Any source for option model prices that take into account after-hours / premarket trading?

[d0rian]

I'm looking for a source that will help me value options taking into account after-the-close or pre-open trading. For example, say company XYZ reports bad earnings at 8:00am and is down 25% in premarket trading...I want to get a sense of the FMV of my various options positions (given where the market is likely to open at 9:30am).

I use IB but have access to the TOS platform as well. A paid solution might be OK depending on cost / functionality. Anyone have any leads?

 

[ZBZB]

www.hoadley.net/options try the free online calculator.

Alternatively, you could get the after hours price into excel from IB and then calculate the option price yourself.

Doesn’t the account window in IB estimate option prices before the market opens?

 

[stepandfetchit]

I'm looking for a source that will help me value options taking into account after-the-close or pre-open trading. For example, say company XYZ reports bad earnings at 8:00am and is down 25% in premarket trading...I want to get a sense of the FMV of my various options positions (given where the market is likely to open at 9:30am).

I use IB but have access to the TOS platform as well. A paid solution might be OK depending on cost / functionality. Anyone have any leads?

Do you know Bruno? -- Today, he stated his new tool is addressing that!

 

[ironchef]

I'm looking for a source that will help me value options taking into account after-the-close or pre-open trading. For example, say company XYZ reports bad earnings at 8:00am and is down 25% in premarket trading...I want to get a sense of the FMV of my various options positions (given where the market is likely to open at 9:30am).

I use IB but have access to the TOS platform as well. A paid solution might be OK depending on cost / functionality. Anyone have any leads?

I got a sense of the approximate value I wanted by using the option chain at closing and slide the whole chain by the changes in after market value or pre-market value. Usually with gap down volatility also increased and the value could be adjusted using my guesstimate of IV.

To be more precise, you will need mathematical models on volatility/underlying/skew/structure.... to pay for professional service.

 

[d0rian]

I got a sense of the approximate value I wanted by using the option chain at closing and slide the whole chain by the changes in after market value or pre-market value. Usually with gap down volatility also increased and the value could be adjusted using my guesstimate of IV.

To be more precise, you will need mathematical models on volatility/underlying/skew/structure.... to pay for professional service.

Yes, I've basically been doing it myself up until this point; starting with the closing option model prices, and then using a BS valuation with updated underlying price based on the after-the-close/premarket trading. Or sometimes I just do a crude version using the option's closing Delta x underlying price move. Was hoping for something more precise and/or that didn't require me having to input all of these updated values manually.

Do you know Bruno? -- Today, he stated his new tool is addressing that!

No, who is that?

www.hoadley.net/options try the free online calculator. Alternatively, you could get the after hours price into excel from IB and then calculate the option price yourself.

Doesn’t the account window in IB estimate option prices before the market opens?

Yes, sometimes TWS has updated Model option prices, but they often don't populate within TWS until minutes before the open, whereas I often want to see the updated model prices much earlier than that so that I can plan my trading for the open.

 

[stepandfetchit]

Yes, I've basically been doing it myself up until this point; starting with the closing option model prices, and then using a BS valuation with updated underlying price based on the after-the-close/premarket trading. Or sometimes I just do a crude version using the option's closing Delta x underlying price move. Was hoping for something more precise and/or that didn't require me having to input all of these updated values manually.



No, who is that?



Yes, sometimes TWS has updated Model option prices, but they often don't populate within TWS until minutes before the open, whereas I often want to see the updated model prices much earlier than that so that I can plan my trading for the open.

Bruno is a French trader (with a math background) who has a trade service (varieties of Rhino trades), and is also developing tools (still in development) which may address your concerns. He spoke a bit this morning on this Trading Group meeting. He came on about 33 minuites into the meeting. "

". During the session he seemed to mention precisely your topic --

I have looked into this a bit, but only for SPX, however, you will still be at the mercy of unbalanced BID/ASK after market is closed!

 

[ironchef]

Yes, I've basically been doing it myself up until this point; starting with the closing option model prices, and then using a BS valuation with updated underlying price based on the after-the-close/premarket trading. Or sometimes I just do a crude version using the option's closing Delta x underlying price move. Was hoping for something more precise and/or that didn't require me having to input all of these updated values manually.

Why do you have to do it manually? Most brokerages allow you to download the chains into Excel and you can do your computations there?

For example I did that this morning before market opened on a couple of gapped underlying.

 

[d0rian]

Why do you have to do it manually? Most brokerages allow you to download the chains into Excel and you can do your computations there?

For example I did that this morning before market opened on a couple of gapped underlying.

Yes, we're for the most part describing the same thing. I already have all of the option chains (including the prior day's closing prices) in Excel, and update the underlying price using premarket trading. By "manually", I meant I still had to pull in the data and have Excel run the calcs, I guess I just wanted something that was even smarter (and would just give me the output new Model prices) A few Q's about how you do it:

1. You wrote "Usually with gap down volatility also increased" - this also occurred to me; e.g. TSLA closed at $295 w/ IV of 53%. If for example they announce surprise bad news on Sunday and Monday premarket trading is in the ~$250 range (so looking like a -15% open), how do you adjust the IV for your pricing model? Obv going to be much higher than 53% but how do you determine what a move in the underlying will do to the IV for valuation purposes?
2. For better precision, you said "...you will need mathematical models on volatility/underlying/skew/structure.... to pay for professional service" Yes, I assumed there might be a paid service that would do all of this for me; do you know of any? I'd at least consider them.
3. Are you using a straight Black-Scholes (or other) model? As I wrote above, I've been using a pretty crude solution involving the prior day's closing Delta value, on the premise that Delta x underlying $ move will give reasonable approximation of what the change to the option price will be. But I know that that's pretty limited, esp for bigger moves.

 

[ironchef]

1. You wrote "Usually with gap down volatility also increased" - this also occurred to me; e.g. TSLA closed at $295 w/ IV of 53%. If for example they announce surprise bad news on Sunday and Monday premarket trading is in the ~$250 range (so looking like a -15% open), how do you adjust the IV for your pricing model? Obv going to be much higher than 53% but how do you determine what a move in the underlying will do to the IV for valuation purposes?
2. For better precision, you said "...you will need mathematical models on volatility/underlying/skew/structure.... to pay for professional service" Yes, I assumed there might be a paid service that would do all of this for me; do you know of any? I'd at least consider them.
3. Are you using a straight Black-Scholes (or other) model? As I wrote above, I've been using a pretty crude solution involving the prior day's closing Delta value, on the premise that Delta x underlying $ move will give reasonable approximation of what the change to the option price will be. But I know that that's pretty limited, esp for bigger moves.

My broker don't have (won't allow?) real time automatic download so it is out of the question for me. But, how difficult is it to download? For me it is just a couple of clicks, not a big deal if my spreadsheet setup is already there to spit out the answers.

1. I don't have a good model or I would be one of the Wall Street professionals running a big hedge fund instead of writing this post. As an approximation, I just went to the historical IV curve my broker provided and used some ratios. Not rocket science.

2. I am too cheap and too dumb to use professional services. They will be wasted on me.

3. Yes straight B-S. Even that is a stretch for me let alone anything fancier.

I may post like I know a lot but am really just an amateur, not knowing much.

Have a good day.