I'd say you're right on, Sean. You might be able to generate some
theoretical prices but if I were an institutional investor looking over
backtesting results then I probably wouldn't believe it.
Also, you may need to look at the temporal distribution of trading
activity (good luck with that) because options do not always trade
consistently. Many of the data points could therefore be stale in
relation to when your system might need to take a trade.
Mark
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Posted by: drklein01@gmail.com
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