3D position modelling tool

Discussion in 'Options' started by hlpsg, Sep 1, 2008.

  1. hlpsg


    Does anyone know of a good 3D or 4D options position modelling tool (with color) where I can enter complex spreads, and will allow me to see:

    - profit/loss as a 3 dimensional image, with the passing of time or change in volatility

    - how Vega at different points of the position will change with the passing of time

    - how Delta and Gamma will change with the passing of time

    - how all the various greeks at different points of the position will change with a change in IV

    - be able to walk forwards/backwards in time, one day at a time, and see how the various

    Is there a standard for such a tool, that professionals use?

    Thank you.
  2. MTE


    You can do all of the above in TOS, but not in 3D. While 3D is fancy, I don't think it is more useful than 2D, or that you will be able to see more in a 3D image than in 2D, but that's just me.
  3. sg20


    Visual Stock Options.
  4. hlpsg


    Thanks! Looks like a nice piece of software.

    But the options pricing model they use is really outdated. Do you know of any that use a more updated model? Trinomial/VSK or something like that?

    Thank you.
  5. sg20


    Another analysis software is Optionstar but I'm not sure it's what you are looking for.
  6. hlpsg ... could you explain? I thought that all the models converged on the same values (greeks, for example) as produced by Black-Scholes when allowed to run for a reasonable number of iterations.

    What items of modeling start to diverge with a different "calculator" behind the scenes?

    (Note, I'm not advocating Visual Stock Options software. I downloaded it a few weeks ago and rejected it myself, but not because of the options calculator. I hadn't even considered that aspect.)
  7. hlpsg


    Caveat: My own understanding of the models at this point is extremely rudimentary. But I do not think they converge on the same values.

    Take the binomial and trinomial models for instance, there is an additional path at every iteration of every node, and if you were to let that run its course, I'm sure the final distribution of results will be quite different.

    May I know why you rejected this tool (Visual Stock Options)?
  8. dmo


    I've been pretty impressed with the Hoadley stuff www.hoadley.net Amazing set of tools for a hundred bucks or so, including something he calls OSET (Options Strategy Evaluation Tool) that models positions in 2D or 3D. It's limited to six option legs plus the underlying - although he includes another tool that will model positions of any size. I've used the OSET and like it.

    Hoadley is cheaper than Optionstar and leaves it in the dust. No comparison.
  9. dmo


    The talk of models reminds me of a time I was in a Tokyo camera store many years ago, shopping for a 35mm camera. I was (and am) a lousy photographer, and somehow imagined that a great camera would change that. Somehow the salesman picked up on that, and every question I asked him about this camera vs that camera - the quality of Nikon lenses vs Pentax lenses etc. - he answered "It's YOUR technique that counts." The guy was relentless - wouldn't answer me about the cameras - just kept repeating "It's YOUR technique that counts."

    In retrospect there was great wisdom in what he was saying. For an amateur like me, the difference between a Pentax and a Nikon was meaningless. That was the least of my worries. To shoot good pictures I needed to learn the art of photography, not worry about tiny differences between two great tools - either of which would have been totally adequate.

    I can say the same about models. They don't all converge on the same values, but they're all mighty damn close, and the differences won't be meaningful to the majority of traders here. It's not the model that will make or break you - it's YOUR technique that counts!
  10. hlpsg


    Hi dmo,
    I looked through the stuff on Hoadley and didn't find a 3D modeller, do you have a direct link where they talk about that feature? Thanks.
    #10     Sep 5, 2008