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OptionTrader
OptionTrader Portfolio Bugs
Last Activity 2/25/2018 2:12 PM
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John J

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Subject : OptionTrader Portfolio Bugs
Posted : 6/19/2017 3:52 PM
Post #41149

Hi Barry,

See attached. The main issue here is that there are several long put option trades entered at $0.00. Although I'm not filtering for minimum option price and that the options are close to expiry, the option data modeling shouldn't allow any "near to the money" options priced at zero to go through, right?



[Edited by John J on 6/19/2017 3:53 PM]

Attached file : Capture.JPG (323KB - 222 downloads)

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Barry Cohen

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Subject : RE: OptionTrader Portfolio Bugs
Posted : 6/20/2017 11:56 AM
Post #41150 - In reply to #41149

The data modeling only calculates historical option prices & greek values. It isn't designed to automatically not let you trade certain options based on certain factors. But you can use the filters for that, that's why they're there. Add a minimum price filter for $0.01 or $0.50 or something & it should prevent the $0 priced options from trading.

The wrong year being shown sometimes is a display issue. I reproduced & reported it.

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John J

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Subject : RE: OptionTrader Portfolio Bugs
Posted : 6/20/2017 6:10 PM
Post #41153 - In reply to #41149

Hi Barry,

Thanks, good idea. I'll use a minimum price of $0.01 in the filter.

However, I took a closer look at the top two circled symbols, and the particular option prices in their respective grids (see below). Beyond one strike price OTM the prices are listed as zero in both cases, which doesn't make any sense since it's still a full week left until expiration. The consequence is that only strategies, which places ATM (or near to the money) option trades will work in the Simulator unless the expiry date happens to be weeks or months out.

Another example with adverse effects, is the AMD trade from the above screenshot. The option spread trade was placed on April 13th and exited on April 17th. All options in this spread trade have zero values on the 17th, even though it's 4 days left to expiration (the same applies to the MT and MRVL trades as well). It stands to reason that any option trade which is exited close to expiry may get affected by this obviously, and this is something that we can't easily filter for.






[Edited by John J on 6/21/2017 9:55 AM]

Attached file : Capture1.JPG (111KB - 200 downloads)
Attached file : Capture2.JPG (114KB - 195 downloads)
Attached file : Capture3.JPG (177KB - 44 downloads)

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Barry Cohen

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Subject : RE: OptionTrader Portfolio Bugs
Posted : 6/21/2017 10:32 AM
Post #41156 - In reply to #41153

The option historical modeling data isn't going to be perfect. I can make a request to take a look at the calculations for it.

If you filter by price, like you did with $0.01, those strikes will still show up, but OT won't select any of the strikes that are $0.

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John J

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Subject : RE: OptionTrader Portfolio Bugs
Posted : 6/21/2017 11:45 AM
Post #41159 - In reply to #41156

Thanks Barry,

As I pointed out above, we can filter for entries, but we can't easily filter for exits that happens close to expiration. The modeling calculations should never let option prices go all the way to zero several days before expiration (unless they are way OTM). It makes the performance reports completely unreliable for option trades.
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John J

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Subject : RE: OptionTrader Portfolio Bugs
Posted : 6/22/2017 1:20 PM
Post #41162 - In reply to #41149

Hi Barry,

I took a snapshot of MT after the close yesterday (June 21st), with the intention of comparing that data to that of the modeling data one day later on the same symbol. I'm aware of the fact that weekly options are not applicable to the simulator. However, snapshot #2 shows that the quarterly option, which expires on June 30th, has also been removed from the grid window. Was this done by design?





[Edited by John J on 6/22/2017 1:25 PM]

Attached file : Capture.JPG (183KB - 111 downloads)
Attached file : Capture1.JPG (124KB - 130 downloads)

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Barry Cohen

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Subject : RE: OptionTrader Portfolio Bugs
Posted : 6/22/2017 1:46 PM
Post #41163 - In reply to #41162

Only monthly option chains are calculated by the modeling data. So it's by design that you won't see weekly or quarterly option chains unless it's on the right edge with live data.

You can usually tell when the chains are using modeling data because there won't be any weeklys/quarterlys & there'll be exactly 6 chain tabs.

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