MesoSim v2.13 & MesoLive v1.1 Release
MesoSim v2.13 and MesoLive v1.1 introduce three key enhancements for quantitative options research and execution:
GLD ETF options, 3D volatility surface visualization, and unrestricted paper trading.
GLD Options Integration
GLD ETF options are now supported by both MesoSim and MesoLive, complementing our existing index options (SPX, RUT, VIX) and crypto options (BTCUSD, ETHUSD) suite.
Key Characteristics
- American-style exercise
- No dividend exposure - reducing early exercise risk
- Average daily volume: >300K daily contracts
- Tight bid-ask spreads: Typically ~5 cents for ATM strikes
Trading Considerations
GLD's correlation profile makes it valuable for portfolio construction:
- Negative correlation with USD (typically between -0.8 and -0.4)
- Low correlation with equity indices
- Frequent backwardation in implied volatility during market uncertainty
Given GLD's negative correlation with the USD and generally low equity correlation, introducing GLD options allows quantitative traders to build strategies aimed at reducing systematic market risks, particularly useful during volatile periods such as economic uncertainty or geopolitical crises. Incorporating GLD options into portfolio hedging strategies could significantly mitigate equity drawdowns.
MesoSim treats GLD as cash-settled to maintain backtesting consistency.
Please check out the Equity and Index Option Simulation page of MesoSim for further details.
GLD Put-Write Strategy
Explore to the pre-built GLD Put-Write Strategy available in MesoSim.
Volatility Surface Analytics
Our new 3D volatility surface visualization tool delivers historical insights from SPX, RUT, VIX, and GLD options markets.
Technical Implementation
Using our proprietary interpolation algorithm combined with liquidity metrics, researchers can examine historical market dynamics interactively.
Accurate visualization of volatility surfaces not only helps identify anomalies like volatility skew and convexity but also enhances traders' capability to dynamically hedge and implement advanced strategies such as volatility arbitrage or calendar spreads. This detailed analytical tool provides quants with critical insights needed for developing alpha-driven options strategies.
Quantitative Applications
- Surface Dynamics: Comprehensive Greek visualizations
- Flow analysis: Overlay Volume, Open Interest and Gamma Exposure (GEX) to identify institutional positioning
- Feature extraction: Future integration with Merlin for ML-driven strategy development
Available exclusively in FundPro tier due to computational requirements.
MesoLive Paper Trading
MesoLive's integrated Paper Trading offers a superior alternative to IBKR's simulation accounts, removing several constraints:
- Shared Market Data: Leverage your existing live TWS connection, avoiding redundant data fees
- Flexible Capital Sizing: No $250k account reset limitations
- Unlimited Margin Flexibility: Test strategies with large notionals without margin constraints
- Customizable Fills: Manually specify fill prices for greater testing precision
- Full Functionality: Complete parity with live MesoLive features
Explore further details on MesoLive's Paper Trading Page.
Development Roadmap
MesoLive Additional Brokerages:
- TastyTrade Integration: We are planning expansion MesoLive to support TastyTrade brokerage. Tasty offers competitive commissions, intuitive platforms, and free market data.
- Schwab Update: Due to limited access, Schwab support will focus on manual import/export capabilities between Schwab Brokerage and MesoLive Paper accounts.
Alpha Research: Leveraging our enhanced volatility surface tools, we will continue exploring volatility-based alpha factors within the options market.
MesoSim v2.13 and MesoLive v1.1 are available immediately. Volatility Surface analytics require FundPro access.