StockFetcher Forums · General Discussion · Statistical Edge for Credit Spreads or Verticals<< >>Post Follow-up
Rick67
64 posts
msg #105168
Ignore Rick67
modified
2/28/2012 9:05:32 AM

I tried to search the forum for any related topics but came up empty.

In order to get an "edge" with credit spreads, I would like to build a filter to scan stocks, ETF's and indices as follows:

1) Input the expiration date. For example, say March options expire Friday March 16, 2012.
Based on today's date, the filter will calculate that the options expire in 17 days.

2) Input a percentage. For example, 3%.

3) Input "days back". For example, we want to run the filter and gather statistics starting XXX days back.

Based on these inputs, calculate for each stock, ETF or Indice:

A. How many times did the security close above 3% in a 17 day period ending on a Friday. For example 21 times.
B. How many times did the security close below 3% in a 17 day period ending on a Friday. For example 15 times
C. How many 17 day periods were counted? For example 100 times.
D. Calculate the percentages: Closed above 21/100 or 21% of the time. Closed below 100/15 or 15% of the time.

Filter: list only securities that closed above or below XX% of the time.

What this does:

This tells me statistically which side of the credit spread is safer. In the above example, since it closes below 3% less often than it closes above 3%, it would be safer to put on a bull credit spread.

This is a start and there are enhancements and tweaks we can do to make this better.

I wish I was a good Stockfetcher coder, but I am not. However, I hope to learn quickly and I appreciate any help to get me jump started!

Thank you all!
Rick







StockFetcher Forums · General Discussion · Statistical Edge for Credit Spreads or Verticals<< >>Post Follow-up

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