ONE vol settings vs TOS


New Member
Hi guys and gals,

I've used ONE quite a while ago for a month trial, but my trading at the time didn't really warrant paying for it. Now that I'm getting into the bigger structures, I am considering the service.

Does ONE require flipping back and forth using different vol models or does their "vol surface" handle it pretty well? I didn't know about flipping back and forth between the vol models in TOS, so that was a great little tidbit to add to the course Ron!



New Member
I realize I'm responding to a very old message, but what I'm posting today does answer the original question, so I thought here is a good and easily discoverable place for the following content.

I just started my ONE trial today. The first thing I did was to import the trades I placed in TOS about 1 months ago, and tracked manually since then. What I found was that activating Volatility Surface and/or CEV leads to very different results to what I actually tracked in TOS (see examples of diffs in the table below). I expected diffs, but not as big, and the T+X lines look even more different between the settings I tried...

Looking for answers in the forum, I found an (old) message that said the community is moving away from using Volatility Surface, since it leads to differences in modelling across platforms, while using just Black Scholes is not only universal (i.e. all known platforms support it), but also not subject to changes (i.e. the model for Black Scholes is well established, while platform-specific models could change at any time).

Below is a table showing the big differences (imo) between the ATM Greeks for one single trade structure. If I combine multiple structures, the diffs are even bigger. If anyone knows that, in fact, Volatility Surface is preferred, and maybe it needs to be accompanied by some extra settings in ONE, please post here. Thank you!

VolS on, CEV off​
VolS off, CEV off
VolS off, CEV on​
VolS on, CEV on​

In other words, there is no need to flip back and forth between models, since only one model is used: VolS off, CEV off.
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