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

Trading Group 2 - March 14, 2017

Discussion in 'Round Table Presentations' started by status1, Mar 18, 2017.

  1. garyw

    garyw Well-Known Member

    Steve: I agree with everything save one:
    "3.The RTD greeks are always vol smile greeks ... changing to IIV in TOS never flows through to RTD greeks." <-- Untrue, Unless you happened to test with TOS screwed this up previously! I have observed that the RTD connection seems to need re-establishing after tweaking the TOS setting for Smile VS IIV. -- If your re-establish the RTD links after the TOS change (and after the change is observed within tos), then the RTD reflects the new IV setting results.

    However, I agree with your final conclusion that using the TOS IV is a sloppy approximation of IV. Your paper aids in providing a much better approximation of IV.
  2. Steve S

    Steve S Well-Known Member

    Thanks for the correction Gary ... after fiddling around for an absurd length of time after the close (in the end had to shut down and restart TOS itself, as well as my RTD spreadsheet), I'm in agreement with you. I was able to do what I wanted which was to check that the IIV modeling is the same as the lousy vol smile modeling. I think I'm done with this stinky project.
  3. Ryan Simmen

    Ryan Simmen Well-Known Member

    Thanks! I can't wait to dig in. I'll heed your warning.
    Last edited: Apr 23, 2017 at 5:27 AM
  4. status1

    status1 Well-Known Member

    Interesting conversation about IV
    A couple of weeks ago when I was doing the calculation for gamma I noticed that the put and call gammas are different even though the formula is the same for both So I did not know why at the time but I figured it had something to do with the IV
    So now that I learned where to change the IV in TOS I was wondering which IV is best to use as far as "fair price" is concerned
    There are 3 choices
    1 Volatility smile approximation
    2 individual implied volatility
    3 Fixed volatility per expiration date
    I was playing with all 3 settings and from what I can see the individual implied volatility would be the closer one
    None of the settings have any effect on the bid / ask price but looking at the price slice the individual implied volatility showed (+/-43) when buying or selling a put at the mark
    The volatility smile showed +/- 104
    While the Fixed volatility per expiration date showed +/- 427
    Using the Theo price the Individual IV is even better at +/- 0.45 while the others showed +/- 60 and +/- 471 respectively

    Is there any reason to use any of the other 2 settings ?
    Is it maybe just to look at the greeks only ?
    For some reason the Vega and Gamma numbers on the individual implied volatility setting are a little off between the price slice and the trade tab while the other 2 settings match exactly

Share This Page