TWS Greeks calculation

Discussion in 'Options' started by nemo4242, Dec 8, 2016.

  1. You should use the appropriate money mkt rate, regardless of whether it's positive or negative.
     
    #11     Dec 9, 2016
    JackRab likes this.
  2. JackRab

    JackRab

    I use only say 5 or 6 points to create the vol curve across strikes... spline interpolation makes a smooth vol curve, which then gives me all the iv's for each strike.

    There's no bias. It's just a fitting technique. You fit the curve to the market...

    Interest rate wise, like @Martinghoul says, you should actually use the debit/credit interest rates you as a company or person get from your bank/broker. But that means your pricing will
    probably not fit the market... so you use market conform rates.
     
    #12     Dec 13, 2016
  3. Quiet1

    Quiet1

    @JackRab why do you bother fitting a spline? Unless you're calculating greeks by bumping or trying to trade relative value/market-make I don't see the need. Sorry if I missed answer to this elsewhere.
     
    #13     Jan 6, 2017
  4. JackRab

    JackRab

    Because I like to have the ability to use my own pricing to make sense of certain relations between options...

    I just use an excel sheet to plot vols and price options, not needed for real time... but to look for strategies and manage them. That way I have a better view of the "what-if-scenarios", especially concerning vol shifts...
     
    #14     Jan 8, 2017
  5. Quiet1

    Quiet1

    OK fair enough. :)
     
    #15     Jan 8, 2017