk" but the "buying power reduction" would be different for each. Correct? Just want to be on the same page
qb_source t1_iuinv2s wrote
Yes they are, but generally they are lower for ETFs of broad indexes.
Edit: I think we are on the same page
mytendies OP t1_iuiodw6 wrote
Yeah maybe I can look at "beta" and make an assumption. High beta = more margin required.
Need to get IV rank on here as well.
My goal is to have this report indicate "these are the "best" options to be trading today" from an efficiency perspective.
qb_source t1_iuionrj wrote
It might be helpful to show if the underlying has dividends and if the underlying is a partnership or not, if you are going for efficiency in taxes.
Edit: corrected typo
mytendies OP t1_iuir354 wrote
school me on the relevance of a partnership. Had not heard of that one.
I wanted to add ex dividend date, div yield, and next earnings date.
qb_source t1_iuis46t wrote
By partnership I'm referring to LLPs, like REITs. I stay away from them because of the extra tax paperwork and the expenses that come with it.
I only mention them because of your focus on efficiency, specifically that as far as option trading goes, they are not worth it.
How the underlyings are taxed and how earnings are returned are additional ways to measure efficiency.
Indicating which underlyings offer dividends and how often and how much would be good too.
mytendies OP t1_iuisi0s wrote
But if someone day trades an option on a REIT and day trades an option on SPY the gains/losses are subject to different tax treatments?
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