Stanislav

The problem is not that BS assumes that IV is static, but rather that BS formula does not know that a binary event (which is a volatility generator) is going to take a place before the expiration. To proper model this we need a special volatility model or some other tricks. Please, keep sharing your charts and research. We a happy to have a good topic to discuss, do not perceive this as a criticism. We are just trying to figure out what these charts do really show and how to properly use them and possibly how to improve them.

Well, if you calculate the orange line as I described above, the calculation is flawed. Since we have an earnings event that occurs before the expiration, to proper model the option price we need to take into account that IV consist of two components: normal option volatility and earnings option volatility. If we just take IV at some point and fix it, and put this into the B/S formula, we are going to receive completely incorrect theta decay, i.e. B/S will tell us that option price will decay as quickly as if we had no earnings event. But we do have a binary event before the earnings. More details on Earnings Volatility calculation can be found in Brian Johnson's book "Exploiting Earnings Volatility: An Innovative New Approach to Evaluating, Optimizing, and Trading Option Strategies to Profit from Earnings Announcements". I understand what you are trying to achieve - assess a theta decay in option price before the earnings, but as well as @Kim I do not see how you calculation is relevant here. Proper earnings volatility modelling is quite complicated thing - one needs to analyze whole option chain and calibrate a model to be able to split IV to Normal IV and Earnings IV. And so on (some time ago I put a lot of efforts into studying Brian Johnson's work, and can tell it is not as simple as take B/S formula and put some values into it).

How do you calculate that? Take IV from the date of the start of the chart, fix it and all other parameters in Black and Scholes formula except time to expiration and strike price. And then change time to expiration and strice == underlying price, compute cost of the straddle using B/S?

@SBatch, thanks!

@SBatch, I am curious, what sophisticated modeling and tracking features of TradeHawk you find useful?

There is a discussion somewhere in Brokers and Commissions thread, TW commissions are on the same level as IB commissions, maybe slightly lower, but not enough lower to justify moving to TW for most of the members. And TW and Tradier use the same clearing firm to route orders and trades for them, so TW cann't be faster than Tradier.

Wow, cool! If only they cut down the cost of the TradeHawk.. Currently I am not totally ready to pay fixed $299/mo cost (even if is cheaper than trade the same number of contracts in IB), considering there are cheaper alternatives for Tradier like ONE+Tradier Web interface, or Dynamic Trend + some manual trade tracking. But I am keeping an eye on TradeHawk.

@clems, thanks for your answers! Let's hope Dynamic Trend will implement P/L based on margin and grouping trades together for trade tracking purposes. These two features are very essential, and without them I can not seriously consider Dynamic Trend as a total replacement for ONE + broker platform. That being said, Dynamic Trend so far looks like the best solution for Tradier for option order execution & management. It only lacks good trade tracking capabilities.

@Gamma Stalker, See this thread for some Dynamic Trend discussion. There is a member there who uses this software. I am too interested in a Dynamic Trend, and have just asked several questions in that thread:

@clems, a few questions: - Is Dynamic Trend able to show trade P/L as a percentage of margin required for the trade? The same way OptionNet Explorer shows P/L: http://help.optionnetexplorer.com/documents_one_tour__analysis_tools__risk_chart.htm - Does Dynamic Trend have something like Position Monitor in ONE? A table where all open positions are listed and their P/L as percentage of margin: http://help.optionnetexplorer.com/documents_one_tour__ribbon__home__position_monitor__monitor_grid.htm

@Gamma Stalker, @ChadK thanks!

@SBatch, or anyone who trade in Tradier: just to be safe I want to clarify, does Tradier allow trading volatility products - options on VXX, SVXY, options on VIX futures? Are there any known issues with margin calculation on these products? The first page of this thread discusses Tradier does not allow calendar trades on VIX options. This should not be an issue. But do they allow place calendars in SPX, or just buy some VIX calls for protection?

No, I wrote several Python scripts to play with their REST API. Just send simple get requests and display server's answer. Currently I do not have time to research further, but I am going to open Tradier account soon. Then I'll be more motivated to write my own scripts and so on. There is a list of libraries on a Tradier web site: https://developer.tradier.com/documentation/overview/libraries Also in parallel thread @clems mentioned Dynamic Trend software, which integrates with Tradier for option trading, and worth looking at:

While answering your question I dug a litter dipper and found Portfolio Margin only offsets positions in ETFs and Indexes when margin requirements are calculated. Single Stock positions never offset each other. So if one only uses Steady Options strategies for earnings plays, it virtually makes no difference whether Portfolio Margin or Reg-T margin is in use. Actually Interactive Brokers with Portfolio Margin requires more margin for option calendar trades then Reg-T margin requirements are (they are a bit paranoid in with calendars). Here is the article explaining Portfolio Margin Offsets.

Portfolio Margin is different than Reg-T margin. With Portfolio Margin they calculate the risk of the overall portfolio, resulting in significantly lower margin requirements in some cases. Professionals often use Portfolio Margin to most effectively deploy their capital. Usually Portfolio Margin is available for large accounts (starting from $100k or so). See also: https://en.wikipedia.org/wiki/Portfolio_margin

By the way, I contacted Tradier support and asked whether they have plans to implement Portfolio Margin and options on futures and commodities in the near future. Their answer was that they do not have any plans to offer Portfolio Margin in the near future. Also Tradier do not have any plans to offer trading in futures or commodities options at the current time. So, they position themselves as a Reg-T broker with only stocks/ETFs/indexes options. That means we have to keep our IB account in order to trade commodities.

@SBatch, @ChadK, thanks very much for your answers! As far as I understand the Quicken export report only contains Qty/Price information per trade. So if I open a trade and then close it, there will be two lines in the report. And I has myself to figure out Realized P/L for the trade. That maybe the way to solve the problem, but I've took a look at Tradier API. And found they have an API to receive a gain/loss per trade for given account. So far, the description of the API looks very promising: https://developer.tradier.com/documentation/accounts/get-account-gainloss The result contains gain_loss field, as well as open_date, close_date, symbol for each trade. Overall, seems like it is possible to solve tax accounting task in Tradier, and there are multiple ways to do it. I've also contacted Tradier support to see what they can tell me on the issue. P.S. I took a look at Tradier REST API, and absolutely love it! Withing 2 minutes after registration in a Developer Sandbox I was able to receive delayed quotes for stocks using a sample Python script. The API is clean, easy, and very modern. Unlike the one in IB.

@SBatch, does Tradier provide something similar to Interactive Brokers Reports \ Activity \ Statements \ Realized Summary report? And if so, in which formats (I mainly need PDF for official report for a local tax regulator and CSV for my own processing). In IB I use this report to calculate my taxes. Since I am not US Citizen, I can not use standard US tax forms. And I need a report with columns for each trade: Open Date, Symbol, Realized P/L (including brokerage and pass through commissions). In IB their Realized Summary report does provide these details. I wonder if there is something similar in Tradier?

Here is what Tradier support answered me regarding International accounts. Seems they already do provide International Accounts on a case-by-case basis:

I mean I am going to consider opening account at Tradier when they add support for International Accounts. Not right now. I already wrote them a letter yesterday asking if they have any plans and a roadmap to add International Accounts. When they reply I'll post their answer there.

Just curious, can you please elaborate on "ONE remains very disconnected for much of the data". I know Tradier does not translate RUT index, and that makes ONE crazy when trading RUT. But that is an issue with Tradier, not with ONE. Also ONE does not receive and add order fills to its Trade Log from the broker automatically. That is how ONE currently designed. Any more issues when using ONE with Tradier?

As for me, currently I use IB. I understand your point. The facts are: As reported in this thread, execution times and overall order routing quality between IB and Tradier seems to be the same. pros: * Commissions. Tradier can save tons of money we spend on commissions; * REST API in Tradier is much much better than that in IB. TWS API is a pain to work with; * No intermediate platform in-between compared to ONE -> TWS -> IB Server; * We can choose a platform that is fully integrated with the broker, unlike ONE / IB which only capable of sending orders to IB and nothing more (and I am not a big fan or using TWS directly to place option orders). So, trading process in Tradier can be more convenient. cons: * No Portfolio Margin at Tradier; * Native Tradier Web interface does not group option legs together in any way; * As far as I understand, currently they only allow to trade stocks and options on stocks, EFT's and indexes. So the range of tradeable products is quite limited; * Tradier is a new broker, without historical track record. So reliability and security issues is not fully known at this point. So, right now I would not rush to open an account at Tradier (actually I can not, since I am not US Citizen). But I watch them closely. For me modern REST API alone is a big plus - if it allows me to easily write scripts to scan for some patterns in options, and there is no limitation of 100 simultaneous realtime tickers as in IB (need to investigate this further), I may consider opening a small account in Tradier to take advantage of their API.

Do I understand correctly TradeHawk platform costs $299/mo if we want to trade options? At least that is what Tradier web page states: https://brokerage.tradier.com/platforms/tradehawk Maybe a bit too much to pay $40/mo for brokerage + $299/mo for the platform (no brokerage commissions can compensate for that if the account is large enough, but..). OptionNet looks more attractive, however, I can guess their integration with Tradier is not that good (ONE can only send orders to broker and does not automatically gets real fills back, at least with IB it so. And I believe I read in this thread Tradier integration is currently at the same state).

Ok, thanks! Wrote them a letter.

Ophir Gottlieb, I've read this whole thread and signed up to CML TradeMachine Pro service. The backtester seems to be quite interesting and helpful at the very least, and provides a quick way to backtest some simple ideas. I couple of questions: Why custom strategies are limited to 4 legs only? I want to backtest a 6-leg strategy (basically an iron condor with some hedges builtin), and custom strategies currently does not allow this. Any chances the limit on number of legs to be increased in the future? Is there a way to force a spread size to be expressed in dollars when adding a custom strategy? What I need is some combination of: "specify leg by delta (as custome strategies currently do)", and then offset strike price by X points. For example, Iron Condors are quite often designed like "Sell 10 delta PUTs and CALLs, and make wings 10 point wide". So, it would be very helpful if custom strategies allow to specify this explicitly. P.S. Do I understand correctly that I won't be entitled for automatic an upgrade to CML TradeMachine Premium for the same $49/mo price, when it is released? Since I registered for CML TradeMachine Pro only yesterday (using some "limited offer" link for $49/mo).