Short-term signal prior to open
Author: tedpenner
Creation Date: 1/3/2017 8:38 PM
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tedpenner

#1
I'm looking to try out a day trading strategy for trading options based how volatile they might be after the market opens.

I'll manually execute the algorithm each day prior to the market open.

What variables might I look for to achieve this objective?

1. If volatility is predicted, then manually consider trading that symbol against my algo.
2. If volatility is not predicted, then don't look to trade it.

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Eugene

#2
So what is the obstacle? What do you mean by "variables"?
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tedpenner

#3
Beta
Net Chnge
% Change
Historical Volatility

If I am looking for an optionable symbol to day trade (in/out the same day) from among penny increment symbols, what measure might you use to determine the likelyhood of movement in either direction, for the upcoming trading day?
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Eugene

#4
QUOTE:
Beta
Net Chnge
% Change
Historical Volatility


Net Chnge (Momentum)
% Change (ROC ?)
Beta
Historical Volatility