Picking Delta That Follows Historic Trends

[MysticDakra]

Describe the Strategy Hypothesis: There's a certain weekly upside call delta that for some reason the market always tends to "settle" to.

1. Start on the day you'd want to sell the next week expiry's call;
2. Write down all the strikes + deltas they are at that point in time;
3. Fast forward to expiry and where spot settles;
4. For any settlements where spot settled at one of the snapshot's call strikes (upside), what was the delta;
5. Look at all the historical delta settlements, maybe there's an interesting pattern;

Research Needed Analyze Historic Delta Data https://github.com/IV-League-DAO/option-trading-simulator/issues/9

Tasks Use the steps above to create a strategy utilizing the Historic Delta Data

When is it considered Done? If we can utilize the Historic Delta data for this and there is a pattern create a strategy around this

Assignees Needs: Financial trader / expert - write paper algorithm for this