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Systematic Options Trading: Evaluating, Analyzing, and Profiting from Mispriced Option Opportunities by Vadim Tsudikman, Sergey Izraylevich

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Part II. The Main Areas of Criteria Application

While describing the concept of systematic approach, we define the main principles for selection of superior option combinations from a large initial set. The sequence of procedures involved in the selection process is presented as a reduction of a three-dimensional matrix of the initial set, realized in the series of consecutive operations.

The first operation is the selection of the best option combinations for each conjunction of underlying assets and strategies. The second operation corresponds to the selection of the best strategies for each underlying. Finally, the third operation represents a choice of the optimal number of underlyings for each option strategy.

All the three operations ...

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