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OV Delta Question

  1. Please reference the two attached png files
    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 on delta?

    Thanks,
    Duke
     
  2. OV takes a snapshot every 30 minutes and stores the data from that moment in time -- good or bad. Looks like there is bad marks involved. This occurs for brief periods in RUT and SPX daily. When the theta is way higher or lower than expected, I know prices are screwed up. Have you tried moving the time forward and/or backwards by 30 minutes to see if the greeks correct themselves?
     
  3. Thanks Scott..
    I advanced the time 30 min forward. The market dropped another point or so and the delta got a bit more negative.
    Since I adjust my trades based upon delta (as many do) it would seem that the accuracy of the back test would be in question.
    Given this problem, what is the general consensus about accuracy in back testing?

    This just in from Ken--
    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


    Thank you Scott
    Duke
     
  4. Personally, I avoided backtesting completely with 7.71 and 7.72 due to the inaccurate modeling.
     
  5. I got OV strictly for back testing. If it cannot do that accurately, I have no use for the product. Software fixes take longer than initial estimates so the two weeks will probably be extended. What product do you use for back testing?
     
  6. I use OV 7.64. I will send you a PM.
     
  7. Another potential issue is there is no guarantee that OV's new model will be any good.
     
  8. Thank you Scott. The install went smoothly. However, when creating an account I got the attached msg.
    Are you familiar with this? The account name is 'WAug3Sep2015'. I placed a date and account amount. Then this msg came up.
     
  9. Yes, go to Preferences and change the Records path to $HOME/Records.
     
  10. Returned to my desktop PC. On the menu click File and then Preferences. Here is a screenshot that shows what to change.
     
  11. Thank you, Scott..
    It is amazing what one can do when following directions.
    Data is coming up on the matrix however when I enter back trader the matrix does not change to show the proper months.
    It does update DTE on the months in the matrix. For example I want to begin on 8/3/2015. When I enter this date in back trader it shows Dec/Jan/Mar.
    This is a different version than the one I was using. Is there some procedure with which I am not familiar for getting the proper months to show?
     
  12. What a BUMMER.

    I determined the cause is AutoStrike is completely broken under BackTrader. OV may have changed something server side in an attempt to fix 7.72.

    I got BackTrader to work by disabling AutoStrike and add/remove expirations and option strikes manually. Unfortunately, the solution is not acceptable.

    I was hoping to do backtesting this weekend as well. Looks like we need to put up with OV 7.72 or obtain the ONE beta.

    OV 7.64 appears to function fine when managing live trades though.
     
  13. Scott, I really do appreciate your help. I did not mean for this to take up your entire day.
    Have a great weekend.
    Duke
     
  14. No problem. I honestly enjoy puzzles. :)