P
Peter M Klatt
Guest
Hi,
When I joined the Road Trip Alert Service a year ago, the standard model for risk graphs was OptionVue using the supposedly advanced Var1Day model. Meanwhile, OptionVue has implemented the NewVar model. And, intriguingly, the actual trade recommendations and risk graphs of the Road Trip Alert Service are not based any more on the Var1Day model but on the "old" EIOIOI model.
Maybe I missed this conceptual change, which occurred just after the Feb crash, but I still wonder why this change of models happened and why this has not been communicated clearly to those of us who have implemented guidelines based on greeks according to previous recommendations based on a model that apparently is not used any more. Even worse, management by the greeks of the new "flat delta" variant of the Road Trip Trade that includes the upside butterfly hedge changes substantially depending on the model used.
Obviously, models are just models and the case here is not to decide which is better but rather to base trading on a shared rationale with which to work. And - for educational purposes - a clarification regarding this issue would be helpful to better understand a series of recent adjustments.
Thanks in advance for your response!
Best,
PMK
When I joined the Road Trip Alert Service a year ago, the standard model for risk graphs was OptionVue using the supposedly advanced Var1Day model. Meanwhile, OptionVue has implemented the NewVar model. And, intriguingly, the actual trade recommendations and risk graphs of the Road Trip Alert Service are not based any more on the Var1Day model but on the "old" EIOIOI model.
Maybe I missed this conceptual change, which occurred just after the Feb crash, but I still wonder why this change of models happened and why this has not been communicated clearly to those of us who have implemented guidelines based on greeks according to previous recommendations based on a model that apparently is not used any more. Even worse, management by the greeks of the new "flat delta" variant of the Road Trip Trade that includes the upside butterfly hedge changes substantially depending on the model used.
Obviously, models are just models and the case here is not to decide which is better but rather to base trading on a shared rationale with which to work. And - for educational purposes - a clarification regarding this issue would be helpful to better understand a series of recent adjustments.
Thanks in advance for your response!
Best,
PMK
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