Yes all data is derived from the SPAN files. Generates chart in a few clicks based on your selected date range. It does not calculate HV. HV and IV are the fields named as such in the SPAN spreadsheet.
I have introduced functions for greeks that are calculated based on SPAN data but have not progressed it further...
...do you have a suggestion...
Last edited by BlueRoo; June 4th, 2014 at 02:21 PM.
I was mostly wondering if you've had difficulty retrieving so many consecutive days of data. Currently, I don't store any history, but if it's a reliable source and it downloads fairly quickly, I might try storing a few contracts worth of individual option data to build a skew time series, either by delta or moneyness (percent out of the money)
As for suggestions, two minor ones:
- Since it appears the HV field is actually the ATM IV for CME products, you'll probably want to rename the label.
- I don't know how experienced you are with options, but I'd put a "real" HV calculation lower on development list. It's nice to have, but it's readily available in virtually all charting programs and if you're like most, you'll probably spend more time with ATM IV and option-specific IV than the underlying's HV.
The EOD files decompressed for me are about 66mb. Therefore a years worth of data would be 250 x 66 = 16,500mb. So you do need some storage capacity.
Once the files are downloaded...it takes about 3 minutes to build a year to date historical record for a select strike. Once you have this the vol and history charts I have posted are generated in a second.
Yes, following you and Dudetooth in my be better titled base vol...so if the BV is higher than the IV option premium is cheap and if lower expensive...anyway the way I use it currently is as a measure of comparison...tending to look for assets with above average IV...
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If you're thinking about updating the SPAN tool some day, and if the data elements already exist in the risk arrays (I think that's the term for the big files from the CME and ICE), could you add a column for Gamma and Theta? I'd suggest making the columns easy to hide because I know they wouldn't be useful to everyone.
Currently, I sum the number of option contracts, the option value and the delta by product. If Gamma and Theta could be summed, the application, in addition to it's scanning abilities, would become an even better portfolio management and reporting tool.
Actually, I've been working with BlueRoo on some new ideas. Unfortunately, the pa2 files do not contain the Gamma or Theta (at least not that I have seen), but the idea of adding some Greeks has been tossed around and is definitely doable. We have even worked out a way to show only the columns of data that you want to see.
One area I have wanted to build up was the portfolio management. I kind of have an idea of what you are asking about, but if you don't mind elaborating, can you give me an example of how you are using the Gamma and Theta for your portfolio management?
I have all the greeks in a version of the span file that can be easily added from the option trading workbook that is available free on the net it has all the greek functions and can be easily added with little vba skill
one idea has been finding low delta high theta options...i like your ideas and ask if you could email me so we can work together closer on them? it would help me better understand your thinking process better
The IB tool is very useful but because of their margin policy on FOPs I'm slowly moving some money out of there. If the SPAN tool included the additive Greeks, I could have a simple dashboard in Excel and if I wanted to get fancy, I could do other things like link the SPAN tool to real-time underlying prices and re-calculate the Greeks as often as I wished, break out my risk by time period (probably DTEs in 2 week buckets or something like that).
I don't pay very close attention to Theta but I do watch Gamma closely, especially if the short options are near the money and near expiration. Gamma is probably not a big issue if someone is selling way OTM options (5 Delta or less) because they've likely closed their position once they're close to the money. Sometimes, though, I sell a 10 or 20 Delta option because I *want* to be that close to the money.
Edit: Please don't spend time on this on my account. I can calculate the missing Greeks in Excel by using the Hoadley add-in tools. I just thought that if they're already in the arrays, maybe they could be displayed in a future update of PC-SPAN.
Last edited by CafeGrande; June 25th, 2014 at 08:46 PM.
Thanks ... that's some good food for thought. I had already been looking at the idea of summing all of the risk/option value by product to get close to portfolio margin (minus the intra/inter-commodity spread adjustments). Now I'm intrigued to see the Greeks summed by product as well.