I Needed Money, So I Started QData Trading

Technology Setup

For this to work, all you need is access to a laptop/desktop. We will be running two programs for this strategy: OpenBB and Options-Quant.

https://openbb.co/
https://options-quant.com/

Strategy

This strategy involves finding the true, fair price of an option that is currently classified as having unusual activity. So, for example, if a call option has a volume of 30,000 but an open interest of just 800, this will be classified as unusual activity, with a Volume/OI ratio of nearly 40x. After seeing this, we will price the option with our model of choice to see if the price holds hidden information or if all extra information is already priced in.

The Trade

On June 3rd, we decided to test and see if we could exploit any of these unusual movements.

stocks/options/unu

Wrap-Up

In this trade, we sought data to sort and isolate options with unusual activity and potentially hidden information. We then priced that option with a sophisticated model, to see whether the price was fair and reflective of market conditions. After realizing that the market price was indeed, too low, unfair and “incorrect”, we opened a trade to reflect the imbalance. The price converged to our calculated value, and we secured a profit.

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Quant Galore

Quant Galore

10.4K Followers

Blog for future quants and those interested. For contact and to dive deeper, visit me at: https://quantgalore.substack.com/