Quantitative Research

Quantitative Research and Analysis

With over a decade of research in the field of options, we provide our clients with insightful empirical data that can be directly applied to their option trading systems.

Our programming department plays an important role in our data research.  Our staff holds a PHD and Masters in computer science, completing courses in mathematical analysis, probability theory and statistics.

Some of our work:

  • Backtesting of strangle trading systems
  • Backtesting of credit spread trading systems
  • Backtesting of naked calls and puts trading systems
  • Backtesting of ratio spread trading systems
  • Backtesting of unbalanced condor trading systems
  • Backtesting of iron condor trading systems
  • Tested accuracy of POP calculations
  • Tested accuracy of broker margin systems
  • Tested historical VAR of many spreads
  • Tested accuracy of Black Scholes formula calculations
  • Tested impact of dividends on option Greeks
  • Tested correlations price and volatility correlations
  • Tested tickers correlations
  • Tested random price distribution vs. statistical distribution
  • Tested horizontal volatility skew modeling
  • Tested vertical volatility skew modeling
  • Tested correlations of theta to immediate and changing risk
  • Testing systems to predict price direction with up to 76% accuracy
  • Testing systems to predict volatility shifts
  • Developed system to calculate volatility reversion
  • Patent-pending volatility reversion application
  • Patent-pending statistical probability application
  • Patent-pending volatility ranking system
  • Patent-pending Greek correction system
  • Patent-pending instant backtesting system

Are you ready to turbo-charge
your fund with SJ Advisor™?

Schedule a Demo