TastyWorks P/l Theo option calculations

February 24th, 2021, 02:38 PM

Hi-

I'm having trouble doing something that is pretty easy in thinkorswim for example. I'm trying to evaluate an option position at another price. I see the analysis tab where you can override DTE, price and IV and get a theo p/l number. My problem is that when I dont override these values the theo p/l is not 0 nor close to 0. Perhaps there is just a huge amount of noise in these calculations but for example if an option is $10 and the p/l theo is $2.6 without overriding dte/price/iv it makes it hard to trust the result if you do enter a different price. The p/l theo should be close to 0 right?

To put a specific example to it lets say a stock is at 120 and I want to sell a 110/105 put spread when the underlying hits 112. In thinkorswim I can use the model to predict what the spread's value should be at 112 and enter a limit price for the spread. With the errors so large in tasty at the current price/iv/dte conditions it makes this difficult.

I have tried with their help people but they are not very helpful. Am I missing something obvious on how to do this?

Thank you.

February 24th, 2021, 09:36 PM

Tastyworks doesn't have the same functionality that ToS Analyze tab does. Can you show a picture of what you're trying to do?

February 25th, 2021, 07:09 AM

Thank you.

In the attached photo the top portion is from TOS. It shows that at the mid market price of 2.35 for this 3/26 3080/3070 put spread the P/L at 3149.80 is 0. When the market is open this will bounce around a little maybe +-.20 but bounces around zero. Their model says at a price of 3300 the spread should be 149 in profit and at 3100 underwater by 70 bucks.

I am not expecting Tasty to match these 149 & -70 quantities but in Tasty the starting value of theo p/l without changing IV, price or DTE is too far from zero. The bottom portion is from Tasty. At Tasty's view of the market right now the mid market is also 2.35 but it thinks the immediate PnL is -167 (402 liq theo vs 235 cost). 167 is a huge amount of noise. Using the same spot price of 3149.80 moves the tasty theo pnl further from zero. At 3300 tasty evaluates the spread to be 7 dollars underwater (-244.49 liq theo vs 235 cost) while TOS has it as 149 in profit.

I cant trust any of Tasty's model estimates for option values if it has so much noise for the theo p/l that should be zero.

The market is closed right now but when its open these issues are the same. The only difference is that in both platforms the numbers all bounce around a little but in TOS the theo p/l bounces around zero while in Tasty it is not near zero because the liquidation values are so far from the current prices.

A few others:

PTON 4/16 120 put 10.95 mid vs 11.57 liq
AAPL 3/19 125 put 3.90 mid vs 4.75 liq
LOW 4/16 160 put 5.95 mid vs 7.33 liq
SPY 4/16 391 put 10.2 mid vs 12.81 liq

TastyWorks P/l Theo option calculations

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TastyWorks P/l Theo option calculations