OptionVue new ver. 7.71 Modelling Problems

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

  1. DavidF

    DavidF Well-Known Member

  2. Andrei

    Andrei Well-Known Member

    Obviously OV didn't know their customers if they managed to undermine the best and only thing that keeps them in business, i.e. a better model.

    As of now we have neither a reliable model nor a good use interface. I find it very difficult to understand how they have managed to implement a major mandatory revision without a warning, beta testing and an ability to roll it back to the previous versions. In my previous professional life I ran IT for a financial institution, people (including myself) would have been fired for this kind of actions and care-free attitude, where they are still denying that there is actually a problem.

    It took me a few years and many attempts to find a trading approach compatible with my personality and goals. And I have to thank John Locke for providing a well-reasoned and well-tested programs/infrastructure for trading and managing theta positive strategies. OV is a key part of his infrastructure and testing. I really respect people's patience and perseverance in analyzing and dealing with OV's problems, but in the end it is just a tool, which gave us "good enough" parameters, over a wide spectrum of market conditions, for making our risk management decisions, a tool we all are paying a very significant annual fee. May be, in theory their new model is better than ever, but in practice it left many people with an unreliable tool and thousands of dollars in risk to manage.

    If I sound "not happy", well... I am. Trading is a business for me and it just became more complicated and risky.

    My subscription to OV is expiring in Feb, so I have to decide on what to do next:

    1. Stay with OV and hope for the best.
    2. Move to ONE with their upgraded version, currently in beta
    3. Use TOS - but no trade tracking and back testing
    4. Anything else???
    I would also like to thank Tom & Co for setting up this forum, where we can find information and support.
     
    Last edited: Nov 27, 2015
    Jay Winger, Scott Slivnik and Al G. like this.
  3. Scott Slivnik

    Scott Slivnik Well-Known Member

    My OV subscription does not expire until next October but may switch well before then, so I have given this a lot of thought. I am waiting to review OV's upcoming model and waiting for the ONE beta to get out of beta. I am currently running an old version of OV (thank you Jay) and will stick with that until things change.

    If I was in your situation, I would either switch to a combination of TOS and ONE beta or stick with OV on a monthly subscription. It is very possible that ONE beta will no longer be in beta in February, and I would most likely switch to ONE if that is the case. If I chose to stay with OV, I would definitely switch to the monthly subscription.
     
  4. Andrei

    Andrei Well-Known Member


    Good point Scott. I forgot that OV offers monthly option. I used ONE while I was with SOM and generally liked it. Thus I am leaning towards ONE. Using just TOS is not an option for me because it lacks good trade tracking and back testing.
     
    Last edited: Nov 28, 2015
    Jay Winger likes this.
  5. DukeB

    DukeB Guest

    Hi Ron,
    As you may guess, I am having trouble back testing with OV. My sole purpose for subscribing was to back test. Looking for alternatives. It is my impression that ONE is very limited on historical data. How much do they have and time frames of the bars. My plan was to do extensive back testing with various scenarios. Some strategies would require only checking the market once per day others maybe more often. What has been your experience?
     
  6. tom

    tom Administrator Staff Member

    Hi Duke!

    What problems are you having back testing in OV?
     
  7. DukeB

    DukeB Guest

    Tom,
    Reference the PNG files I have attached.
    The question is why does delta get more negative when the market drops??
    1) In 1 of 2 the –
    a) On Aug 20 the market dropped 23.9 pts (RUT).
    b) I made an adj to bring delta down. I bought one 1140 put and the delta ended up at -4.40

    2) In 2 of 2 –
    a) On Aug 21 the market dropped an additional 14.10 pts
    b) No adjust made yet but the delta went to -26.4
    It seems that delta would go up if the market goes down.
    Observation --- theta doubled and is negative indicating a net short overall position (am I right about the negative theta) – could this have some effect?

    My back testing has been very promising. Maybe too promising if the deltas are inaccurate. The only reason I got OV was for the back testing.
    Here is a response from Ken when I brought this to his attention:
    Hi Duke,
    Thank you for the screenshots.
    This could be the result of modeling changes that are changing the delta calculation. As the data changes, then the raw data for the
    variable volatility modeling also changes. This can affect deltas.
    We are working on a new version of OptionVue7 that will give more stable deltas. That should be available in a couple weeks.
    Best Regards,
    Ken Dole


    Would really appreciate perspective on this issue. I tried Thinkback in TOS for the same period. I only had one adj and made about $2300 on one weirdo tranche. Which was one half of what the trade made on OV.
    Advice??
    Thanks, Tom... have really appreciated your input.
     

    Attached Files:

  8. tom

    tom Administrator Staff Member

    Hi Duke.
    Gamma changes delta as the underlying moves. Can you paste in screen shots of the analyze charts too?
     
  9. DukeB

    DukeB Guest

    Tom,
    See PNG attachments.
    Basically, my rules were to adjust at +-10 delta. I felt waiting to 20-25 deltas may have been waiting too long.
    Be aware what the market was doing.
    If the market was in a downtrend I would deleverage the short put positions and balance with calls if needed.
    I did not care about the T at expiration (hence the funny looking graphs) only the shorter term T lines since I was not going to get out at expiration.
    I traded major up trends and down trends and some fairly stable markets. Always made a significant profit.
    I also ran Weirdor at 8/3/2015 with Thinkback on TOS. I made half the profit (2300) as I did non OV using incorrect deltas.
    Very frustrated right now.
    Thanks for helping.
     

    Attached Files:

  10. Jay Winger

    Jay Winger Active Member

    I can't urge everyone strongly enough to consider getting involved directly in Andy's public beta project at OptionNetExplorer if you're dissatisfied with OV's original mistake(s), and maybe even more importantly, their ongoing mis-handling of the situation. Andy could really use the help of users through systematic observations of his model and providing him with feedback. This is our chance to take control of this situation to some degree and have some input in a working model we're all satisfied with. As much as I've been reliant on OV for my core strategies, I don't know how I can go back to them after this experience. I'm still waiting for Len to get back to me with a progress report that I can forward on to everyone.... it's very frustrating to feel that apparently communication with end users is still not his priority, even after all this.
     
    Andrei and GreenZone like this.
  11. GreenZone

    GreenZone Well-Known Member

    I'm not sure why you think that is the case.
    ONE historical data goes back many years, and the most recent 5 or so years have 5 minute bar increments (versus 30 min bar increments in OV).
     
    Jay Winger likes this.
  12. DukeB

    DukeB Guest

    I guess I had bad information. Much like the deltas I have been seeing with OV.
    I thought the 5 min bars were for 2 years then daily bars. I have been back testing the Rhino with different rules but I only check the chart once per day so I guess the closing of the day would be ok. I am going to be testing the Weirdor under similar conditions.
    Really appreciate the response. I will be calling Andy on Monday to see if I can participate in the beta.
    Thanks Ron..
     
  13. DukeB

    DukeB Guest

    I will give him a call on Monday.
     
  14. Jay Winger

    Jay Winger Active Member

    Andy is not currently implementing the var vol. model on the EOD data (pre-2010), because he thinks it would be problematic relying on EOD snapshots for skews, but he said they are in the process of refreshing pre-2010 with intraday data. Still, we have 5 years of data over various volatility environments with which to test the model.
     
    Last edited: Nov 29, 2015
  15. DukeB

    DukeB Guest

    I take it we have about 5 years of data with which to back test ..., correct?
     
  16. Jay Winger

    Jay Winger Active Member

    an email from Len Yates... I'll let you all know where it goes from here:
    ==================
    Jay,

    Sorry for the delayed response. Just returned from a week out of the office. Will be diving back in right away. While I was out, the guys in the office have been testing and they identified one problem that I should have a look at. If I can get that problem solved quickly, we’ll be starting beta test soon. Would you like to be a beta tester?

    Len
     
  17. GreenZone

    GreenZone Well-Known Member

    Nice to know that OV have taken a full week of vacation to rest and relax, while their customers keep losing money due to bugs they've recently introduced.
     
  18. Jay Hattler

    Jay Hattler Well-Known Member

    I received an email recently from OptionVue offering special pricing for my OV subscription. $900 for 13 months compared to the $99/month I am paying now. I'm not sure how to interpret the timing. 30% savings is quite a deal. I wonder if they are hoping to lock people in until they can get the whole modeling thing sorted out.
     
  19. GreenZone

    GreenZone Well-Known Member

    Jay, just be aware that OV's official policy is that they offer no refunds (nor partial refunds).
    I know of some people who recently went into a very similar deal, are now locked in for a year, and regret having done so.
    If you are certain that you plan to stay with them over the long term, then go for it.
     
    Andrei likes this.
  20. tom

    tom Administrator Staff Member

    OV has a monthly price of $99 but an annual price of $999. That end up being $83.25/month.
    The offer is $900 for 13-months, which is $69.21 per month, which is a 16.86% discount from the regular annual plan. Did they say when that offer ends?
     

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