Nov 5 – Update #2

It appears that the optionvue models have actually been spitting out inappropriate deltas for the past few weeks. They’ve been giving higher than the normal negative deltas and would have resulted in some unnecessary adjustments. There was a big problem with the modelling. It’s apparently fixed and I’ve updated my software, but it seems “off” still and my confidence in the modelling is slightly shaken. Hard to trust. I don’t think any of the adjustments had cost me too much and it’s not bothering my Rhino trades but it is bothering my M3 trades. Today was a down day and our trades should have seen some profits but it was actually the opposite. This is likely due to the drastic change in option skew and also perhaps some of the modelling issues. That and the recent 115 point run up and the drastic change in option skew has made this month quite challenging to end. This is now 3 months of challenges in a row 🙂 The OV problems are all over the internet boards and everyone is chatting about them. The president Len Yates released a statement yesterday.

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