No. of Recommendations: 0
and, from among those, the cheapest in terms of implied interest rate, deep in the money

Some would use implied volatility to find relative cheapness. In what way do you find your conclusion differs using your implied interest rate method? Don’t get me wrong, I actually find your math very satisfying, but just wondering since implied volatility was published on many sites last I checked.

Along the same lines, since you are doing your own math, do you have an API hook to bring live option prices into Excel or a Google sheet to do this math, or are you just doing a simple download?

Somebody asked about a backtest. I did a quick test from Jan 2000 to present, fairly conservative.

That was me; thank you for that detail. Very interesting to see that I guess you are juicing your returns maybe 1.23-1.44x for your effort of adding leverage.

Same method but using 2:1 leverage when appropriate moved the improvement up to 3.94%/year for an end return of 13.27%.

When is 2:1 leverage appropriate?
Print the post  


What was Your Dumbest Investment?
Share it with us -- and learn from others' stories of flubs.
When Life Gives You Lemons
We all have had hardships and made poor decisions. The important thing is how we respond and grow. Read the story of a Fool who started from nothing, and looks to gain everything.
Contact Us
Contact Customer Service and other Fool departments here.
Work for Fools?
Winner of the Washingtonian great places to work, and Glassdoor #1 Company to Work For 2015! Have access to all of TMF's online and email products for FREE, and be paid for your contributions to TMF! Click the link and start your Fool career.