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- 21 November 2007
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Hey peeps so I am after an option modelling program that will do the aussie market and in particular the xjo. I use IB and while their fees are pretty cheap their option modeller is crap. Thx
Hey peeps so I am after an option modelling program that will do the aussie market and in particular the xjo. I use IB and while their fees are pretty cheap their option modeller is crap. Thx
Like everything, it is a model and any model can only give you a snapshot of this moment. The market is dynamic as are the Greeks within the moment.Hey guys thanks for the replies. I have looked at Hoadley's before and UI is not the best and a bit time consuming to do multiple things. Trade Floor was ok for a first attempt but a bit clunky and that that good of a UI. I was hoping for something like below that will do our market but the search continues. Thx anyway for your suggestions.
Diagonal Call Spread | OptionStrat Options Profit Calculator
Calculate potential profit, max loss, chance of profit, and more for diagonal call spread options and over 50 more strategies.optionstrat.com
Agree with you here @wayneLLike everything, it is a model and any model can only give you a snapshot of this moment. The market is dynamic as are the Greeks within the moment.
You can model future changes but once again it is only a subjective model. In my opinion one must have a rich mental map of how the Greeks may change with changes in volatility. If / then scenarios are subjective
Nothing is going to give you a totally accurate profit and loss prior to expiry. Even probability of assignment, though seemingly logical, vis a vis remaining extrinsic value can throw up some illogical surprises.
FWIW
Hi VB, yea had a look at the site you mentioned, UI is great and it is a great first start but still needs some work like for example doesn't handle diagonal/calendars very well.Agree with you here @wayneL
Payoff diagrams are only accurate after the open options have expired; there are too many moving parts in between the start and end of the trade to have an accurate valuation; although I'd say it's helpful to understand how a position might change over the time of trade (but not to solely rely on). Also depends on the strategy you're trying to model, a credit spread model would be more accurate than a ratio spread for example.
The big point is that models are theoretical - anyone who has traded options knows that the THEO price vs the actual price can be quite different in many situations, Option Skew, Supply vs Demand can be examples that will affect the strategy value.
What type of strategies are you trying to model @rolly1?
The payoffs at https://volatility.com.au/ look like this below:
View attachment 180340
View attachment 180341
Then once you're in the position you can manage with Greeks from the portfolio, from a trade or portfolio level. Then beta weighted stress tests over the index (much like how ASX clear determine risk)
Good luck with it all.
Cheers,
VB
Hi @rolly1,Hi VB, yea had a look at the site you mentioned, UI is great and it is a great first start but still needs some work like for example doesn't handle diagonal/calendars very well.
Lets say I want to model a fly, I want to see how a strike touch of the body at day 1 or day six looks like, drop the vols a bit that sort of stuff. I'm lucky if an expired payoff diagram will load in IB.
It's the usual case the yanks get all the best programs, cheapest fees etc and we get s**t.
Thx for your reply anyway.
Vega, bro.Hey Blake thx for the reply see below for comment.
In regards to your calendar comment "by no means would it be an accurate representation of an outcome" have to disagree there at the first expiration date it is perfectly accurate right up to the last minute.
"yes you could run a payoff until Aug for decently accurate results" I think you agree with what I said above then I think
"I think there's better ways to track calendars (more from an overall portfolio view (with stress testing) rather than an isolated trade view)" Each of my option trades are standalone positions with risk mostly known from start unless I am doing alot of naked stuff then I might look at total portfolio position to see where my holes are.
"It sounds like you just are looking for more data points" yep it seems strange they go like 9 days apart for points
"adding more data doesn't necessarily give better results" but it gives a clearer picture in my opinion
Basic knowledge of the greeks is all you need, cause at the the end of the day you either have to predict price or vol to make money with options. Knowing 3rd order greeks won't help.
Sell peak gamma ;-)Vega, bro.
I'll take a look@rolly1 Today is our lucky day, I spoke with the team at Volatility, and they agree to add more data into the payoff diagram and model, plus create a calendar spread diagram to show results up until the first leg. Who thought all we had to do was ask
I send over the link from optionstrat from your previous post as a guideline. Is that ideally what you'd use?
BTW I don't disagree with what you're saying above, everyone looks at different information to enter and exit trades; that's what makes the market the market.
Probably a great time to provide any further feedback on the system (and maybe create your dream AUS trading platform?) - jump on and give the system a whirl on the Simulation accounts and let me know what you'd like to add. Invitation for all:
DM me maybe with suggestions:
https://volatility.com.au/
Cheers,
VB
Gamma is irrelevant at the last minute, vis a vis expiry of the near term option, and to be honest so is Vega. However, assuming the spread is to be wound up at the expiry of the near term option, Vega is the most profound and unmodelable(sic) influence in your profit and loss at inception, especially at maximum Gamma/nearest to strike.Sell peak gamma ;-)
Sorry I thought you were talking about my naked selling.Vega, bro.
Look you are right you are most likely not gonna run to expiry with the cal as peak profit is at the sold strike.Gamma
Gamma is irrelevant at the last minute, vis a vis expiry of the near term option, and to be honest so is Vega. However, assuming the spread is to be wound up at the expiry of the near term option, Vega is the most profound and unmodelable(sic) influence in your profit and loss at inception, especially at maximum Gamma/nearest to strike.
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