Options backtesting model that uses Black-Scholes options pricing model to price the option 3% above or below (for call or put) current price as well as the option $5 further OTM of the first strike to calculate the theoretical spread credit received if the option spread were sold and executes trade based on oversold and overbought RSI levels.
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Options backtesting model that uses Black-Scholes options pricing model to price the option 3% above or below (for call or put) current price as well as the option $5 further OTM of the first strike to calculate the theoretical spread credit received if the option spread were sold and executes trade based on oversold and overbought RSI levels.
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WealthCreating/Options-Backtesting-Prelim
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Options backtesting model that uses Black-Scholes options pricing model to price the option 3% above or below (for call or put) current price as well as the option $5 further OTM of the first strike to calculate the theoretical spread credit received if the option spread were sold and executes trade based on oversold and overbought RSI levels.
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