Another algorithm for crude

We are building an option price index based on a call price index and put price index. When dividing the CPI/PPI we get the OPI.

If the OPI falls, we take bidder’s side. If it rises, we go to the ask’s team.

Doing this since July 27th 2009 the equity curve would look like:



26% total return (crude has done 19% since) and the good news is that we got a z-value = 1.8 which suggest a little more effort in risk and money management and we might have tradable idea either in the USO or in the CL future.

pd. The OPI is based on the “oiwap” of all options available. It weights the last quote of each option against the total open interest. Oiwap = open interest weighted average price.

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