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ONE with CEV (beta)

Discussion in 'OptionNET Explorer' started by Jim Clements, Jan 25, 2016.

  1. Jim Clements

    Jim Clements Active Member

    I have a Feb BB trade I am tracking in OV and in ONE beta with CEV enabled. The Greeks are close in both, except for Gamma: OV Gamma = -0.35, ONE Gamma = -5.74.
     
  2. Andrei

    Andrei Well-Known Member

    Interesting. Hard to judge without details, although neither seems right. Where is BB centered? I assume it is a 10-lot. What do you see in TOS using smile?
     
    Rick T likes this.
  3. Jim Clements

    Jim Clements Active Member

    Small trade, 1-lot, BB centered at 1010. TOS smile Gamma = -0.31.
     
  4. Jim Clements

    Jim Clements Active Member

    The bogus CEV Gamma value for the position is only ATM, in the Risk Profile and in the Trade Analysis; when I move the cursor a few cents up or down in the Risk Profile, the Gamma drops from -5.51 to -0.29. When I disable CEV, the Gamma value is -0.29.
     
  5. Meteor528

    Meteor528 Member

    I'm finding the same thing with an SPX Butterfly trade (currently at 53 DTE). Center strike at 1880 with 40 up 50 down point wings. If you disable CEV, Gamma drops to around .15. Both OV and TOS Vol Smile have it around .15. However, if I enable CEV on ONE, Gamma jumps to 4.0 to 6.0. (In all instances, Vol Surface and Sync are checked).
     
  6. Andrei

    Andrei Well-Known Member

    For one lot the high gamma is obviously wrong.
     
  7. GreenZone

    GreenZone Well-Known Member

    Jim, we've set up a Skype chat group exclusively for discussing bugs/issues with ONE and OV.
    https://join.skype.com/GWfgKcyVqGBE
    Please consider going there to discuss the issue, and I'd also recommend that you submit this issue to ONE support.
    They've been extremely responsive to feedback.
     
    Timo likes this.
  8. Cale

    Cale Member

    I'm doing some backtest in ONE for the M3 and when going through late 2012 and 2013 I have a severely sagging T+0 to the right of the butterfly when I put the trade on. It doesn't seem to be the case in the more recent months backtest. In particular looking at the 12/21/2012 trade date for the Feb expiration. What am I missing here?
     
  9. Kevin Lee

    Kevin Lee Well-Known Member

    Hi,
    Can you do some screen shots ? I'd like to put them into OV to compare. Is it with the new CEV modeling in ONE? Thx.
     
  10. Cale

    Cale Member

    upload_2016-1-29_14-1-14.png
    56 DTE Feb13
    22 contracts of 780/820/830/870
    2 710 calls
    CEV and Vol surface on with the latest update (1/28/15)
    Thanks for the presentations the other day as well Kevin.
     
  11. Kevin Lee

    Kevin Lee Well-Known Member

    Here's the same position in OV. OV Delta slightly more negative.

    upload_2016-1-29_15-16-18.png
     
    David R likes this.
  12. dacamon

    dacamon Member

    Kevin, how can i watch your presentation? Thanks


    Sent from my iPhone using Tapatalk
     
  13. Kevin Lee

    Kevin Lee Well-Known Member

  14. Andrei

    Andrei Well-Known Member

    I have just got my 30-day trial with ONE. I am now trying to load my active trades to get a better feel of the software.
    First impression (mostly the UI) is good, but I have already ran into a stumbling block. I use weeklys for M3 hedges and it does not seem that ONE let you project beyond the nearest expiration (i.e. the weekly call). In OV, on the Analysis tab. you can project to any date so the expiration gragh for the butterfly is shown.

    Has anyone looked at this? Is there a solution? Before I contact ONE I would like to get some feedback.
     
  15. Andrei

    Andrei Well-Known Member

    Got a response from ONE. Very prompt. Their response:

    Thank you for contacting us.
    upload_2016-2-2_11-55-45.png

    You can select the required expiration target in the Trade Analysis group below the option chain. ONE defaults to the nearest expiration date (Auto) which sounds like it would be your weekly options in your scenario. Select the farther out expiration date (see attached) as required.

    upload_2016-2-2_11-50-18.png

    What it does not do is combine expirations graphs as in TOS or OV. It is workable, but not as intuitive as in OV.
     
  16. Andrei

    Andrei Well-Known Member

    I am trying out long-term M3 - 70 to 80 DTE.
    So I added the trade to ONE and see a problem when using their Beta model - it is show much higher numbers than any other model. I really like working with ONE, but this does not seem right. Also some shorter DTE M3 (Mar) positions also show higher deltas in ONE

    The problem is as folows: I am trading M3 Position in RUT. Exact position is outlined in the attached Word file. Delta values for the position are higher then expected, I compared it to TOS (Smile), OV Var and also TOS each value on its own:

    ONE is 42
    ONE with CEV and Vol Surface checked OFF is 23
    OV is 10
    OV EIOIO is 13
    TOS Smile is 8
    TOS indiv option is 23


    Based on my experience trading these position, I think OV Var and TOS Smile are about right.

    Attached is a copy of a document I sent to ONE showing he problem.
    Also note how TOS and OV combine expiration graphs even though call expires much earlier. It is very much easire to analyze.
     

    Attached Files:

    Joe A and GreenZone like this.
  17. Andrei

    Andrei Well-Known Member

    Got a prompt email from Andy:
    "I believe the problem you may be experiencing is due to the CEV settings. Currently, ONE does not automatically calibrate these settings but rely on manual calibration by the user. Please click on the configuration cog to the right of CEV in the Configuration ribbon to adjust these settings. In a future release, this will be performed automatically.

    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). As you can see from the attached screenshot, my settings show a very close correlation to the 'actual' market data points PnL (green dots along the T0 line) throughout the day for your trade. Selecting a day which has such a large underlying range can make this calibration process easier to achieve."

    I have played with the settings and they seem to make a significant difference. I guess the trick is to check it often, but it feels like a "circular reference".
     
  18. Jason A

    Jason A Member

    Hi Andrei. It's been a while since your last update. How is the ONE options modeling Beta doing currently ? Have they made any changes recently ?
     
  19. Andrei

    Andrei Well-Known Member

    I have not noticed any major changes recently. I have turned CEV off completely. Actually I now rely more and more on the TOS Smile and check it against ONE. I have noticed that with shorter DTE (less than 60) both systems generally agree. For trades like Space Trip ONE has a very aggressive slope to the downside, I think TOS has a much better T+0 for such trades.
     

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