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Apr 12, 2018
Category: blogpost

We have adapted our platform to CME Futures and first 10 most optionable futures are now available for analysis:

CL CME Crude Oil Futures
ES CME E-mini S&P 500 Futures
GC CME Gold Futures
GE CME Eurodollar Futures
NG CME Natural Gas (Henry Hub) Futures
NQ CME E-mini NASDAQ-100 Futures
SI CME Silver Futures
ZC CME Corn Futures
ZN CME 10-Year T-Note Futures

 

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Apr 10, 2018
Category: blogpost

OptionSmiel patent pending

We have filed the Provisional Patent Application to the United States Patent and Trademark Office. From now, the whole scope of the OptionSmile methodology is officially PATENT PENDING.

  • Application number: 62655268
  • Confirmation Number: 7405

This status means we have one year to obtain a non-provisional (regular) patent that will benefit from the filing day of the Provisional Patent Application, i.e. today (April 10, 2018).

Mar 28, 2018
Category: ad hoc

This post was originally published on SeekingAlpha.com.

Summary:

  • Investors often sell call options against their long-term equity portfolios to gain additional income (covered call strategy).
  • The analysis below demonstrates that call options are substantially underpriced in “oversold” markets.
  • In such regimes, short call positions have mathematically expected loss and can be detrimental to the whole portfolio return.
  • It worth suspending call selling is this condition until the market comes to its senses.

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Mar 26, 2018
Category: ad hoc

This post was originally published on SeekingAlpha.com.

Summary:

  • The recent sell-off in equities opens an opportunity to exploit the “oversold” regime.
  • Trying to catch a “falling knife” with a pure directional bet is possible but quite risky.
  • Options market usually overreacts to the downward moves and lifts put option prices unreasonably high, above their fair values.
  • Put options provide an opportunity to exploit both directional and inflated implied volatility factors in oversold markets.

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Dec 26, 2017
Category: methodology

The Fair Value of an option is actually the current value of expected payoff of a contract at its expiration. Mathematically speaking, an expected value is always calculated by weighting of all possible outcomes by their probabilities.

The key property of such a formula, using the arithmetic average, is that it does not take into account the compounding effect of the previous returns. In other words, the Fair Value of options assumes that the profit/losses of all the hypothetical “trades” are not capitalized, and one particular outcome does not influence the “magnitude” on the next trade. The basis of each trade is the initial portfolio value and does not change during the whole experiment.

That is not exactly what happens in real trading, of course. Usually, the result of a trade is accrued on the portfolio and the size of the next trade is calculated on the new basis – including the previous results. That requires a new dimension of the strategy development, which is usually called Money management or Position sizing.

In this post, we discuss the influence of the returns compounding on the final results and observe all the instruments provided by the OptionSmile platform to deal with the volatility impact.

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The information provided on this Website is for informational purposes only and should not be considered as an investment advice. It is not intended to replace consultation with a qualified financial professional. Investing in options involves risk of potential loss exceeding the whole amount of money invested. No one should make any investment decision without first consulting his or her own financial advisor and conducting his or her own research and due diligence.