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Blog
Research Insights
Research Insights
An exploration of actionable, digestible research to help optimize your strategies.
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optionalpha.com/category/research-insights
Research Insights
Trade Ideas Performance: Analyzing Option Probabilities & DTE
We analyzed more than 1.7mil Trade Ideas across various days to expiration in November 2023's volatile market to uncover key insights about the performance of Expected Value and Alpha.
Robert Cernera
Nov 27, 2023
•
6 min read
Research Insights
Beyond Entry: Addressing the “Moment in Time” Problem in Option Profit Probabilities
We explore if options probabilities remain predictive throughout a trade's duration to determine if probabilities are always valid, no matter the moment in time they're calculated.
Robert Cernera
Nov 7, 2023
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5 min read
Research Insights
Evaluating Alpha: The Anticipated Return on Risk per Trade
Our newest research blog explores Alpha, which measures return on risk using Expected Value. We analyzed 960k trades on 155 tickers to determine Alpha’s accuracy.
Robert Cernera
Oct 13, 2023
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6 min read
Research Insights
Black-Scholes Model: Why Option Alpha Uses Historical Volatility to Calculate EV
This study examines the Black-Scholes-Merton model's flexibility in calculating expected value. We explore how this formula allows us to calculate probabilities and expected values in multiple ways, and we’ll compare the different methods to show why Option Alpha uses historical volatility.
Robert Cernera
Sep 20, 2023
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6 min read
Research Insights
How to Calculate Expected Value: Simple EV, Simple-Partial EV, and Real EV
We share the three EV calculations you can use with the information available in any brokerage platform and compare the methods to determine their accuracy.
Robert Cernera
Sep 5, 2023
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6 min read
Research Insights
Trade Ideas Probability & Performance: Expected Value vs. Realized P/L
We analyzed 130k Trade Ideas positions to visually compare each trade's realized P/L to its Expected Value at trade entry.
Robert Cernera
Aug 17, 2023
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6 min read
Research Insights
0DTE Options: Strategy Insights from the Top Performing Trades
We analyzed 230k 0DTE options trades to determine what successful Option Alpha traders are doing and the key metrics that influenced profitable strategy setups.
Robert Cernera
Aug 8, 2023
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10 min read
Research Insights
Trading the Opening Range: Mean Reversion vs Trend Following
How has market volatility impacted intraday mean reversion and trend following strategies? We analyzed the first trading hour in SPY to understand intraday mean reversion vs. trend following signals.
Steve Henry
Oct 31, 2022
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4 min read
Research Insights
0DTE Options Strategies: Insights from 25k Trades
We analyzed over 25,000 0DTE option positions traded in the autotrading platform to assess what worked and how traders set up short-term trading strategies.
Robert Cernera
Aug 18, 2022
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7 min read
Research Insights
We Analyzed 20,000 Options Trades: Here’s What We Learned About Position Swings
We studied over 20,000 trades to measure the average time between return extremes over the life of a trade. From all that data and research, see what stands out.
Kirk Du Plessis
Mar 25, 2022
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4 min read
Research Insights
3 AAPL Bullish Options Strategies Backtested
Bullish on AAPL stock? Use Option Alpha to backtest three bullish strategies and compare the results, or search a database of AAPL options strategies.
Steve Henry
Mar 21, 2022
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5 min read
Research Insights
Rising Interest Rates: Taper Tantrum or Opportunity?
Investors expect interest rates to rise this year. We studied four similar environments to deliver the context you need for today’s market.
Kirk Du Plessis
Jan 27, 2022
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5 min read
Research Insights
Is the “Golden Bull Market” Finally Ending?
20 years of data suggests this bull market may not be over yet, and the positive momentum could continue into the new year.
Kirk Du Plessis
Jan 3, 2022
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4 min read
Research Insights
5-Year SPY Put Credit Spread Backtest
Using our Backtester, we explored the historical performance of SPY put credit spreads to help determine the entry and exit criteria that best fit your trading objectives.
Kirk Du Plessis
Nov 17, 2021
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7 min read
Research Insights
Tail Risk Pricing Post-Pandemic
VIX and SPX tail risk pricing is astronomically high compared to before the pandemic. What has happened to the price of downside protection? Find out here.
Kirk Du Plessis
Oct 20, 2021
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9 min read
Research Insights
Bid-Ask Spread Anomalies: 5 Questions Answered
We answer five key research questions about bid-ask spread volatility and explain how these answers can threaten or inform your trading decisions.
Robert Cernera
Aug 4, 2021
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18 min read
Research Insights
Bid-Ask Spread Anomalies: Risk and Opportunity
Learn how bid-ask spread anomalies bring unique risks and opportunities in options trading with this SPY case study.
Robert Cernera
Jul 14, 2021
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8 min read
Research Insights
Bid-Ask Spread Expectations
What is the "personality" of your favorite ticker? Do you know what the bid-ask spread of the specific underlyings you trade should resemble? Learn about bid-ask spread expectations here.
Robert Cernera
Jul 7, 2021
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5 min read
Research Insights
Bid-Ask Spread Volatility Explained
This case study examines the intraday price volatility of a TLT iron condor to illustrate the forces at play beyond the options Greeks affecting a position's bid-ask spread.
Robert Cernera
Jun 9, 2021
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4 min read
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