How to create an Excel table containing butterfly prices

Discussion in 'OptionVue Forum' started by Kevin Lee, Feb 24, 2016.

  1. Kevin,

    I started importing data into Excel from OV as per your video.

    Once I had the pivot table finished and populated, I returned to OV to the enter the same butterfly (30 points below spot).

    For one, the price is very different between OV and using (Bid+Ask)/2, but more important, the price direction movement is not the same:
    In the third column, the butterfly price was up (12.75, +0.4) but down in OV (10.24, -0.42).
    The same issue is to be found in column 5 (up in the sheet, down in OV), etc...

    I can see how useful this would be for me to learn and observe price movement of butterflies, the questions is which numbers truly represent the price change ?

    Thanks,
    Jeff

    upload_2018-7-31_15-5-31.png
     
  2. Kevin Lee

    Kevin Lee Well-Known Member

    Sorry not sure I understand your question. What are the two sources you're comparing? OV backtrader data vs what?
     
  3. The data with the cyan background is from OV to Excel as you have shown in the video. Since there is no mid-price, I used your formula: (Bid+Ask) / 2

    The data on the "OV Price" line is the same butterflies, same date, same expiration, but this time I entered them directly in OV like this:

    upload_2018-7-31_18-51-45.png

    I understand that the mid-price is different and thus we get a different price for the butterfly.

    I'm concerned that the observation of butterfly pricing and skew change will be unreliable if one method shows me the price is going up while the other method says it's going down.
     

    Attached Files:

  4. Marcas

    Marcas Well-Known Member

    Jeffrey, not being user of OV, I can only speculate.
    I have seen that in OV you have a choice to use different methods to obtain MID prices. It is cool feature. Discrepancies may be result of OV on your computer using one of those setups, not simple formula you are using in spreadsheet. If this is not the case I would contact OV team directly for explanation. OV had or still have a bug that sometimes shows different greeks for seemingly same inputs, I don't think MID is similar but who knows. It is good to know your trading software well.
     
  5. Kevin Lee

    Kevin Lee Well-Known Member

    Since I did the video, OV has already added "Mid Price" as one of the download items. Try that. Then compare the downloaded mid price of the individual option with what you see on OV. If there is a difference, then it's a bug. You should report that to OV.
     
  6. Kevin, Marcas,
    Sorry to have disturbed you for nothing.
    Everything works perfectly well.
    I had circled the wrong butterflies (the ATM instead of 30 points below), that's why I was getting the wrong price comparaison.

    I now want to compare also the ratios between:
    Upper Long IV / Short IV
    Upper Long IV / Lower long IV
    Upper long price / Short price
    etc...
    to get a feel of how all the parts are moving. I'll work on this.
    Thanks.

    upload_2018-8-2_9-9-26.png
     

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