Tracking PNL of rolled over multi-leg options

[HappyTrader]

So, here's the situation:

Let's say you open up a spread:
SELL PUT
BUY PUT

You collect a premium (A)

The underlying moves in a direction such that the options do not expire worthless, and you choose to roll over:

BUY BACK PUT
SELL BACK PUT

You pay to close this position (B)

SELL NEW PUT (at later expiration)
BUY NEW PUT (at same expiration as above)

You collect a premium (C)

Let us presume that C > B.

Let's say for arguments sake:
SHORT PUT expires
LONG PUT expires

You pay to close this position 0$ (since they expired worthless) (D)

IF C - D > B + A, you are in profit.

If D = 0 (they expire worthless) then:
C > B + A means you profit.

Now, here's the question:
In IB's TWS it will not show you the history of the rolling position so you can track what B (and A) were. It will only show you what C is.

In fact, if you look ONLY at what TWS says, it will show you in profit for that transaction, when in reality you could still be at a loss if you consider the previously held positions as part of that chain? (not sure what the correct term is for a series of options that constantly get rolled over and adjusted/grow but are meant to be tracked as a single 'thing').

So, is there a mechanism within TWS that I did not see that allows you to track this. Is there other trading software that allows you to ore properly manage an overall position that has multiple transactions so you can see its total PNL in real time?

(Presently I track this via downloading the data through FLEX and displaying it in my own application, but I would prefer if I could see it in real-time in the trading software itself).


Thank you.

 

[tommcginnis]

Nope -- the permutations of which you're just getting a handle, grow too much in no time.
A "roll" is a fiction that *we* employ. TWS is, first, about trading, and second only, about taxation/regulatory exposure. When you open/close a position, it's opened (or closed).

What if you split a dollar position to 50¢ and 50¢? What if you thought the market was not due to turn, and sought risk relief on the opposite side? Your dollar position might become 50¢, 25¢, and then another 25¢ on the other side of the market, in either expiry.

You are much better off to handle something like that outside of your trading platform, than trying to decode what somebody else intended when they attempted to anticipate all the possible patterns of risk relief while programming yours.

 

[HappyTrader]

Yes, it also gets complicated with things such as additional different positions as a hedge (for example, adding GLD or VXX) as well as allowing partial assignments that turn into a buy-write.

Very complicated, which is why I wrote my own software to handle all this. However, would be interesting if there was something out there that did this.

I guess, after a certain point, it does become more about portfolio tracking/risk management and less about trading, and I think a lot of that is normally handled by in-house applications?

Let me know if I'm wrong, but I suppose even the very expensive off the shelf risk management platforms won't cover this?

 

[tommcginnis]

I guess, after a certain point, it does become more about portfolio tracking/risk management and less about trading, and I think a lot of that is normally handled by in-house applications?

From my observations, that's exactly right. There are two 'products' -- I think both are from Australia -- Hoadley is one (Hoadley is outrageous; Hoadley should be a household name amongst traders, IMO -- one of the only guys who really *nails* it, AND for a great (IMO) price...
http://www.hoadley.net/options/options.htm
and the other one..... I just can't recall, but also an Aussie, and big on risk metrics and such. )

But yeah: as an *industry* -- the basic idea (whether stated or not, what the *actions* demonstrate) is that you want to get new capital to place as many trades as you can convince them to trade, and then *not* tell them about handling the entirety as a portfolio, or handle the capital-available-for-risk *rather*than* the individual, engaged trades. As you are surmising, this is silliness, and something to which no professional manager/trader would be exposed. ["Gaddddddddd zooks."]