In this episode, Mark is joined by co-hosts:
- Chris Hausman, Portfolio & Chief Technical Strategiest, Swan Global Investments
- Aash Vyas, Director of Portfolio Strategy and Overlays, Swan Global Investments
- Matt Amberson, Principal, Option Research & Technology Services.
Tricks of the Trade: Looking at Options Backtesting
- What is it?
- Options vs. Stocks: Why is it so difficult to backtest options effectively?
- What are some common mistakes that are made when attempting to backtest options?
- Are some options strategies easier to backtest than others?
- How do you deal with assumptions when backtesting options?
- How can advisors use backtesting to test the efficacy of their options strategies?
The Buzz: A recap of the 2017 OIC Conference. Cerulli study says financial advisors who currently use options expect to increase use of options by 30% in three years.
Office Hours: Options Question of the week
This volatility implosion is starting to make people nervous. It's VIX limbo time: How Low Can It Go in 2017?
Currently:
- 38% - 9.0 is the Bottom
- 18% - No lower than 8.5
- 15% - Cannot get below 8.0
- 29% - <8 = Lookout Below!
Listener Questions:
- Question from Aidan Chance - I heard you guys discussing the problem of lumping options funds and strats into the alts ghetto on the last show. I understand your complaints. What do you think would be a better category to gauge options performance?
- Question from Steve - With the VIX so low, I am not selling a lot of options anymore, because I'm afraid that I will not collect enough premium. Am I thinking of this incorrectly?
