96: Does Higher Implied Volatility Generate Higher Credits? [DIA Put Credit Spread Backtest]
About this episode
Show notes: http://optionalpha.com/show96
Today we wanted to use our new options backtesting software under our Trader's Toolbox to run some credit spread backtests on DIA. Namely, we were trying to determine if selling options during higher implied volatility markets actually generates a higher net credit for the position or not? Plus, we tweaked the allocations just a bit as well to see how different positions sizes impacted returns, drawdowns, and sharpe ratios.
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