Bid Ask Spread
Good day is there a way to filter based on bid ask spread or factor conservative ie buying the legs on the ask and selling on the bid? Curious if I can also filter for iron condors based on two standard deviations from current price.
AdminEd Kaim (Founder, Quantcha) commented
Our modeling defaults to market pricing, so we almost always use buys at offer and sells at the bid. The one exception is that some parts of the platform also support midpoint pricing, which you have to select.
There are multiple ways to screen for condors. We don't explicitly support what you're asking for as a direct feature, but it's possible to get the results you're looking for.
If you're using the option search (specific stock and expiration), then you can widen the underlying price model to get wider middle strikes.
For the global screeners, you can find really wide condors by lowering the max assignment probability. For example, if you set the max to ~10%, you'll get trades that have short strikes around the 2-vol mark.