Comments
mytendies OP t1_iuigjmn wrote
Hi WSB, this table shows which options are most liquid and have the tightest spreads. I then calculate an "efficiency" value based on those spreads, the option pricing, and essentially how much of your profits will be lost to friction/slippage/commissions when trading that particular option.
I also include the expected move for "this friday" and each stocks "beta" when compared to SPY.
Is this helpful or too regarded?
How else can I improve this report?
qb_source t1_iuihsqi wrote
How are you predicting friction and slippage?
TeslaMadeMeHomless t1_iuiiefa wrote
Make it readable
mytendies OP t1_iuijq4n wrote
yeah, you are right. It makes sense to me but probably not to the average regard
mytendies OP t1_iuijxms wrote
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
mytendies OP t1_iuilok6 wrote
>Too mach, too little
what does that mean, I am too stupid
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
donobinladin t1_iuimgme wrote
It’s too fast and furious
mytendies OP t1_iuinarr wrote
oh... for another unrelated reason I had omitted SPY. My mistake, will include on the next one
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
SmallRadComp t1_iuio93u wrote
You write this script? If so do you have a github?
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.
bparisi85 t1_iuioh2p wrote
I think he means how it shows up on Reddit and not the actual info itself. (Me also may not have click the pic and zoomed in)
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.
[deleted] t1_iuir9fe wrote
[removed]
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?
DefiantAccountant128 t1_iuisizt wrote
Tits??
qb_source t1_iuispyw wrote
I don't think so but there is a risk of getting assigned and then it suddenly becomes relevant
mytendies OP t1_iuivg7v wrote
yeah fair, I figured it would only matter if you ended up with shares. Thanks for explaining
TeslaMadeMeHomless t1_iuivjxs wrote
It’s literally blurry
mytendies OP t1_iuiw2ih wrote
yep. Did it make sense to you?
If you take the call and put prices, expiring this friday, you can extrapolate what they market is pricing the expected move for this friday.
mytendies OP t1_iuiwaiu wrote
Nahh... you click it, it comes up trying to fit in one browser window, which is too small, you click again to zoom. Now it is not blurry (at least on my side).
Either way its too hard to read as is so I will fix it up
mytendies OP t1_iuiwbx9 wrote
Are you the one?
mytendies OP t1_iuiwl1e wrote
Yes I wrote the script, yes there is a github but not ready to share that just yet. Going to dial this in a bit better and then try to share it daily with the sub.
Even if I shared the script you couldn't run it without the data service I am paying for - and... uh... also don't have redistribution rights to.
mytendies OP t1_iuiwrl5 wrote
Should I add a tits icon to indicate which will go tits up and which will go tits down? Good suggestion
StudentWonderful6155 t1_iuiy7o4 wrote
Is this your own personal report?
Skrtpa123 t1_iuiz5jo wrote
Too small white lines a cannot snort
TeslaMadeMeHomless t1_iuj173u wrote
Maybe chop it up into more pictures
No-Comfortable9480 t1_iuj6l45 wrote
Thanks for this hrlpful guide bro
mytendies OP t1_iuj99n8 wrote
yeah this is the way. Gracias
mytendies OP t1_iuj9dxq wrote
yessir. now its shared with you tho creating "our" report
mytendies OP t1_iuj9glc wrote
ok I will increase the stroke width to 5 so you can snort this before trading. The lines are quite long tho making up for their skinniness
GaiusMario t1_iujdcks wrote
doesn't always work that way does it though.
No-Sock-9684 t1_iuje5ug wrote
Just tell me max pain
mytendies OP t1_iujgawo wrote
Hence the word expected
UCMeInvest t1_iuji3of wrote
Open it on a phone - seems to be fine
mytendies OP t1_iujk27c wrote
Anndddddd it’s gone
zac_usaf t1_iujlbcd wrote
No BB or SPCE…. I’m offended.
mytendies OP t1_iujm8g7 wrote
I’ll take a look and see why they are not on the list. Good finds. Thanks
robbinhood69 t1_iujm935 wrote
i'm pretty sure this information is useful
i'm also sure none of us know how to use it
polloponzi t1_iujo8b2 wrote
>Hi WSB, this table shows which options are most liquid and have the tightest spreads. I then calculate an "efficiency" value based on those spreads, the option pricing, and essentially how much of your profits will be lost to friction/slippage/commissions when trading that particular option.
What can you do with 'efficient' options? How you take advantage of this information to earn money?
fortinvestech t1_iujpihy wrote
Data source?
Too much data = overload = not actionable.
mytendies OP t1_iujrcf6 wrote
a top financial data broker... rather not say. But it is aggregate data from "all" the exchanges compiled at the date I run the report.
fair enough and figured I would get that feedback. what should be good target for this audience?
top 25 options and then maybe 5 columns of data? I think that would make a nice "square" that is more actionable
mytendies OP t1_iujrzbs wrote
fair question. A few others asked and mentioned they have no idea how to implement this info.
I will do a post on it and explain in detail why this matters
fortinvestech t1_iujs6ru wrote
Just wanted to give the feedback :). You seem to be passionate about data and markets. I sent you a PM.
Actionable is very subjective. I could take action on all the data while someone else might not be able to take action on 5. I think the other comments might be more concrete on this point.
StudentWonderful6155 t1_iujtozm wrote
I like it! I would love to see something like this daily
polloponzi t1_iujugyi wrote
If you want to do a detailed post then that is awesome, but otherwise just a comment with a summary on how you turn this info into a profit may be enough for me to understand the gist of it.
mytendies OP t1_iujyn0w wrote
ok working on it.
mytendies OP t1_iujz4te wrote
you need to transact on liquid options to make money. Period.
if you try to buy an option for $100, but can only get a fill for $105 and then try to sell it 1 minute later for the $105 you paid, but can only get a fill for $95 then... you lost $10 in 1 minute getting in and out. That is 10%
What most people don't realize is that this bid ask spread robs them of a large portion of their profits and it amplifies their losses.
​
now if you look at my chart you can see the "efficiency" column and determine the most liquid, most easily transacted, tightest bid/ask spreads.
In my example above, if you have a highly efficient option, you might want to buy it for $100, get a fill for $100 and then be able to sell it for $100. That is highly liquid and easy to trade.
Those are the options you want to be playing with.
unresolved-madness t1_iuk2gq0 wrote
By how wet it is.
polloponzi t1_iuk2z8w wrote
>you need to transact on liquid options to make money. Period.
>
>if you try to buy an option for $100, but can only get a fill for $105 and then try to sell it 1 minute later for the $105 you paid, but can only get a fill for $95 then... you lost $10 in 1 minute getting in and out. That is 10%
>
>What most people don't realize is that this bid ask spread robs them of a large portion of their profits and it amplifies their losses.
It seems to me you are looking to day-trade or swing-trade options.
I don't usually do that, I hold options for at least a week usually, so the bid-ask spreads don't really matter much to me.
When I want to day trade options I just trade the $SPX options that are by far the most efficient and liquid options you will be able to find. On top of that they are cash-settled so you can do all kind of spreads without worrying about pin risk or assignment. Check those.
Lucky-Apricot-1831 t1_iuk3stb wrote
Explains why it was so regarded when I tried trading gold using IAU options, and got REKT. Ty, very useful for regarded introspekcion.👌
VisualMod t1_iuig5no wrote