Why CreateSyntheticOption increases put value when GLD price increases?
Author: pscanlon1
Creation Date: 6/15/2016 3:43 PM
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pscanlon1

#1
Im backtesting with synthetic options, and noticed something a little funny. If you run this with GLD, you will see between 6/2/2016 and 6/3/2016, that the put value INCREASES when GLD INCREASES. Not sure why this is the case?

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Eugene

#2
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pscanlon1

#3
Could you provide a little more information on how the volatility for this call is calculated? When i create the synthetic option, are you pre generating the values right there for the option price? Meaning, are you doing a loop forward with the stock data to create the OHLC values for the contract?


you can see in my code that i am calculating the black scholes value each time,

I set up this one to run from 5/29/16 to 6/4/16

Between bars 233 (4pm on 6/2/2016) and 234 (the next days open), im getting a decrease in the black scholes calculation, which looks correct. THis is in contrast to CreateSyntheticOption. If i knew better your inputs(assumptions), i could see if i can match the values.

233 - opt px - 0.319936438373574
234 - opt px - 8.25383427031153E-10
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Eugene

#4
Sorry, I don't have the information but tried to bring the issue to attention of Fidelity.