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:

image

 

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.

Leave a Reply

Fill in your details below or click an icon to log in:

WordPress.com Logo

You are commenting using your WordPress.com account. Log Out /  Change )

Google photo

You are commenting using your Google account. Log Out /  Change )

Twitter picture

You are commenting using your Twitter account. Log Out /  Change )

Facebook photo

You are commenting using your Facebook account. Log Out /  Change )

Connecting to %s