I think I found the source of the difference. If I turn off slippage, I get the same shape as you. I think OV is being too pesimistic because there's no volume/OI in some of the options.
Is it that OptionVue does not include the initial credit? If you shift the curves up by the credit it looks more reasonable. Just a thought - never used OptionVue. -jeff EDIT: Never mind, wasn't looking carefully enough.
Perhaps. I was able to shave off the b/a in each call. For example, the DEC EW was 20.50/22.00 and I started at 21.00 and got filled right away. The NOV and OCT were much tigher so I merely shaved one tick off the NOV and .15 off the OCT. Make sure they are EWs as well. EWs do have wider spreads due to less liquidity than the ES..
3 platforms 3 graphs.... lol i will just go with an option pricer lol. I still do not see how a loss occurs at 1430 on the above chart.... EDIT: Spread, your chart leaves out the net credit, that is why it is off... Look at 1390 strike.
That graph looks fine to me The EW calendar fly is a bit further out in time and a bit closer to the money than the SPX calendar fly position modelled on ToS. The net credit on the position isn't realized at front month expiration as there are three months involved.
Thanks for all the INPUT guys. Well it should be interesting to see actual values if the market is 40 points ITM at expiration. The nice thing about this strategy is that if the market keeps running higher past my strike, I can sell another cross-strike FLY OTM and take in more credit and push the loss zone above the $0 line and take in more premium for bigger profits without additional upside risk. downside risk in increased marginally thansk to the additional credits. So like anything else, it is all in how you manage the position. So I feel confident I can take care of the large moves to the upside. I could also sell a OTM PUT cross-strike FLY and push the other breakeven point lower or make the loss hole narrower. If you have the analytical software, you should really test this out. Test what happens if the market gets to 1385 and you then sell the 1410 cross-strike call FLY for a net credit. If the market starts moving lower, raise vols 100 basis points and add a put strike cross Fly and another OTM call FLY.. The interesting thing is that the profit zones keep increasing but the max loss does not increase dramatically.
I think I solved the mystery. And there's a big gotcha ! This is what it looks like on OV with no slippage. The drop on the right is correct. The reason is that the DEC EW options are based on the march futures contract. When all the options go deep on the money, they'll go for close to their intrinsic value. But the march contract will be higher by about 10 points, which will be reflected on the december options when DITM. [EDIT] With the ES december contract at 1440. The OCT EW will go for 54, the NOV EW will go for 55 and the DEC EW will go for 69 !