Discussion in 'Options' started by spindr0, Mar 26, 2007.

  1. spindr0


    I use an old DOS program for modeling my pre-earnings ratio calendar straddles and strangles (or whatever they're called). It enables me to adjust the overall implied volatility value to get an idea of what the risk/reward spectrum will be the next day after IV collapse as well as going forward to near term expiration (multiple time/price graphs).

    Unfortunately, it only allows one overall IV input and therefore, it's another IV averaging guessimate if there's an IV smile.

    Is there a more sophisticated program/ web site service that enables one to have more flexibility with the IV inputs? Eg., being able to input a different IV guesstimate for the different months?

    TIA for any suggestions.
  2. MTE


    Thinkorswim has this feature and it's completely free for customers, of course.

    Hoadley's tool also has this ability. Or you can always go to OptionVue or some other relatively expensive package.
  3. spindr0



    Thanks for the suggestions. But just to be sure that we're on the same page, let me rephrase the question... and pardon me if you already understood it.

    I am currently able to calculate the average IV of my position and via my esti-guesti-mation from IVolatility, enter in a single next day average IV and view multiple risk graphs over time and price. But I'm looking for something more sophisticated.

    Assume that pre-earnings, I have taken a multilegged calendar straddle or strangle position (different months and possibly different strikes). For next day modeling, I want to be able to enter different IV's for each month and possibly for the respective put and call positions (to account for month to month skew as well as the IV smile).

    For example, suppose I do a basic Apr/May 50 calendar and the respective IV's are 65 and 50 with the historic at 45. For tomorrow, I want the proggie to calculate the risk graph with respective IV's of 50 and 45. Does this ability exist at TOS or Hoadley?

    Again, TIA.
  4. MTE


    Yup, you can set each leg's IV separately in Hoadley's.In TOS you can set each expiration month's IV separately, but not each strike separately, if you have multiply strikes in the same month. In other words, you can only model parallel shifts in the smile.
  5. Hoadley can't do it. In fairness it can do a lot for $70, but not what you're asking for.
  6. nonpro , did you developed your own calculator ?
  7. Still on to-do list, just a matter of time (or lack thereof).

    My idea was to build on our friend gbos's VBA code (assuming he doesn't mind) and therein program:

    - set start and end IV
    - lineair IV in- or decrease, and/or
    - sudden IV jump or crush (and jump/crush date)

    for each leg separately (!), then cycle toward a custom "end date" (not necessarily an expiry date, could be e.g. some after-the-event date) and then watch P/L develop.

    IV_Trader and spindr0: is this what you guys have in mind? Anything to add?

    (And BTW, why doesn't this exist? Are we nuts??)
  8. Div_Arb


    FYI - OptionVue only has linear IV, which makes it difficult to model out earnings skew trades. Not to mention, OptionVue is masssively expensive and slightly antiquated.
  9. Tums


    just go download the demo and see for yourself if the features meet your requirement.
  10. Div_Arb, I don't think I'll go for OptionVue but still curious: in OV can you model lineair IV:

    - for each leg separately?
    - with leg-independent start and end IV's?


    leg 1 from 40 to 60
    leg 2 from 35 to 45

    Hoadley can't do this, not to mention IV jumps.
    #10     Apr 9, 2007