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Resolved

Valuations on Crude Options

Apr 20, 2020 at 8:33pm UTC

Resolved
Apr 22, 2020 at 11:50pm UTC

We have identified and implemented Bachelier, an alternative valuation model for negative prices, for things like TI. The update should roll out in our next release -- but we are prepared to release it sooner if necessary.

Created
Apr 20, 2020 at 8:33pm UTC

Molecule is currently working on a workaround to  address an issue for valuations and greeks on crude options where the price of the underlying or strike has gone negative.  We will post updates as we move forward on this change.