I run a SaaS company (digital signage, nothing to do with markets) and I trade options on the side. Mostly covered calls, some verticals, a few earnings plays. Full disclosure before I start complaining: I built the thing I mention at the bottom, so weigh my complaints accordingly.
The question in the title is a real one. I never found a good answer and eventually built my own, and I want to know whether everyone else solved it in a way I never heard about.
Here's what I kept running into.
My broker shows positions and it shows P&L, but it has no concept of a campaign. I open a covered call on KO, it gets tested, I roll out and down, I roll again, eventually I close for a small credit. The broker sees four closed trades and one open one. What I want is a single number telling me whether the covered call program on KO made money over eight months. I've never gotten that out of a broker, and I got tired of reconstructing it in a spreadsheet I stopped updating around March.
Second thing. Assignment warnings. Everything I used flagged short legs on a days-to-expiry timer, so every position screamed for the last two weeks of every cycle and I stopped reading the flags entirely. What I wanted was a flag when exercise actually becomes rational. Remaining extrinsic against the dividend, carry, that sort of thing. The inputs all exist. Nobody surfaces them that way.
Third, and this one bothered me most. A lot of trackers mark American options with Black-Scholes and hope. Deep ITM puts and anything sitting in front of a dividend mark wrong, and then the greeks come off a different model than the price, so your delta and your mark quietly disagree. Same story with stress testing. Every "stress test" I found was delta times beta. That isn't a stress test. I wanted the whole book repriced at spot down 5 with vol up 25, because that's the number that actually hurts.
(and yes, I know IBKR's risk navigator does some of this. It also assumes you enjoy using IBKR's risk navigator.)
So I built it. Binomial tree with early exercise, greeks off the same tree, so model value and market price sit next to each other on every leg instead of me trusting the broker's mid. Rolls and adjustments stitch into campaign P&L, which was the whole reason I started. Spot by vol grid over the actual book.
The earnings side is where it got more interesting than I expected. Anything crossing an earnings date carries a risk number that models the IV collapse after the print, rather than a flat-vol number that pretends the crush isn't coming. And each earnings name shows the move the options are pricing against what that name's own history says it deserves, with market-implied probabilities where a number helps. That's how I decide whether I'm getting paid enough to be short vol into a print instead of eyeballing the straddle and guessing.
It tells me what I own, what it's worth, and what's about to bite me.
It's invite-only right now, so there's nothing to click even if I wanted there to be. If you want a code, DM me and I'll send one over.
Mostly though, I want the answer to the title. If you run a real book with rolls in it, what do you actually do about campaign-level P&L? Spreadsheet? Broker export into something? Gave up and just track the underlying? If the answer turns out to be "a spreadsheet, badly," then at least I know I wasn't the only one.
Brokers see four closed trades where I see one covered call campaign
byu/DigitalSignage2024 inoptions
Posted by DigitalSignage2024