The XMIM Options Tester is a back-testing utility specifically designed for historical evaluation of complex option positions and strategies using historical end-of-day bid and ask price data for valuations. The XMIM Options Tester can be used either programmatically, in a batch mode, to handle large, repetitive tasks, or as a GUI desktop application. The XMIM Options Tester uses detailed historical option data feeds with daily updates dating from 1996 to the present as well as futures option data. The option data is quality assured and the greeks are calculated from the end-of-day bid and ask prices. LIM also offers a value-added data set called Option Relative for performing relative calculations over time. All option contract detail is converted into continuous historical series by a given option's relative "moneyness" and time to expiration.
The XMIM Options Tester offers the flexibility to study past performance of option strategies by combinations of:
- Changes in option greeks, open interest and volume
- Option and underlying market statistics
- Date and time condition
- Economic and market events
The XMIM Options Tester enables you to:
- Perform complex spread analysis
- Create cross-market and cross-underlying portfolio analysis
- Utilize rollover adjustment capabilities
- Analyze volume and open interest to predict the realistic probability of execution
- Measure underlying vs. implied volatility
- Analyze spikes in volume and changes in volatility
- Back-test strategies using historical, fundamental, and event-driven analysis
