The thinkorswim riskprofile seems not reliable or i am wrong ?

April 23rd, 2015, 11:33 AM

Hi

I have a question about the thinkorswim risk profile.

Yesterday i used double calendar trade to bet on FB’s earning (6 contract,4 legs). I sold ARL4 81put and 88call and bought May1 81 put and 88 call. Before the trade, I used the risk profile in thinkorswim to analyze it. This is what I got

But Today (one day before the APRL4 expiration) the price is 85, as you can see above I’m supposedly to get around 700$. The funny thing is, actually I lost money (not much). The MAY1 option price dropped as much as the APL4’s.

I know the market is always right, but what is wrong with thinkorswim’s riskprofile ?

April 24th, 2015, 07:56 AM

i have never found a secret to making the analyze tab work properly with time spreads. if there is a way, id love to hear it, but for me, i have tried everything. If you fiddle with this date you can see some expectancy, but its not quite right.

95% of the time, IBs analyze tab is wrong (i could show you it messing up an iron condor lol) but it seems to do at least a logical thing with simple time spreads

April 24th, 2015, 11:35 AM

Calendars and double calendars generally gain in value when you see volatility expansion. Post earnings you witness vol crush. Perhaps your back month options ar seeing more vega decay than you anticipated/ modeled. As are result you have a very different payoff structure as outlined in the TOS analyze tab. Make sure to add another slice to see the current price point and 'current' greeks for the trade structure to have a better understanding on how your position will be affected in different circumstances.

April 26th, 2015, 12:26 AM

Cogito ergo sum

Calendars and double calendars generally gain in value when you see volatility expansion. Post earnings you witness vol crush. Perhaps your back month options ar seeing more vega decay than you anticipated/ modeled. As are result you have a very different payoff structure as outlined in the TOS analyze tab. Make sure to add another slice to see the current price point and 'current' greeks for the trade structure to have a better understanding on how your position will be affected in different circumstances.

What I figured out is exactly what you said. It is the bigger Vega in back month made it so.
By the way, howvto add another slice to show current Greeks? I am quite a newbie for TOS .
thanks a lot

The thinkorswim riskprofile seems not reliable or i am wrong ?

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The thinkorswim riskprofile seems not reliable or i am wrong ?