Options Tool

[rolly1]

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

 

[wayneL]

Trading and Investment Tools | Hoadley

Options Trading and Portfolio Investment Analysis and Design Tools by Peter Hoadley. Includes software for options analysis, asset allocation, portfolio optimization and analysis, risk management, value at risk (VaR), volatility and correlation estimation, real-time data, and much more.

www.hoadley.net

 

[Chipp]

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

TradeFloor - Where Trading Begins.

TradeFloor helps options traders manage and predict ASX Exchange-Traded Options (ETOs) SPAN margins, understand risk & exposure, and track profit & loss. We are striving to make options accessible to everyone, regardless of trading knowledge, and provide valuable insights into the risk and...

traderscircle.tradefloor.com.au

 

[rolly1]

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

 

[wayneL]

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

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.

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

 

[VolatilityBlake]

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.

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

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:




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

 

[rolly1]

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 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.

 

[VolatilityBlake]

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.

Hi @rolly1,

I agree with what you're saying there regarding the payoff on calendars. I would make the comment that payoff models for calendar trades are probably one of the least useful tracking tools, because during the trade you're taking an expiration date, theoretically, yes you could technically have a graph by no means would it be an accurate representation of an outcome.

Say you've got a long call on XJO at 7800 for Sept, and a short call at 7850 for Aug - yes you could run a payoff until Aug for decently accurate results, but there's too many variables after that. What if XJO goes to 7900 in AUG - you'll have a realised loss in the short call but unrealized on the long call - potentially negative buying power in your account - you get what I'm trying to say - just really think about outcomes here. I think there's better ways to track calendars (more from an overall portfolio view (with stress testing) rather than an isolated trade view). Or manage 1 leg at a time and track Greeks that way.

The Volatility platform has IV adjustment (Stressed IV on the pic I sent) over time too. It sounds like you just are looking for more data points? Price level & Time?

Or isolate IV over time like this: (the tech guys just drew this up for me).



Really not that difficult to add. the data points they have currently are split into quarters until expiry, and prices determined by standard deviation - adding more data doesn't necessarily give better results, sometimes more information to sort through & over analysis of what we're trying to achieve (putting winning trades on)

No question the US market has better infrastructure, so much more activity - us Aussies have to start somewhere. I know the Volatility guys are pressing to provide better options information - which will attract more participants, innovation and cheaper prices. Someone's got to start, because clearly our big broking houses here don't care too much for ASX ETOs (yet )

Let me know.

Cheers,
VB

 

[rolly1]

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.

 

[VolatilityBlake]

@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

 

[wayneL]

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.

Vega, bro.

 

[rolly1]

Vega, bro.

Sell peak gamma ;-)

 

[rolly1]

@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

I'll take a look

 

[wayneL]

Gamma

Sell peak 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.

 

[rolly1]

Vega, bro.

Sorry I thought you were talking about my naked selling.

 

[rolly1]

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.

Look you are right you are most likely not gonna run to expiry with the cal as peak profit is at the sold strike.

 

[rolly1]

Hey just wondering if you guys trade options on the ASX and if so does your broker allow you to trade in the first 30 minutes? Thx