Mark-to-Market for Spreads

Discussion in 'Options' started by justrading, Feb 8, 2013.

  1. What is the industry standard for mark to market, given that there are no settlement prices?

    I notice that IB uses Last, but in the case of the indices (and ETFs of) which trade until 4:15 pm, Last sometimes is far from the bid/ask for certain strikes as volume seems to dip and spreads widen after 4:00 pm

    I considered valuing at either;

    1) liquidated at bid/ask, ie short leg covered at Ask, Long sold at bid, or
    2) cost of setting up the trade at closing prices, ie Shorts at Bid, Longs at Ask

    I am not looking at the tax situation, nor am I particularly interested in the margin impact, I simply want an accurate way to value open positions from a risk management perspective.

    Could someone who is trading or has traded options professionally advise how the book is valued?
     
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  3. Thanks.