Scott, Tom and Tom,
Via private email I have asked you several times to investigate my claim that the TOS Theta Calculation hold an error.
I have been informed by Tom that indeed you are aware of errors in the Theta calculation but that correcting the software will have to compete with features other clients request.
In an attachment to this post you can see the size of the errors in the Theta Calculation. At times TOS will present a theta of $200 for a position which has a true value of less than $25. My observation of errors starts 3 weeks before expiry and become very visible in the expiry week.
The effects of the calculation errors are wrong assessments of current position health. At times this will benefit the trader, at times hurting the trader. In addition it gives a faulty basis for the use of the analyze page.
I request the following;
- open a web page which lists the known errors in the platform so traders can take these issue into account.
- correct the Theta errors and treat it as an emergency release
- investigate if all other TOS Greeks calculations are up to standards.
Tom(s) and Scott, I am very surprised with the magnitude of the error - your platform is in production for 8 years, how is it possible that an error like this is not discovered and addressed earlier. I am even more surprised that while corresponding on the issue in private for 3 months - we have not found common ground.
On the legal side I wonder about compliance issues - Can a broker who is aware that information he provide real-time to his client is erroneous, absolve himself for the consequences.
I am very sorry that I need to go public with my grief - I have tried via email and phone conversation but never met a listening and understanding ear. All your correspondence seem to do is to try to reduce the size and the impact of the error.
As said in private emails - I think you are the only real option broker in town - your colleague's don't even come close. So while I express my grief and frustration in this letter- at the same time - no option trader should read this email and draw the conclusion that your business offer is not competitive or essential.
Regards
Ernst Tanaka
Download TOS_Theta_errors
This is a big issue.
I wonder if we do the same trades in other brokerages and TOS, will the greeks be different?
Who should we trust?
Posted by: JJ | October 29, 2009 at 09:33 PM