Intraday Option Price Modeling

optionstrader2022 said:
Obviously at 11:30 you can look at the NBBO to know the price of the option but that doesn't help in the moment ;)

I am looking for a way to model what the price of the option will be at on an intraday resolution. Does anyone know of any software that can do this?
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For your three lots? Yeah, Superderivatives. Go give them a call.
 
Matt_ORATS said:
ORATS.com Dashboard has a Trade History that is minute by minute and a payoff graph. We don't model intraday but interday.
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https://gyazo.com/3128f53f706c2e4697ca08e46f0a03df

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https://gyazo.com/c478547c0ecbe89710b58112fcdcdc5a
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Can you please elaborate on this? I've heard great things about ORATS I just don't know if this solves the problem or not. :)
 
intraday modelling of options is a pain in the ass. You can toss your BSM pricing into the bin and start from what you actually want to do.

Pricing 0dte and 1dte options is completely different, as 0dte trades only 6,5h whithout any overnight volatility and 1dte has a potential overnight jump to account for.
Start by adjusting formula to the smallest increment you can have in your data (hopefully seconds) and hope your machine and the data is in sync with the exchange.

Another thing you have to keep in mind is the fact that theta doesn´t decay in a linear fashion. If there are numbers to be released that day you can bet your ass that the option will have zero decay while it´ll get it´s life sucked out right after the release. Interday vol trading is already crazy hard but intraday is a completly different story
 
I have been trying to find a better theoretical calculator for multiple positions, in several timeframes. Frankly it's going to have a margin for error of ±50% except at expiry!
 
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