Silver_Comment3913 t1_jaavdlo wrote on February 28, 2023 at 2:34 AM

This is great! The CHPT 3/17 $11c was an option I was following due to an unusual alert for the 3/3 $11c and after noticing high vol/oi. How difficult would it be to adjust your model to reevaluate for a single option? (i.e. at open checking the math for the same 3/17 $11c and seeing if it is still valid, and if not, analyzing other options for the same ticker)

hardyrekshin OP t1_jab1bwr wrote on February 28, 2023 at 3:20 AM

Difficult? Not at all.

But it takes a lot of compute horsepower as it is to come up with pricing for ATM plays, or slightly OTM plays.

So it's not something I can do for all 5200 tickers.

Silver_Comment3913 t1_jab1tvz wrote on February 28, 2023 at 3:24 AM

I see, thank you! If you had this as a software/SaaS I would love to subscribe to it, especially if I could use the algo on custom tickers.

hardyrekshin OP t1_jab3bhg wrote on February 28, 2023 at 3:36 AM

Would be an interesting exercise, coming up with an entry price for every contract.

NPIRACKS t1_jab4d7c wrote on February 28, 2023 at 3:44 AM

Maybe wrangle some subs for compute power?

hardyrekshin OP t1_jab4m84 wrote on February 28, 2023 at 3:46 AM

What do you mean subs?

NPIRACKS t1_jab4ays wrote on February 28, 2023 at 3:44 AM

Same, I'd pay a monthly sub for this

hardyrekshin OP t1_jab9mut wrote on February 28, 2023 at 4:30 AM

For what, exactly?

The ability to use this model to price specific options contracts?

Silver_Comment3913 t1_jabyrsf wrote on February 28, 2023 at 9:34 AM

Yes