I introduced the Option Income Strategy Universal Filter (OISUF) in my recent article Option Income Strategy Trade Filters: An In-Depth Article Demonstrating the Use of Trade Filters to Enhance Returns and Reduce Risk. The Kindle version ($9.99) of the article is now available on Amazon. The print version ($14.99) should be available on Amazon in approximately five business days.
The article and the proprietary OISUF algorithm represent the culmination of years of research into developing a systematic framework for optimizing the timing of Option Income Strategy (OIS) trades. The research was based on the analysis of 15,434 OIS trades, each with a comprehensive set of objective, tradable entry and exit rules.
I encourage you to read the article for a detailed explanation and analysis of trade filters that can be applied to option income strategy trades.
Option Income Strategy Universal Filter
The OIS Universal Filter (OISUF) is a standardized metric calculated by an algorithm that exclusively uses historical and current prices and implied volatilities. The volatility index is used as a proxy for implied volatility, which limits the application of the OISUF to underlying securities that have corresponding volatility indices (see video demo below).
The OISUF algorithm has very few parameters. It captures the fundamental relationships between price, implied volatility, and OIS performance. It was not derived from a specific dataset and the parameters were not optimized. As a result, the parameters in the algorithm will never change and will never be re-estimated. The limited number of non-optimized parameters greatly enhances the robustness of the OISUF.
The OIS Universal Filter is available via a monthly e-subscription. Please see the dedicated OIS Universal Filter page for more information and ordering details.
The first part of the video below introduces the OIS Universal Filter and provides an overview of the results. The second part of the video includes a demo of the OIS Universal Filter spreadsheet.
Kindle Version of Brian Johnson's New In-Depth (100+ page) Options Article is Now Available on Amazon. Print version should be available next week.
Print and Kindle Versions of Brian Johnson's 2nd Book are Available on Amazon (75% 5-Star Reviews)
Print and Kindle Versions of Brian Johnson's 1st Book are Available on Amazon (79% 5-Star Reviews)
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