Python Scripts for Backtesting SPX Put Strategies Using Black-Scholes Proxies
The code here will be used to run through historical backtests based on SPX, VIX, and SKEW index Open and Close prices to proxy a short put strategy. The goal of this is to test the following questions:
- When is it better to sell daily, weekly, monthly, or quarterly options?
- What is an optimal risk-management system, e.g.,
- Stoploss based on option price
- Stoploss based on spot index price distance to strike
- Stoploss based on implied volatility
- Stoploss based on historical volatility
- Stoploss based on ratio of IV/HV
*Note that data prior to 1996 for VIX will be proxied by VXO
http://www.cboe.com/products/vix-index-volatility/vix-options-and-futures/vix-index/vix-historical-data https://www.cboe.com/products/vix-index-volatility/volatility-indicators/skew