Option Analytics Software

FWIW: I just spot checked my net deltas in corn, wheat, nat gas and silver in IB Risk Navigator and in QuikStrike. Those products are trading right now (overnight) and I believe both firms use Interactive Data/eSignal for their data feed.

Four commodities, 12 contract months, about 50 unique strikes and they matched to two decimal points.

I mention this not as a counter to Atticus' experience, because one year ago I would have said the same, and in fact, I didn't use Risk Navigator from about September to January because I didn't like it and didn't trust it. Lately, though, it seems to be OK for my needs.

I don't have an opinion on the usefulness or accuracy of IB's VaR reports. I monitor them for trend, but as you probably know, there's a lot of debate in business, government and academia as to their value, whether someone should take "the number" and multiply it by 3x or 6x, etc.

P.S. I suppose it's possible that the numbers from both firms are junk and I'm like Mr. Magoo in the markets. :D
 
Quote from Brighton:

Doobs -

You mentioned Interactive Brokers. Are you using their Risk Navigator? Over the last half-year or so they've added greeks at every level so your portfolio can now be sliced and analyzed by:

- individual option contract, e.g. Dec corn 500P (at this level you also see IV)
- total by contract month, e.g. all Dec corn options
- total by underlying, e.g. all corn options

The various greeks are netted (added) and you can also get Delta dollars and Gamma dollars by underlying and by total portfolio. Note: the latter two metrics probably aren't that useful in a physical commodity portfolio, but I keep the keep those columns visible for my stock option portfolios.

Finally, they have end-of-day and real time VaR reports plus an end of day stress test report. There's also some kind of real time stress test - change in price, change in IV - but I don't use it because the graph and the increments are difficult to read.

I don't mean to sound like an advertisement for IB, only to give credit where due. A year ago the Risk Navigator wasn't very good but now it's an important tool that I use every day. It's still ugly, but we're talking IB design, not Apple.
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I can already tell you now that the greeks IB provides are incorrect. They use spot as the input rather than forward which creates inconsistent vols, thus incorrect greeks.
 
TOS has excellent options tools, and they are free if you have an account. If you don't, you can open a paper account and get access to all tools, you will just need to re-sign up each 2 months.
 
This seems like a good place to re-ask about VaR in Interactive Brokers. Say you request an on-demand Historical VaR at 99.9% confidence with a horizon of one day does anyone know (or has gotten a response from IB to confirm):

- that at least 1,000 days of market data has been used (as the confidence level implies)
- that for futures, the historical data is really a spliced continuous future contract not the actual current contract alone.

Without these being true, the report is just nonsense if you have futures or options on futures positions, whether or not you agree VaR is even useful to start with.

I've asked IB directly but I don't expect a meaningful response, or at least not one very quickly.
 
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