What is the industry standard for mark to market, given that there are no settlement prices?
I notice that IB uses Last, but in the case of the indices (and ETFs of) which trade until 4:15 pm, Last sometimes is far from the bid/ask for certain strikes as volume seems to dip and spreads widen after 4:00 pm
I considered valuing at either;
1) liquidated at bid/ask, ie short leg covered at Ask, Long sold at bid, or
2) cost of setting up the trade at closing prices, ie Shorts at Bid, Longs at Ask
I am not looking at the tax situation, nor am I particularly interested in the margin impact, I simply want an accurate way to value open positions from a risk management perspective.
Could someone who is trading or has traded options professionally advise how the book is valued?
I notice that IB uses Last, but in the case of the indices (and ETFs of) which trade until 4:15 pm, Last sometimes is far from the bid/ask for certain strikes as volume seems to dip and spreads widen after 4:00 pm
I considered valuing at either;
1) liquidated at bid/ask, ie short leg covered at Ask, Long sold at bid, or
2) cost of setting up the trade at closing prices, ie Shorts at Bid, Longs at Ask
I am not looking at the tax situation, nor am I particularly interested in the margin impact, I simply want an accurate way to value open positions from a risk management perspective.
Could someone who is trading or has traded options professionally advise how the book is valued?
