MesoSim v2.8: VIX and Reg-T Margin beta

MesoSim v2.8

We are pleased to announce that MesoSim-2.8 has been released on May 27, 2023, effectively expanding our offerings to include new Market Data and Reg-T Margin Calculation capabilities.

List of improvements

VIX Options

In response to your feedback received through the Data Survey, we are expanding our offering to include VIX Options. This new data set allows us to cover better the broad-based indices utilized by both retail and institutional traders.

Please note that VIX is currently in the beta phase, as certain tasks such as Settlement to VIX Futures and IV calculation are yet to be finalized. For the latest information, please visit our Service Status page.

If you are interested in VIX trading strategies, we recommend exploring Russell Rhoads' presentations and books as valuable resources.

Reg-T Margin Calculation

Reg T Margin Report
Reg T Margin Report

In response to a common user request, we have incorporated Reg-T Margin calculation into the simulator, based on the CBOE's Margin Manual.  

Calculating Reg-T margin is a complex task that requires the system to effectively analyze and deconstruct a set of contracts into known structures to accurately determine the associated margin. Although the calculation rules are clearly defined, the combinations of structures can vary significantly. Furthermore, brokers have the discretion to include additional margin requirements based on their own house margin rules, which are frequently implemented.

While Options Backtesting Software, such as OptionNet Explorer, perform its own Reg-T Margin calculations, we have observed occasional deviations from the standard. In order to ensure accuracy, we have validated our implementation with all the tests described in the margin manual. Moreover, validations were also conducted with real brokerages, such as TD Ameritrade and TastyTrade.

Overall, we have added over 3500 lines of new code to our code base, making it the most extensive change implemented for the service thus far.

You can find a Margin Enabled run in this link.

MesoSim meets Academia

In order to support Options Education, we are initiating a program that offers complimentary access to MesoSim for classes focusing on Derivatives and Options at Universities.

If you are a lecturer interested in incorporating our service into your curriculum, please contact us at [email protected]


Once we address the remaining tasks related to VIX and Reg-T, we will proceed with implementing measures to support Forward Testing. Certain features, such as enhanced visualization, will first be provided via the backtesting offering.

The complete list of work items is collected here.

Upcoming Pro plan

As previously indicated, we are planning to introduce a Pro plan for MesoSim. 
The Basic Plan will allow users to backtest SPX and Crypto Options, while the Pro Plan will include additional features such as RUT & VIX Data Sets and Reg-T Margin Calculation. The Pro Plan will be available as soon as we transition VIX and Reg-T from beta to stable (sometime in the summer of 2023).

Customers with an ongoing subscription will enjoy all the benefits offered by the Pro plan at their original subscription price.