Why greeks values are calculated differently on different platforms

F&O
1

Hi @Sensibull,

I was checking greeks values for the same position on different platforms, and they are different.

Below are the screenshots of the positions, in 1. Sensibull, 2. Opstra, 3. My Custom Tool.
My understanding is, if the same input is given, greeks should be same?

For my custom tool:
Rate of interest: 0.06%
No of days in a year: 252
Underlying Price: Nifty Spot
Days to expiry: remaining days to expiry

Rest of the variables are same. I was validating result of my custom tool that I am deveoping with the results from other tools, and they seems to be different.

Why is that so?

  1. On Sensibull:

image
image1154Ă—594 35.9 KB

  1. Opstra.defineedge

image
image1269Ă—526 45.7 KB

  1. My Custom Tool:
    image
    image1342Ă—525 61.2 KB
2 Likes
2

Which software is your custom tool

3

I have found a tweet by Subhadip Nandy, it was about the greeks calculations which was different on opstra.Difineedge platform and capitalmind’s stratoptions (no longer working):

See the complain here:

I checked on quantsapp as well, no where these options greeks are calculated properly.

It is very dangerious to trade by looking at the greeks on these platforms.

@Sensibull How reliable the option greeks calculation are on your platform?

1 Like
4

C#/.Net Core at the backend, VueJS at the front end. It is for my own need to have a better option strategy builder and option trading tool.

5

I got the answer to at least about the sensibull option pricing & greeks.

https://sensibull.com/docs/mathsandmarkets.html

1 Like