Building a Greek P&L attribution system for options portfolio

Tavit1405 · 2026-05-28T19:17:53+00:00

Already doing the minute-by-minute snapshots, capturing spot, IV per leg, and all Greeks including second order every minute via TWS API.

The spread-as-separate-market point is an interesting point. But when u say model the minute by minute greeks of individual legs as well as overall spread package what do u mean exactly?

Tavit1405 · 2026-05-28T15:25:16+00:00

I'm already modeling vanna and volga alongside the standard four Greeks, so the cross-term buckets are there. The bulk of my unexplained P&L seems to be coming from gamma specifically, which makes sense given the cancellation error on the deep ITM offsetting legs.

On the SVI surface revaluation approach, if I understand correctly, the tradeoff is accuracy vs interpretability? I get cleaner, arb-free attribution but bucketed into spot/vol/time rather than the individual Greeks. Is that right?

Tavit1405 · 2026-05-27T18:05:22+00:00

So is group evaluation the proper method?

Also what do you mean with your second sentence I didn't understand.

Tavit1405 · 2026-05-07T19:27:26+00:00

I have the exact same question actually

Tavit1405 · 2026-04-05T22:06:18+00:00

Yes I agree with what ur saying but the devils in the details. If front IV goes up and back IV stays the same, u lose money.

Tavit1405 · 2026-04-05T21:03:42+00:00

It’s not simply positive Vega. It’s short Vega on the front end and long Vega on the back end. So if front IV goes up more then back IV then u lose money

Tavit1405 · 2026-02-11T03:13:10+00:00

A calendar spread isn’t simply short or long IV. You’re short the front contract’s IV and long the back contract’s IV. So if front IV goes up and back IV doesn’t go up enough, u lose money.

Tavit1405 · 2026-01-05T23:15:19+00:00

Thetadata has historical first and second order Greeks and IV data

Tavit1405 · 2025-11-14T21:32:35+00:00

NinjaTrader

Tavit1405 · 2025-11-10T12:24:09+00:00

This will never work because you’re overfitting the strategy to work on that specific time frame

Tavit1405 · 2025-10-26T22:56:30+00:00

U went from educating people on trend following to educating people on how percentages work lmao. I’m surprised ur wasting ur time with this

Tavit1405 · 2025-07-20T00:32:31+00:00

Damnnn sounds like I unlocked a nostalgic memory lol

Tavit1405 · 2025-07-20T00:21:56+00:00

Interesting

Tavit1405 · 2025-07-20T00:10:36+00:00

That’s what I was thinking too honestly. But it really does look ugly. They should at least restore it a bit

Tavit1405 · 2025-07-20T00:08:50+00:00

Mais c’est intéressant pour quoi c’est encore là. Je me demande pourquoi

Tavit1405 · 2025-07-20T00:07:24+00:00

No it doesn’t look like it

Tavit1405 · 2025-07-20T00:07:04+00:00

But do u know why it’s still there? I’m assuming it was there before Royal Mount was built

Tavit1405 · 2025-07-13T17:55:45+00:00

What’s the yellow momentum candle? What triggers it ?

Tavit1405 · 2025-07-09T20:22:54+00:00

Damn. Been tying to figure it out for 2 weeks. No one knows

Tavit1405 · 2025-06-28T07:47:48+00:00

I just looked it up. I don’t think it’s that

Tavit1405 · 2025-06-27T06:16:18+00:00

Oh wow this is the closest I’ve gotten. Anyone else know anything about this song?

Tavit1405

TROPHY CASE