02-11-2021, 05:57 PM
ThinkOrSwim thinkBack data accuracy
<!-- SC_OFF --><div class="md"><p>I was trying to backtest a LEAP strategy to see the outcome in a worst-case scenario. Basically, I tested what happens if you buy an ATM call option dated 1 year out, and then the market goes down--is 1y enough to recover from that loss? </p> <p>Using ToS's thinkBack backtesting tool, I bought that ATM call option on $SPY dated for 1y out, with purchase date on Feb 19, 2020 (peak before the market crash to test the worst case scenario). Predictably, the P/L graph was negative during the market crash, but the graph slowly recovered and was a few thousand in the green after about half a year, confirming my idea that simply holding the option may often be enough to offset the loss. This was also true if you bought an ATM call at the dip (best case scenario), this time with a profit of over 10k per contract if you held til today--I was honestly expecting IV crush with the falling VIX to cancel any gains you'd get, so this surprised me.</p> <p>My question is, how accurate are these numbers? I know ToS warns that this historical data doesn't necessarily translate to future performance. But my question is, is this is actual value of the call option at that point in time? Or is this simply what ToS has calculated that it may be worth based on the greeks at the time of purchase? </p> <p>I ask because a large portion of the value of the option in a 1y option is coming from gamma, which of course was not constant during the crash. So is it safe to assume that the values ToS uses were based on the <em>actual</em> greeks for the option <em>at each point in time</em>, or simply what they calculated based on the initial greeks at the time of purchase?</p> </div><!-- SC_ON --> submitted by <a href="https://www.reddit.com/user/joetheschmoe4000"> /u/joetheschmoe4000 </a> <br/> <span><a href="https://www.reddit.com/r/investing/comments/lgz1c6/thinkorswim_thinkback_data_accuracy/">[link]</a></span> <span><a href="https://www.reddit.com/r/investing/comments/lgz1c6/thinkorswim_thinkback_data_accuracy/">[comments]</a></span>Kind Regards R
<!-- SC_OFF --><div class="md"><p>I was trying to backtest a LEAP strategy to see the outcome in a worst-case scenario. Basically, I tested what happens if you buy an ATM call option dated 1 year out, and then the market goes down--is 1y enough to recover from that loss? </p> <p>Using ToS's thinkBack backtesting tool, I bought that ATM call option on $SPY dated for 1y out, with purchase date on Feb 19, 2020 (peak before the market crash to test the worst case scenario). Predictably, the P/L graph was negative during the market crash, but the graph slowly recovered and was a few thousand in the green after about half a year, confirming my idea that simply holding the option may often be enough to offset the loss. This was also true if you bought an ATM call at the dip (best case scenario), this time with a profit of over 10k per contract if you held til today--I was honestly expecting IV crush with the falling VIX to cancel any gains you'd get, so this surprised me.</p> <p>My question is, how accurate are these numbers? I know ToS warns that this historical data doesn't necessarily translate to future performance. But my question is, is this is actual value of the call option at that point in time? Or is this simply what ToS has calculated that it may be worth based on the greeks at the time of purchase? </p> <p>I ask because a large portion of the value of the option in a 1y option is coming from gamma, which of course was not constant during the crash. So is it safe to assume that the values ToS uses were based on the <em>actual</em> greeks for the option <em>at each point in time</em>, or simply what they calculated based on the initial greeks at the time of purchase?</p> </div><!-- SC_ON --> submitted by <a href="https://www.reddit.com/user/joetheschmoe4000"> /u/joetheschmoe4000 </a> <br/> <span><a href="https://www.reddit.com/r/investing/comments/lgz1c6/thinkorswim_thinkback_data_accuracy/">[link]</a></span> <span><a href="https://www.reddit.com/r/investing/comments/lgz1c6/thinkorswim_thinkback_data_accuracy/">[comments]</a></span>Kind Regards R