StockFetcher Forums · Filter Exchange · The Best Deal to invest is call "call"<< 1 2 3 >>Post Follow-up
101 posts
msg #104416
Ignore levamit
1/15/2012 5:10:27 PM

Hello traders,

I finished writing this filter for option trading.
I try to catch the stock at the bottom and enter them on the same day or couple of days later,
I tried to catch the lowest bottom point but I saw it was difficult with use only a filter,
And we must look also on the chart of one month or a chart of 3 months to get a better entry point.
The goal is to take What he found and purchase some call options, does not matter if he found two or 50 just to check everything if appropriate and buy some calls.
I saw a few important points to pay attention to them when purchasing options you can go to yahoo site "" Notice to change the name of the symbol :

1- Better to purchase options when validity expired date is on the next month and is not expired in the current month.
2- strike will need to be a "Call" and one price above the last in the money price (meaning buy call out of money and for the next month for expired)
3- open interest need to be more then 1000
4- and volume above 50

try this filter and let me know what are you thinking about ,

Stocks Optionable
stocks are not otcbb
stocks are not etf

draw DMA(10)
add column RSI(2)
add column SMI(5,3,1)

show stocks where close is above 5
average volume(30) > 1500000
volume > 400000
volume < volume 1 day ago

StochRSI(18,2) below 0.25 within last 5 days
rsi(2) crossed below 1 within last 5 days
rsi(2) dropped more then 3 days ago

Stochastic Momentum Indicator(5,3,1) below -70
Stochastic Momentum Indicator(5,3,1) dropped more then 3 days ago

Williams %R(21) crossed below -97 within last 5 days
Williams %R(21) dropped more then 1day ago

chart-time 95-days


If you have any ideas for improving please write .


343 posts
msg #104418
Ignore gmg733
1/15/2012 8:37:31 PM

Anything below 10 is a call option to me, plus no theta decay.

Since you are purchasing down ward moving stocks, a spread might be a better fit. I'd have to research the volatility at those levels of the decline to see how they react to a change in trend. Again, a spread would help.

You'd only want stocks with tight bid/ask spreads. I realize this is what you are trying to do this with the open interest requirement. Nonetheless, most traders don't realize it might take a 2% move to get back to break even.

A few things to think about....

352 posts
msg #104421
Ignore BarTune1
1/16/2012 12:39:56 AM

Any filter that anyone is going to use to play calls has to be a good filter directionally to play the underlying stock.

To this end, I tweaked your filter a little bit by adding:

set{vix, ind(^VIX, close)}
set{vix10ma, cma(ind(^VIX,close),10)}
set{ratio,vix / vix10MA}
set{var, 1 - ratio}
var < 0

This has you buying only when the VIX is over its 10dma on the premise that when the VIX is relatively higher - the market is oversold. The opposite holds true when the VIX is under its 10dma.

So I backtested your filter (and it does backtest better the the above added) - from Sept 15 till Dec 31 last year (mainly to get rid of one anomolous trade at the beginning of September).

Getting rid of all stops and using an exit criteria of a "close above the MA(5)" renders the following results:

There were 73 total stocks entered. Of those, 73 or 100.00% were complete and or 0.00% were open.
Of the 73 completed trades, 63 trades or 86.30%resulted in a net gain.
Your average net change for completed trades was: 3.55%.
The average draw down of your approach was: -3.12%.
The average max profit of your approach was: 5.28%
The Reward/Risk ratio for this approach is: 10.70
Annualized Return on Investment (ROI): 353.82%, the ROI of ^SPX was: 19.13%.

Consequently I would conclude that it is a pretty good filter overall.

As regards the playing of options - unless you are very experienced - I would avoid it. You give up alot on opening and closing positions because of the difference in the bid/ask spreads (you almost always get screwed on these), commissions tend to be higher and you are always fighting time decay. In addition, if you are buying when the market is oversold, the VIX (or volatility is higher) and if you do get an upside move, volitility reduces or even collapses at times, which will also adversely impact the value of your call. No doubt you can hit some homeruns. However, otherwise profitable plays can turn into losers.

You have a decent advantage with this filter, but almost all advantages on profitable filters posted on this sight are relatively small overall ... or else we'd all be making millions.

343 posts
msg #104424
Ignore gmg733
1/16/2012 11:27:37 AM

What BarTune said....

This is why I like to be an options seller, spreads of course, than a buyer. You don't get the 'rush' of a parabolic move, but you only have to be kind of right to make money. When doing naked calls, you have to be right about direction. The only time I play calls and put, besides adjustments, is when the market is at an initial up or down turn. Other than that, I'm spread trading.

352 posts
msg #104426
Ignore BarTune1
1/16/2012 1:05:53 PM

I avoid options - but not all together - and when I do - 90% of the time I am a seller also.

At times I am trying to short a position and my brokerage has no coverage or not enough shares to lend (i.e., unavailable to short). So, in those circumstances, often I will sell short-term naked calls that are slightly in the money, providing the stock is optionable. Consequently, I am usually able to work the time decay in my favor.

I don't trade alot of spreads, mainly because of commissions and the bid-ask slippage. However, when I do play the options I don't trade anymore than what I would have traded if I were going to short the stock anyways (i.e., shorting 500 shares @ $20 .... I would look at selling 5 $17.5 calls for $3 if possible.) Your risk is essentially the same and you do have a bit of a cushion from any premium gathered on the naked call sell.

101 posts
msg #104429
Ignore levamit
1/16/2012 3:33:13 PM

Hello Traders,

So how i can avoid from a large spread between bid/ask.
The volume of underlying stock need to be more grater ?
I am trying to catch the stocks on the bottom and entry to trade for couple of days and then sell them.
I know that after a few rounds I'll lose but when i look on the trades on the backtesting i can see that most the times the trades getting out with a profit.
even the spread between bid/ask is big.
if you change the date off set to 6/1/2012 i bought this option call with strike 32.50 and the bid was 1.9 and ask was 2,
It is considered tight bid/ask spreads ?
today this call equal to 3.9 not bad for a couple of days !!

343 posts
msg #104431
Ignore gmg733
1/16/2012 4:21:04 PM

Dime wide isn't bad. Broker has some influence on fills and etc. The only way to get tight spreads is to trade high option volume stocks. That is reality. Also, when the market anticipates a reversal, the market makers will open the spread in their favor. So just be aware you may have a tighter spread on calls than puts or vice versa. Some say this is not possible, I beg to differ. I have seen it.

If you have a good thing going, then go with it. Sounds like you have a successful trade under your belt. Make sure to take a profit. Always have an exit plan.

If you want some assurance wait for the first, higher high, higher low, higher close bar.

352 posts
msg #104433
Ignore BarTune1
1/16/2012 5:08:35 PM

I agree with DMG 100%. Dime spreads are as good as it gets except for the most active stocks. I would strongly avoid entering right at the open (wait at least 10 minutes if you can) and always enter a limit order - never a market order.

The exit plan is equally important as is the entry - have one and stay with it. There was actually a long thread on this topic a year or two ago. Getting in on a trade is only half the equation.

101 posts
msg #104441
Ignore levamit
1/17/2012 4:12:47 AM

Thank you guys,

I wish us all success.


637 posts
msg #104442
Ignore mahkoh
1/17/2012 9:24:26 AM

This is a list I made a while ago containing stocks that had pretty tight spreads. Not claiming it is complete and haven't updated it in a while but it is a start. Also not that spreads tend to tighten after the first 15 minutes of trading.


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