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OmniTrader Pro General Discussion
Barclays options strategy
1 replies, 722 viewings
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OmniTrader Professional Forum
OmniTrader Pro General Discussion
Barclays options strategy
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Last Activity 2/23/2025 4:01 AM 1 replies, 722 viewings |
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Boris Lund Regular  Posts: 59 Joined: 12/9/2021  User Profile |
That looks very interesting. fig.30 page 20 "Given the frothy speculative trading and short market maker positioning, selective selling single stock volatility (via delta hedged straddles) using VolScore Based approach has added significant value by screening for rich volatility names in 2020" So as I understand it, the premium is relatively too high, driven by the implied volatility from the retail crowd. But the realized volatility is more often a lot less so there is a market in finding those premiums that are relatively too high. A very low risk approach would be the iron condor so we have stop loss over and under our volatility window. Here is a short writeup. https://share.summari.com/the-barclays-trading-strategy-that-outperforms-the-market Barclays Strategy #1: The Straddle (better with the iron condor) "Barclays determines which stocks to use this strategy on based on their VolScore metric, or the volatility spread between a stock's volatility and the volatility of the industry that that company participates in" Barclays Strategy #2: Long Call Spreads Barclays buys a long call, then sells an even deeper out of the money call So with a very high volscore you use strategy #1 and with a very low volscore you use strategy #2 Beta measures a security's volatility relative to that of the broader market, hence the indicator BETA(21,"$SPX"). To make our own volscore we would need to calculate Beta versus the group it belongs to. So looks like it would be possible to scan a group and sort on beta vs that group. Scan the technology group, sort BETA(21,"$XLK") But we would still be missing how many of the bought option calls are from retail small orders. /Boris [Edited by Boris Lund on 2/22/2022 8:37 AM] | ||
| Etherist Member Posts: 25 Joined: 6/9/2024 Location: South Australia User Profile |
Just updating the links in your post for others to review the source docs, as I was having issues using the original links: ** https://wewin.neocities.org/files/Barclays_US_Equity_Derivatives_Strategy_Impact_of_Retail_Options_Trading.pdf#page=20 ** https://www.daytrading.com/barclays-options-trading-strategy Great to see some Options Trading discussion on this forum. Cheers Etherist :-) [Edited by Etherist on 6/27/2024 7:55 PM] |
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