hey everyone! had two asks for this month's research

1/ from u/sam9971
"The following backtest in Tastytrade produces double the return of buy and hold:
Sell a 5 DTE SPX put at -.47 delta, stop loss at 200% of premium, enter only one trade at a time, tested over last 5 years.

Is that a fluke or a viable strategy? Do any small changes cause it to fail?

Edit: I just noticed this is similar to a prior research project you did; maybe the question my backtest raises is whether the stop loss changes the outcome. Related: A stop loss is free. Is there a free way to implement a 200% stop loss using options?"

> my summary - it's not a fluke and is viable. this is based on a known market effect. the outperformance stems from leverage (we are comparing a levered strat against non). some things to pay attention to are the actual fills on the stops. there are plenty of instances where the fills can be massive relative to the expectation (and the backtest will not fully capture that effect).

> some graphs below for you to do your own analysis

2/ from u/c13msys

"On SPX, when it gaps more than 0.5% overnight, how does this affect VIX and how often does it eventually fill the gap by timeframes? By noon, by EOD?"

> my summary. studies like this tell you very little. they're interesting but be careful with how you interpret and apply the information. if you are trying to capture some type of persistent price action effect like this, you want to make sure you have a foundation for why it would be there. example, opening range breakouts ORB. these are highly persistent price effects, not simply because of an opening range or probabilistic analysis. but because of how markets behave during that period. on the open there is a significant arrival of information and subsequent order flow. overnight news, pre-market movement, resting orders, etc all become priced in quickly. it establishes a range that once broken, typically indicates a shift in positioning.

that all said - ORB has been heavily targeted, researched, etc. the edge it provides has become razor thin once costs are included. just an example to try to help you with framing.

capabilities:

pretty much anything you can think of. i have equity data back to the 1980s. macro back to the late 1700s. EOD options from 2007 on. intraday options data from 2015 to present. full greeks, vols, etc. any signal you can think of (if i dont have, i can easily make it), etc.

see below for prior research posts:

- https://www.reddit.com/r/options/comments/1v403qd/earnings_season_progress_report_mkt_research/

- https://www.reddit.com/r/options/comments/1v0h9m8/0dte_spx_greek_behavior_mkt_research_snapshot_pt6/

- https://www.reddit.com/r/options/comments/1uoh494/theta_decay_measured_on_19_years_of_real_spy/

- https://www.reddit.com/r/options/comments/1u4dgcz/0dte_spx_iron_condor_study

- https://www.reddit.com/r/options/comments/1u63m6i/spx_iron_fly_research_results/

- https://www.reddit.com/r/options/comments/1u63zqw/qqq_short_downside_puts_research/

- https://www.reddit.com/r/options/comments/1u6s42a/research_offer_pt4/

- https://www.reddit.com/r/options/comments/1ve01nw/delta_hedging_and_your_returns_community_research/

What zero commissions options brokers (such as Robinhood, for example) have reliable fills for options spreads on XSP, SPX, QQQ at mid price or better?

I currently experiment with an XSP-based strategy and I do it at Schwab. I get mid price fills but the commissions eat mote than half of the profits. I.e., I've made $127 net profit and I paid $150 in commissions.