Modeling STT on OV or ONE

[cay7man]

Does anyone use OV or ONE for modeling STT? I tried but P&L graph looks nothing like the one here
https://forums.tradingdominion.com/attachments/stt-01-png.140/

Any ideas? Please share your ONE (preferably) settings if you do.

 

[EROOM SECURITIES]

Try modeling using Silexx's position analyzer (http://www.silexx.com/resources/manuals/position-analyzer).
They offer a free demo of the platform as well.

 

[cay7man]

Thanks but didn't help...

 

[Ron Bertino]

@cay7man, in order to get a risk graph similar to what you see in the screenshot you posted, you'll need to configure ONE to use "volatility surface" and "sync".

 

[Ron Bertino]

Note that our Trading Dominion community has now gone back to just using standard Black Scholes modelling though.

This is mainly because:

a) it's a formula that is well known and fully available for analysis, whereas "volatility surface" in ONE and other models in other software are essentially black box closed systems

b) having your backtesting be dependent on a black box model can be problematic, since if the vendor decides to change/update their model then that will screw up all of your backtesting and/or live trades

c) similar to the point above, we get consistency with Black Scholes, whereas with custom models you're at the whim of the vendor getting creative with their model and now affecting your live trades and prior backtests

d) Black Scholes modelling is available on almost every broker and platform, so this allows users to not be forced to purchase custom trading packages in order to obtain custom options modelling

 

[cay7man]

Thanks Ron for the clarification. What model does ONE use when vol surface was unchecked?

 

[Ron Bertino]

When everything is unchecked, it reverts to using standard Black-Scholes.

 

[cay7man]

Thanks Ron. I am able to model it on TOS. The upper expiration line though looks flat why does TOS say the height is +385?

 

[Ron Bertino]

why does TOS say the height is +385?

That's because the entire trade structure you've modeled has been put on for a slight credit of +$385.
So if SPX stays above 2600 by expiration, then you'll get $385.
Prior to expiration you'll be able to potentially make much more than that, due to the impact of theta coming into the trade.
You can model that by tweaking the date ticker towards the bottom middle of your screenshot, and move the date forward.
When you do that, you'll see the purple (T+0) line start to morph and start to rise up as time goes by.

 

[cay7man]

Understood. Thank you!