Options
Multi Options Calculator - 2024
Created by
- Jose_Henrique
Created at
Download:
Options_Picking.xlsx18KB
Description
I calculated the estimated variation and expected return for each options (Calls and Puts, all expirations) based on historical variation of stock data, considering a window of 1, 3, 5, 10 and 15 years, which were aggraged by mean in unique column as you can see in dataframe.
In order to avoid collateralized operations (sell options), only buy options were considered in this model.
Technical Variables
🆔 Tickers:
ETFs: Top 30 Popular
Stocks: Top 50 US
🗓️ Calendar: 2024
📝 Right: Call and Puts
⏱️ Expirations: All
💧 Liquidity: Vol>10 and OI>10
2️⃣ Premium: Bid (Limit Order Purchase)
🧮 Indicators:
Avg: Average
Dev: Std Deviat
Max: Maximum
High: 3/4 Quartile
Med: Medium
Low: 1/4 Quartile
Min: Minimum
📐 Windows: 1Y, 3Y, 5Y, 10Y, 15Y
⛔ Filters: Avg>0 and Med>0
🚦 Sort: CAGR Min (Worst-case scenario)
🥇 Limit: 3 by Ticker, 20 in total
💿 Source: MarketWatch, YFinance
