Re:Show HN: With a 9-5 job and 2 kids I have finally finishe...
by behrlich on Thursday August 26, 2021 @08:33PM
(#28322909)
If you had a delta filter I would never use the ITM/OTM setting. It is useful to have the % ITM/OTM in the output, but not as a filter, for my use case.
In case it helps, my normal filter is something like:
- Type: PUT
- Days to expiration: 20 - 40
- Delta: -.30 - -.20
- Open interest: >100
- Premium: >$1
- Underlying price: >$50
- IV: 10% - 30%
That gives me a range of out-of-the-moneyness I'm looking for, but I don't care what the absolute % is.
In case it helps, my normal filter is something like:
- Type: PUT
- Days to expiration: 20 - 40
- Delta: -.30 - -.20
- Open interest: >100
- Premium: >$1
- Underlying price: >$50
- IV: 10% - 30%
That gives me a range of out-of-the-moneyness I'm looking for, but I don't care what the absolute % is.