Can you please elaborate on this? I've heard great things about ORATS I just don't know if this solves the problem or not.
You can move forward in days and adjust IV to see the new value, but not fractions of a day. For example, adjusting the IV down 7% and adding 2 days reduces the value by -$94. https://gyazo.com/90392ff25c30443463bb56e6b43b5640
use the interactive brokers paper trading account and insert the realtime model price between the bid and ask in TWS option trader.
intraday modelling of options is a pain in the ass. You can toss your BSM pricing into the bin and start from what you actually want to do. Pricing 0dte and 1dte options is completely different, as 0dte trades only 6,5h whithout any overnight volatility and 1dte has a potential overnight jump to account for. Start by adjusting formula to the smallest increment you can have in your data (hopefully seconds) and hope your machine and the data is in sync with the exchange. Another thing you have to keep in mind is the fact that theta doesn´t decay in a linear fashion. If there are numbers to be released that day you can bet your ass that the option will have zero decay while it´ll get it´s life sucked out right after the release. Interday vol trading is already crazy hard but intraday is a completly different story
I have been trying to find a better theoretical calculator for multiple positions, in several timeframes. Frankly it's going to have a margin for error of ±50% except at expiry!
Hi, If you're proficient in Python, you can use the Quantlib library. You can also consider these sites: https://upstox.com/calculator/option-value/ https://www.samco.in/calculators/option-fair-value-calculator https://www.hoadley.net/Options/optionstools.htm https://optionomega.com/ Hope it helps!