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IV term structure estimation

Today I was studying earnings caused IV crushes over the bunch of stocks. Take a look at the chart above: seems like logarithmic function fits the real data much better than square root function, which was previously used in PnL calculations, thus I've updated the PnL engine to use the former one.…

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News: v3.13

Added bits of handy info: Automatically calculate what-if date from the plain what-if days number. Expose implicitly used what-if volatility coefficients for a bunch of days till expiration (sensitivity is inversely proportional to square root of DTE).…

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News: v3.12

Due to a recent redesign of the Yahoo Finance app, the corresponding data provider was unable to fetch quotes, causing issues with some symbols, including SPY, IWM, etc. Version 3.12.0 adapts: Yahoo provider works again. A new way of interacting with Yahoo is much faster than the previous one, and even faster than fetching data from Google.…

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News: v3.11

New features in versions 3.11.x: Advanced user interface is hidden by default (a bars icon in the strategy actions toggles it). Legs can be moved inside a strategy (notice up and down arrows in a leg actions). Strategy groups can be scaled as a whole (e.g. to easily compare risk equal positions).…

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News: v3.10

New features in versions 3.10.x: bid, ask and deal prices for a whole strategy group; margin requirement (without leverage) for a strategy group.…

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