Quantcast
  1. This site uses cookies. By continuing to use this site, you are agreeing to our use of cookies. Learn More.

New Volatility Settings

Discussion in 'OptionNET Explorer' started by Al G., Nov 5, 2015.

  1. Al G.

    Al G. Well-Known Member

    In Options Net Explorer latest version they now include Volatility Settings, but off course NO documentation on how these settings work. Can someone please provide some insight on what the optimal settings would be in ONE so that I can get to the OV Modeling as close as possible?

    Current ONE Setting Parameters:
    CEV - Defaults to 0.70 (Should I check this, if so what number)
    Volatility Surface Check box (Check off -yes or no)
    Combine Call / Put Check box (Check off -yes or no)
    Smooth Check box (Check off -yes or no)

    Thanks,
    Al
     
  2. Andrei

    Andrei Well-Known Member

    Al,
    I am also trying out ONE and working on understanding he new Beta functionality. I am not sure where you see some of the settings and check boxes.
    In the Control Tab I see:
    CEV check box, but not the default setting of .70
    I see Vol Surface
    Where do you see Combined Call/Put Check box?
    Same about Smooth Check box?

    Now if you click the gear next to CEV box you should see BETA version of manually configured CEV settings.
    These settings make a big difference in T+0 line. I am not yet fully comfortable with how they work, but Andy suggested the following to "tune them up":
    "I would recommend changing these settings until you see the position reflect an accurate projection and Greek numbers. We find using the 'Overlay All Intra-Day Prices' setting on the Risk Chart to be extremely useful for this (right mouse click on the Risk Chart to access this menu)." If the overlay from some previous days fits the T+0 then the setting should provide reasonable projections of the line. It looks like days with a lot of movement are the best for this purpose.
    See the attached image with the CEV Gear clicked. As you can see T+0 does NOT yet fit the price overlay.

    upload_2016-2-7_12-0-46.png
     
  3. Al G.

    Al G. Well-Known Member

    Thanks Andrei, what worries me is that if we assume that TOS Smile is accurate, when I look at my RT trades the Delta is way off between ONE and TOS Smile, I have read in a SKYPE forum that this problem is related to OTM options, but I do not know the timetable. If you correspond with Andy perhaps he can offer insight. As an example I have RUT unbalanced IB 10 lot 68 days out, ONE is showing delta of 26, TOS Smile is showing a delta of 7.49. Suprisingly, the other greeks are very close.
     
  4. dacamon

    dacamon Member

    Andrei, does it mean we need to adjust cev settings manually until t+o line fits? But then can we assume that is going to work for tomorrow?


    Sent from my iPhone using Tapatalk
     
  5. Trader G

    Trader G Well-Known Member

    I would be curious to see if there has been any clarification regarding the ONE and TOS smile discrepancies?
     
  6. Al G.

    Al G. Well-Known Member

    With the latest ONE release, if you click on Volatility Surface and Sync and do NOT check CEV, the greeks are fairly close between ONE and TOS Smile.
     
    GreenZone likes this.
  7. Trader G

    Trader G Well-Known Member

    Thanks! I really like ONE's ease of use when I had it, but I couldn't depend on the greeks so I got rid of it. One last question. I know that the TOS smile skews the p/l, is it incorrect in ONE as well with the settings you describe?
     
  8. Al G.

    Al G. Well-Known Member

    In ONE the P&L shown is correct.
     
  9. Andrei

    Andrei Well-Known Member

    I use ONE and TOS smile. My observation is that:
    Smile and One with CEV can show significantly different deltas ATM and to the left of the short strikes. They both show similar deltas outside of the tent to the right.
    TOS individual and ONE with CEV are often pretty close
    TOS Individual and ONE no CEV are very close.

    Other Greeks are close for all settings.

    I use ONE for trade P/L tracking and as a reference, using CEV. I never make decisions without checking TOS Smile.
    The last year's problems with the "new" OV taught me to crosscheck deltas on different platforms.

    BTW these observations are for RUT with about 30 DTE. Deltas for SPX RT trades with many more days to expirations are much closer, but that should be expected.
     
  10. Trader G

    Trader G Well-Known Member

    I was looking at signing up again for ONE now that they have made the volatility setting changes. If I am reading this right, it sounds like ONE still cannot accurately track a position's greeks (with TOS Smile being the greeks measured against)?
     
  11. Trader G

    Trader G Well-Known Member

    Hello,
    For those of you trying to match up TOS smile with ONE can you tell me what settings you are using? I have a May M3 (right of tent thanks to the move today) and my TOS is showing Delta -15.68 Gamma .53 Theta 11.87 vega 38.66. ONE shows delta -16.31 gamma .43 theta 16.34 and vega 2.62 . I am using the vol surface and sync checked but not CEV. The discrepancy between the two vegas is what I am concerned about. P&L is way off between the two but I expected that. T+0 are pretty close but this trade was put on yesterday so that isn't surprising. Thanks!
     
  12. Jason A

    Jason A Member

    Hi everyone. Any progress in trying to sync the Greeks between ONE and TOS .
     

Share This Page