Just for fun I rewrote my futures-options premium-hunter tool in R in addition to my other projects. Actually it was more than for fun. I don't do one of my better "have-an-edge" strategies very often for two reasons: 1) it has intimidating non-linear risk, and 2) it's a hassle to fiddle around with the data I like to see to make a decision; often it takes me 45 min or more so I usually say "why bother, time for lunch or I gotta pick up the kids at school soon." Now I can kick it out in 30 seconds rather than an hour. It still has scary non-linear risk but that's a different issue. Here is the R version so far with example using March soybeans (ZS); focus is on short options:
Here is a good chart showing some strong skew and where one could go for some vol risk prem which looks pretty expensive right now on the downside. This is SPY this afternoon when I was testing software. Me, I'd maybe take the other side in this case and sell calls (with a close chart-based stop because we have run the market pretty well the last week or two). Either way I probably won't really take a position in real life since I don't have enough strong reasons or a point of view...yet:
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