FT79,
I'm concentrating on the DAX at the moment.
Not touched FTSE options for ages. I think you'll find the relatively high volumes of late are simply a reflection of the current volatility/uncertainty. Once this eases, the volume will really drop. Doesn't compare to the DAX, Stoxx options re liquidity.
I write my own real-time options pricing/analysis programmes in Excel. Currently, I'm fine-tuning a programme to identify volatility spread trades, ie long low vol vs short high vol. Potential positions are intra/inter month calls, same for puts, possibly calls vs puts. Long low vol/short high vol vs future may also be viable. Combinations and permutations are enormous. Now, if you combine two close markets, eg DAX and Stoxx, over four, five expiries, the number of theoretical positions gets serious (work it out) - long low vol DAX vs short high vol Stoxx. We'll see.
I monitored daily atm implied for FTSE options over a two-year period (this was a few years ago). If the results, derived from the predictive power (c 85% accuracy) of atm implied can be replicated, then the potential is excellent.
However, I need to extend my historical data. I've been calculating average implied (from all strikes traded) as a proxy for atm. Unfortunately, it's sh?t. At the suggestion of one of the best contributors (NotQuiteRandom) to T2W I now monitor implieds on a delta, rather than strike, basis especially 0.25 (as a proxy for otm), 0.50 (atm) and 0.75 (itm). These form the basis for comparative analysis. Whether they yield anything of value, time will tell.
What strategies/analysis are your interest?
Grant.
