Skip to main content

MesoSim v2.5: Full Crypto Support, Improved adjustments, Historical Volatility

· 2 min read
mesosim-v2.5-banner-pic

We are pleased to announce version 2.5 of MesoSim which includes the following improvements:

  • Crypto graduates to Stable:
    Simulation of Crypto Options (BTCUSD and ETHUSD) traded in Deribit is now fully supported. The documentation has full coverage of Crypto extensions.
    See the BTCUSD-Straddle-2022 featured run to get started, or browse our strategy library for other ideas.

  • Remove Leg Adjustment:
    It is now possible to conditionally remove a leg and adjust the structure afterward. Please check out the docs and the built-in template [SPX-RemoveLegAdjustment] for reference.

  • Multiple Adjustments:
    You can do multiple adjustments in one simulation cycle, allowing moving complete structures leg-by-leg. For reference, see the [SPX-MultiLegAdjustment] template.

  • Historical volatility for the underlying:
    underlying_hv variable is now available, representing the 30-day historical (or realized) volatility.

  • Education material:
    We also started to put together training material to get you started easier.
    You can find the Work in Progress version of the presentation here.

Data Survey result

Thanks to everyone filling out our Data Survey.Based on your responses, we will add Russel-2000 (RUT) Index Options shortly, and later in the year, we'll add VIX as well.

Next work items

In the next cycle, we'll further improve our flexibility related to Adjustments, External Data (CSV) and will keep addressing the rough edges reported by our users.