I was wondering if there is any way to have a somewhat more accurate T+0 line for calendars
Often the T+0 line for calendars on the TOS analyze tab is way off in after hours I understand that this is due to the implied volatility not having accurate prices I was just wondering how others are dealing with this issue
I have one double calendar that was eaven yesterday at EOD and now before the opening it's all messed up The upper one is all draged down with the T+0 line way above the expiration line above both calendars I am not sure how can anyone make any plans on what to do with this kind of trade unless you wait for the market to open before making a decision
I tried playing with the settings and they all look better than the IIV setting as far as the T+0 line is concerned but the P/L is much higher than reality so you are not going to get filled nowhere near where it shows the profit line to be
Another thing is the Vega and Theta that is shown on the Price slice seem to be meaningless
The Theta was showing arond +400 while the Vega was around +500 so you would think that with all else being equal you would gain about $400 per day
and that's what you see when you advance the days but in reality you get maybe a fraction of that
The same thing with Vega you would think that with the Vol going up because of the price drop you would get a gain but in reality I got a P/L drop from the day before
I don't know if this is because of some weird market conditions but from what I have noticed in reality the calendars do not behave anywhere near to where the T+0 line is showing When you advance the days to near expiration and you see the T+0 line showing a nice profit you can forget about that and you will be lucky if you get a fraction of that if not a loss if you are not close to the center of the tent
Often the T+0 line for calendars on the TOS analyze tab is way off in after hours I understand that this is due to the implied volatility not having accurate prices I was just wondering how others are dealing with this issue
I have one double calendar that was eaven yesterday at EOD and now before the opening it's all messed up The upper one is all draged down with the T+0 line way above the expiration line above both calendars I am not sure how can anyone make any plans on what to do with this kind of trade unless you wait for the market to open before making a decision
I tried playing with the settings and they all look better than the IIV setting as far as the T+0 line is concerned but the P/L is much higher than reality so you are not going to get filled nowhere near where it shows the profit line to be
Another thing is the Vega and Theta that is shown on the Price slice seem to be meaningless
The Theta was showing arond +400 while the Vega was around +500 so you would think that with all else being equal you would gain about $400 per day
and that's what you see when you advance the days but in reality you get maybe a fraction of that
The same thing with Vega you would think that with the Vol going up because of the price drop you would get a gain but in reality I got a P/L drop from the day before
I don't know if this is because of some weird market conditions but from what I have noticed in reality the calendars do not behave anywhere near to where the T+0 line is showing When you advance the days to near expiration and you see the T+0 line showing a nice profit you can forget about that and you will be lucky if you get a fraction of that if not a loss if you are not close to the center of the tent