Search results

  1. B

    Put call parity to find the fair price of SPX options ?

    We all make mistakes !!! Put Call Parity is always respected for European options (Wikipedia is the best reference) otherwise there would be arbitrage opportunities. In my calculations (e.g. synthetic forward), I rely on highly liquid near the money options where the spread is tightest. Spread...
  2. B

    Put call parity to find the fair price of SPX options ?

    Most people use the formula described here (http://www.theoptionsguide.com/understanding-put-call-parity.aspx) sometimes even further simplified C- P = S - X Put Call Parity is explained in more detail on Wikipedia https://en.wikipedia.org/wiki/Put–call_parity I do calculate a synthetic forward...
  3. B

    BIBOP (V1 and V2)

    Beta Versions available for testing: BIBOP 32b https://www.dropbox.com/s/li27a7pa0olzaid/BIBOP%20V2.5%2032b.exe?dl=0 BIBOP 64b https://www.dropbox.com/s/w6ytz6927fs46a2/BIBOP%20V2.5%2064b.exe?dl=0 BMOE 32b https://www.dropbox.com/s/18l4a7yqjn8rctf/BMOE%20V1%2032b.exe?dl=0 BMOE 64b...
  4. B

    BIBOP (V1 and V2)

    BIBOP and BMOE are not in BETA testing phase. A trial period will then follow. I do have a few additional features to add however it is in "working" condition already. If interested, I have set up 2 channels on my Slack group. Just click on this link (https://goo.gl/a87gwt) and introduce...
  5. B

    Put call parity to find the fair price of SPX options ?

    I concur with Gary above and thanks to him I have also gone into vol surface analysis based on Steve Speer's "white paper". Note that Put-Call Parity is only effective on European type options in its simplest form. It is very useful to calculate the forward price for the underlying at the exact...
  6. B

    BIBOP (V1 and V2)

    Here is a V2 Beta available for testing https://www.dropbox.com/s/x4nds65ba3m50q4/BIBOP%20V2.242.xlsm?dl=0 A YouTube video has been recorded to assist with installation and initial running through:
  7. B

    BIBOP (IB Pricer)

    Here is a short preview of what BIBOP V2 will look like: I'll post more videos over the next 2-3 weeks while I'm working on a first vol surface simulation.
  8. B

    Butterfly Widths

    You'll find it in the Library section. The Search feature may fail to pick it up so best is to Select All, and it will appear on Aug 1st. The link will then point to YouTube:
  9. B

    Butterfly Widths

    It is definitely a matter of trading style. After all, a Butterfly is nothing but a PCS + PDS. My proposed sizes for the Rhino are attached to the strategy and its management. Flies in a similar wing size ratio will behave roughly the same (a bit more skew on larger wings). If you modify that...
  10. B

    BIBOP (IB Pricer)

    Excel does not seem to support "late binding" (or I don't know how to) so BIBOP will throw an error if the TWS.OCX is not registered first. I have coded a small utility spreadsheet https://www.dropbox.com/s/gbx3uchrw9hy0p5/TestTWSRef.xlsm?dl=0 to test for TWS.OCX registration in Windows.
  11. B

    BIBOP (IB Pricer)

    In case Excel shows a "Error in Hidden Module" message the first time you run BIBOP, it most likely means you either do not have OptionVue or any other TWS API Client software installed, i.e. the TWS.OCX file is either not present or registered on your computer. Please read this short document...
  12. B

    BIBOP (IB Pricer)

    I have added implied vol calculation from option price (using the Newton-Raphson iteration method) to V1.2 (same link) There will be no vol surface analysis in V1.2. Historical download now works in V2 and vol surface is coming next.
  13. B

    Letting the RTT expire

    Hi John, I can't answer for Dan so I'll just add my 2 cents here. It is in my view safe enough to let a position expire i.e let all options that compose it "die" worthless if the market is at least 2SD, preferably 3SD from your nearest shorts. Of course your risk profile is personal and can...
  14. B

    BIBOP (IB Pricer)

    BIBOP V1.2 I have added a fairly simple EIOIO model (Put side only) to the Pricer page (July 14th release). It should be accurate enough and even more so for longer dated OTM options (e.g RTT type of strategy). https://www.dropbox.com/s/c4javinx3iz68g2/BIBOP%20V1.2.xlsm?dl=0
  15. B

    BIBOP (IB Pricer)

    Here below is the download link for BIBOP. I fixed a couple of issues with registration. It has now also been tested on both 32 and 64 bit Excel versions. https://www.dropbox.com/s/c4javinx3iz68g2/BIBOP%20V1.2.xlsm?dl=0 BIBOP V2 will soon be available however it won't be freeware anymore. It...
  16. B

    BIBOP (IB Pricer)

    BIBOP V1.2 is available on request. This new version is still freeware but must be enabled to unlock all features. It now supports ES FOPs and has a built-in B&S calculation module. The modelling spreadsheet is nearly ready. It will include the possibility to import a OV T-Log.
  17. B

    BIBOP (IB Pricer)

    Follow up from previous discussion on CD Forums: After testing BIBOP on a computer with limited resources (4GB RAM) and considering the IB API restricts the number of calls to the TWS, BIBOP has been streamlined to reduce price updates, calculations and screen updates. BIBOP V1.11...
  18. B

    BIBOP (V1 and V2)

    IB Pricer I have fixed a few minor bugs and added support for ES options. Dropbox download: https://www.dropbox.com/s/qxbriibuk9ribv9/BIBOP (v1.1).xlsm?dl=0 It still uses the IB API version 971 (same as OptionVue) that has since been deprecated by IB. Hence it is offered as is without any warranty.
Top