mauikona
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Posts posted by mauikona
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Would it be easy to add beta weighting portfolio greeks as feature, perhaps to the portfolio window or the account positions window? The formula isn't proprietary, I think, as there are plenty of articles on the web discussing the concept.
When we have many positions, one surprisingly effective way to consider portfolio exposure is by beta-weighting each greek of each position to some index, like SPX (user-configurable), then aggregating them (sum, or product, or something else, I'm not sure on the math).
I'm not that good of a writer, I thought I'd include this excerpt and link explaining the concept in a different way. Hopefully, it's regarded as still on topic.
"Beta weighting is a means for investors to put all of their positions into one standard unit. It is a way to look at an entire portfolio and understand how it will change with a move in the market. It tells us about the size, diversity and general risk of our positions." --from https://www.tastytrade.com/tt/learn/beta-weight
Here's a link to a feature request thread of a TWS where users have shared there use cases for this feature and eventually voted it to the top of that platforms feature request list: https://www.interactivebrokers.com/en/index.php?f=2493&sid=8926
Multi-leg order entry
in Feature Requests
Posted
Multi-leg order entry would be useful for options spread traders.
While single leg trade entry has similar results at times, other times it is materially worse. Spread-entries often benefit from price-improvent and/or margin relief, relative to the same position entered by one leg at a time. Some positions are even impossible to enter without spread order entry, due to account restrictions or market conditions.
Three examples to illustrate:
Example for price improvement--enter long in an SPX option(min tick size is $0.05): If the ask is $0.05 and the bid is $0.00 then the single leg trader must enter with a market order at $0.05 as it is not allowed to place a limit buy at $0.00. A spread trader, however, can buy the option as part of a multi-leg order and get filled on this option between $0.01 and 0.04.
Example for margin relief--AMZN calendar spread ($988 stock): A calendar spreader can be smoothly enter a two-leg calender for $40.00/share. This requires $4k in buying power before doing the trade. However, the single-leg-order-entry trader, to get the same position, might have to first enter the long for $400/share, then enter short for $360/share. This requires that the account have $40k in buying power before starting the first leg.
Example for price improvement: many two-leg spreads can get filled mid-way between the composite bid and ask, but the same trade, as a single leg, can't filled without a marketprder
Despite all the above, I am happy to see that open option spread positions can currently be closed in Medved Trader.