OptionVue new ver. 7.71 Modelling Problems

Discussion in 'OptionVue Forum' started by Jay Winger, Oct 30, 2015.

  1. Gabor Maly

    Gabor Maly Well-Known Member

    Ron,
    Just wondering are there any beta testing protocols for ONE that you and some of the others are going through and if yes would you mind sharing what this includes.
    I assume it is not only looking at a current live trade and checking it against TOS VSA or OV new settings.
    As said earlier huge thanks for the contribution to make ONE better, I am eagerly waiting for the possibility to migrate.
     
  2. Boomer34

    Boomer34 Well-Known Member

    Any word on when ONE may release this new update that will be sufficient for the Locke type trades?
     
    LearPilot likes this.
  3. Paul

    Paul Member

    David,
    Using ONE Beta version 1.27.12 with settings as Ron recommends above (CEV, Volatility Surface, Smooth, Best Fit all checked; Combine Cal/Put NOT checked) I get the following greeks: delta = -44.60, gamma = -0.53, theta = 153.84, vega = -892.85.
     

    Attached Files:

  4. GreenZone

    GreenZone Well-Known Member

    No idea.
    The developer wants to make sure that the public release of the next version is solid.
    He is therefore making sure that the testing of the various betas is thorough.
    Hopefully it won't be too long....
     
  5. GreenZone

    GreenZone Well-Known Member

    The crew that make ONE are currently also working on an automated backtesting tool.
    This is now in the late alpha stages.
    Jay Winger and I are on the short list of people who will be assisting with the testing of the private betas of this product, which should hopefully be made available within the next month or two.
    Note that this will be a separately sold product, so if you already own ONE then don't expect that you will get this for free.
    ONE will have some buttons within the program which will launch the backtesting tool, but the backtesting product will be sold separately.
     
    Paul likes this.
  6. Al G.

    Al G. Well-Known Member

    Ron is the latest beta you are testing close to TOS volatlity Smile? Also, does TOS utilize CEV?

    Thanks
     
  7. DavidF

    DavidF Well-Known Member

    Thanks a lot Paul, very good to have that comparison and confirms what I´d suspected.
     
  8. GreenZone

    GreenZone Well-Known Member

    Yes, the greeks in ONE are very close to the TOS volatility smile.
    Note that the public beta version has everything you need in terms of matching up to the TOS vol smile.

    I have no idea about the nuances of what TOS vol smile is using internally to make their calculations.
    All I know is that the greek projections are quite accurate.

    Last week, one of my positions showed a delta of around -10 in TOS vol smile, yet the ONE beta was saying that I was flat (delta of around -0.5).
    We then had a bit of an up move, and my overall P&L went down a bit.
    This may have been a hint that the TOS vol smile greeks were slightly more accurate than what ONE was showing at the time.

    Overall, TOS vol smile and OptionVue and ONE beta are now all fairly similar with the greeks.
    This, plus my many prior and existing frustrations with OptionVue, not to mention the absolutely terrible way they are currently handling the current problems, was enough for me to cancel my subscription with OptionVue.

    I'm now in the process of testing TOS vol smile to ONE, but I plan to keep my subscription to ONE for backtesting as well as for quickly modelling morphs to my live positions.
     
    Paul and Al G. like this.
  9. Jay Winger

    Jay Winger Active Member

    If any OV users out there would like to try a copy of OV 7.64 that I have which works on live data (and on backtrader data with one extra step), email me at jcwing01@gmail.com. I have the folder structure zipped, and it has worked for others. There is no reason we should be in this situation, but if OV won't take any immediate measures to help traders, we can at least help eachother.

    Andy @ ONE is working hard every day to improve the model. The best way to speed up the ETA on the final release is for traders to submit to him systematic studies or backtesting, with observations, to help him fix any issues in the existing model.
     
    Last edited: Nov 23, 2015
    Scott Slivnik and GreenZone like this.
  10. Paul

    Paul Member

     

    Attached Files:

  11. Gabor Maly

    Gabor Maly Well-Known Member

    Looking at my Dec M3 right now, OV variable, will give me a delta of -95, OV EIOIO -50, TOS VSA -58 and ONE will give me -29 (doesn't really matter what options are checked).
    TOS seems to be sitting nicely in the middle maybe the most accurate.
     
  12. DavidF

    DavidF Well-Known Member

    Great, thanks for the TOS data Paul, of course may depend on price in relation to butterfly but the deltas on my position are in line with what GaborMaly has, OV variable has the highest negative deltas, then TOS VS & OV EIOIO whilst ONE has the lowest. Watching the price action in relation to my positions and EIOIO is most accurate on OV so appears the middle values are reasonable.
     
  13. DavidF

    DavidF Well-Known Member

    Screen Shot 2015-11-23 at 22.44.17.png Given that there´s no golden standard to benchmark the various models against and the only non-theroertical input any model has to work on is price, I´ve compared the price of my current Jan SPX position (the one in figure was rolled up today) with the actual price of the same position at Dec expiry over multiple SPX moves then looked at the estimate the EIOIO vs the variable model provide for the equivalent price moves using the analyse tab (as in figure).

    Without a doubt the variable is much closer, EIOIO is way off (e.g., actual price difference between months for a 25 point drop is $13k, variable model prediction $10k, EIOIO $5k). Of course vega would come into it but isn´t relevant for this exercise (actually favours the variable model values if it was taken into account).

    So I stand 100% corrected regarding my empirical day-to-day observation on price movement and EIOIO vs variable, the deltas on the latter appears much more accurate (didn´t see difference for theta that could explain difference).
     
    Last edited: Nov 23, 2015
  14. David Stewart

    David Stewart Well-Known Member

    Ron, and others,
    I have OptionVue now, and have had ONE in the past. What is the price point that ONE will end up charging for a year approximately? OptionVue is offering a deal if we add on to our subscription so I have to decide whether to stay with it or switch back to ONE again. I really had decided just to let me OptionVue subscription lapse this June, but the thing is besides from back testing, I'm kind of lazy so I track all my trades etc in OptionVue and keep track of total return etc. In other words an expensive P/L tracking mechanism
    :)
     
  15. GreenZone

    GreenZone Well-Known Member

    500 GBP per year, or 150 GBP per 3 months
    http://www.optionnetexplorer.com/Pricing.aspx

    There's also a free 1 month trial.
     
  16. Andrei

    Andrei Well-Known Member

    I am really tired of OV and their attitude towards their clients. If we are, as a community, going to spend any time and effort on beta testing and analysis, why not offer our collective wisdom to Andy (at ONE) instead of trying to convince OV that there is actually a problem?

    I think having Andy as a guest is a great idea.
     
    Last edited: Nov 26, 2015
    Capt Hobbes, Jay Winger and GreenZone like this.
  17. David Stewart

    David Stewart Well-Known Member

    Having Andy from ONE on a cap discussions session is a real good idea Andrei
     
    Chuck likes this.
  18. David Stewart

    David Stewart Well-Known Member

    Hey guys, another question/thought
    Have you all been using quotevue in optionvue, or another source like tos or ib?
    I have found difference in the past
    ditto same thought/question regarding ONE also
    after all as the old saying goes, garbage in garbage out
     
  19. tom

    tom Administrator Staff Member

    I can ask Andy if he'd like to be a guest.

    I use IB quotes with OV. It's not bad but it can take a few minutes to fill up the SPX or RUT matrix so I leave them open. Len pointed out a problem in that not all of the data gets refreshed at the same time, so your greeks are using some data that is a bit older than other data. The best data I've used is eSignal but it's a bit pricey at over $200/month for option quotes.
     
  20. Al G.

    Al G. Well-Known Member

    Know your customers, OV users hate the user interface, yet they focus on the model which until now was their strength i.e. work on make the user experience better not the nuts and bolts in the background. ONE the UI is nice, but the model needs work, so this is what they are investing in. Simple as that!
     
    Jay Winger likes this.

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