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TeslaMadeMeHomless t1_iuiiefa wrote

Make it readable

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mytendies OP t1_iuijq4n wrote

yeah, you are right. It makes sense to me but probably not to the average regard

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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)

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TeslaMadeMeHomless t1_iuivjxs wrote

It’s literally blurry

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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

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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?

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qb_source t1_iuihsqi wrote

How are you predicting friction and slippage?

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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

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qb_source t1_iuik4qs wrote

I assumed you were referring to the illiquidity making it hard to get the mid, thanks for the answer

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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

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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

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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

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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

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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.

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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

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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.

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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.

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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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qb_source t1_iuispyw wrote

I don't think so but there is a risk of getting assigned and then it suddenly becomes relevant

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mytendies OP t1_iuivg7v wrote

yeah fair, I figured it would only matter if you ended up with shares. Thanks for explaining

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StudentWonderful6155 t1_iuiy7o4 wrote

Is this your own personal report?

1

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?

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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

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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.

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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.

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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.

1

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.👌

1

robbinhood69 t1_iujm935 wrote

i'm pretty sure this information is useful

i'm also sure none of us know how to use it

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zac_usaf t1_iujhmh8 wrote

Jesus Christ dude, lay off the Adderall , no wonder there is a shortage!

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mytendies OP t1_iujk27c wrote

Anndddddd it’s gone

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zac_usaf t1_iujlbcd wrote

No BB or SPCE…. I’m offended.

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mytendies OP t1_iujm8g7 wrote

I’ll take a look and see why they are not on the list. Good finds. Thanks

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Skrtpa123 t1_iuilisi wrote

Too mach, too little

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mytendies OP t1_iuilok6 wrote

>Too mach, too little

what does that mean, I am too stupid

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Skrtpa123 t1_iuiz5jo wrote

Too small white lines a cannot snort

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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

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SmallRadComp t1_iuio93u wrote

You write this script? If so do you have a github?

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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.

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somo1230 t1_iuivnhl wrote

"Expected move"?? Mmm?

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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.

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VisualMod t1_iuig5no wrote

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1

youngmat t1_iuim6n6 wrote

no SPY?

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mytendies OP t1_iuinarr wrote

oh... for another unrelated reason I had omitted SPY. My mistake, will include on the next one

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DefiantAccountant128 t1_iuisizt wrote

Tits??

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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

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kickeast t1_iuj3blw wrote

highlighting the ones that are over 365 days to avoid short term tax

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makina323 t1_iuj3dh9 wrote

If you're gonna make it a daily post, then chop it off into sections, top 10, top 50, top 100 etc.

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fortinvestech t1_iujpihy wrote

Data source?

Too much data = overload = not actionable.

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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

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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.

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