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Wednesday, March 6th 2019

Backtest Weekly Options in SPX

Backtesting short-term SPX index options strategies with weekly and quarterly expirations.

Summary

The backtester can handle short-dated SPX trading strategies with weekly and quarterly expirations. By 2013, SPX had enough weekly and quarterly options to make short-dated strategy testing meaningful. The CBOE started weekly options in 2005, and by March 6, 2014, weekly options were available on more than 325 securities. Various strategies, exits, and combinations can be selected to create endless possibilities.

We get asked often if the backtester can handle short dated SPX trading strategies.

YES!

The Cboe started one week expirations in 2005 as a pilot. By March 6, 2014, weekly options were available on more than 325 securities. Here's the complete list on the CBOE site.

By 2013, SPX has enough weekly and quarterly options to make short dated strategy testing meaningful. for example, at the start of 2013 the SPX had these short term expirations:

  • 1/4/2013
  • 1/11/2013
  • 1/19/2013
  • 1/25/2013
  • 2/1/2013
  • 2/8/2013
  • 2/16/2013

You can set up the strategy to only run after that date.

Above is a calendar spread strategy on short term options.

With the ability to select various strategies, exits, and to combine strategies the possibilities are endless.

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