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    SOAP V1.02

    SOAP is progressing a little slowly these days and its "Big Brother" will go into beta in a couple of weeks. I don't have time to work on a website. For more info, best is to join my own Rhino Slack or send me an email (bruno@aeromir.com). Rhino...
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    SOAP V1.02

    May 18th RELEASE V1.02.1- There was a small error in position cost calculation, now fixed. - A bug was recently introduced in some cases when requesting weekly chains, now fixed. - Emphasis has also be put on simplifying user experience according to several possible paths, for instance when the...
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    SOAP V1.01

    Hi Rick, if I understand you correctly, you want to vega hedge a long term BWB position with a campaign or rolling calendar, right ? It seems like I have your points a, b, c and d in various places in SOAP so I would have to present the info in a practical manner.
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    SOAP V1.01

    Thanks RJM Can you please elaborate what you have in mind ? There are lots of API features for which I have precoded the framework. That includes elements of portfolio management. Note that you can already mix options with their underlying or a proxy. I have also coded a timeline so that the...
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    SOAP V1.01

    SOAP V1.0.1.3 As I should have anticipated, a lot of interesting feedback came since V1.00 was released. Feedback has focused on ease of use, after comparing to other known platforms.- Focus has been on making it quick to load a Symbol and a Trade, and the last known Trade is now proposed for...
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    SOAP V1.01

    I released SOAP V1.00 a few days ago. However, after receiving interesting feedback, I have changed a couple of buttons or moved them around. The Realtime information doesn't need to be always visible. It is now the 1st item in the Data menu. It is important to select a Symbol and a Trade...
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    OM Session 11

    Following the 4 sigma fall yesterday, this week's OM 12 topic will be Heteroskedascity and time permitting GARCH(1,1). Anyone interested in SOAP can contact me on bruno@aeromir.com or join my Slack https://tinyurl.com/yyaaeemu (the SOAP channel is public).
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    SOAP Program Updates

    Build 0.9920 This should be the last update for V1.0 release. https://www.dropbox.com/transfer/AAAAAHR9NXPPPOyDkf9H_zicbMlSrQMklcFGUfsDGJ1PfSbwXOm5wzs
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    SOAP Program Updates

    Build 0.991 hopefully the last one before V1.0 :) https://www.dropbox.com/transfer/AAAAANneHK67DQW4j2IlakaZZRjlCfHiQcmeayejqBqhrTW5yB8ZJsU It now includes Volatility Surface calculations.
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    OM Session 10

    Sorry for posting the PPT a little late. Please note that I unfortunately have to cancel tomorrow's Session 11 (Jan 23rd)
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    General Discussion on Option Modelling

    SOAP is taking shape: SPX Vol Surface to FEB expiration : https://www.screencast.com/t/VGOBLBNB4oPb I even managed to capture the slight OTM concavity :)
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    SOAP Program Updates

    Trial Version 0.9906 https://www.dropbox.com/transfer/AAAAAHMtAOgrO84Zu6B-NDgfLRYRbRGH47qLSxsxXRiG52U_OlJoldA Link valid for 7 days
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    General Discussion on Option Modelling

    Sorry guys, I admit I don't spend much time on this forum. I agree that we're small fish in a big ocean that is the market. I also agree that if you have strong command over Greeks, you're in a better position to manage your positions well. That includes understanding interactions or cross...
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    SOAP Program Updates

    Build 0.9905 https://www.dropbox.com/transfer/AAAAADAUdlx5L569Vn1KGLhHS3P0YNVWxl2PcXL1PvhXGxDm_Eafttk Vol Surface is now calculated but not plotted yet. V1.0 still on track for end Dec. The above link is valid for 7 days.
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    OM Session 9

    Here is the Powerpoint for Session 9. Please note that the next Session 10 will be early Jan. It would be interesting to introduce binomial and trinomial models. I might also present SOAP's features on Vol Surface.
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    Moneyness formula for vol surface question

    Hi Gary, you've done a great job so far. As you have noticed using straightforward moneyness is the way to go to represent similarities across individual vertical skews. The additional factor I introduce doesn't have anything to with price. It just helps compensating or say calibrating the...
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    SOAP Program Updates

    Build 0.9903 https://www.dropbox.com/s/9t6pq72ariikfua/SOAP_TrialRelease_Nov27.zip?dl=0
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    OM Session 8

    In Session 8, I addressed American Options Pricing wit Bjerksund-Stensland, in particular the notion of efficient frontier. I'll cover Binomial/Trinomial pricing in a future presentation. YT link to the presentation
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    SOAP Program Updates

    Build 0.9902 https://www.dropbox.com/s/wn4kef5dd489ya4/SOAP_TrialRelease_Nov20.zip?dl=0
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    General Discussion on Option Modelling

    I'll get back to volatility; it is an endless topic :-) Next session will be on American versus European options.
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