MesoSim v3.0: Advanced Valuation and Timing for Modern Options Strategies
MesoSim v3.0 is the most significant update to our simulator since its launch.
It introduces two major modules — the Options Valuation Model and the Timing Module—alongside numerous enhancements for quantitative strategy development. The release also refines user experience with an integrated AI Agent and a Volatility Surface viewer, helping you iterate faster and build more accurate strategies.
This is an important milestone, please read on.
Motivation
The goal of MesoSim v3.0 is to consolidate years of incremental improvements and design insights into a cleaner, more powerful, and forward-compatible platform. Building on its proven stability, this release enhances flexibility, precision, and live trading integration—elevating how strategies are defined, tested, and executed.
Please refer to the MesoSim v3.0 - Motivation post for a deeper dive into the rationale behind this release.
While maintaining backward compatibility has always been a top priority, this release introduces behavioural changes to improve accuracy and enable new features. Migration is automatic, however, understanding the changes is crucial.
Features
Calculation:
- Options Valuation Model with a Solver integrated into ScriptEngine. It allows you to use the Black-Scholes-Merton model directly in your strategies.
- Timing Module for calendar-aware logic was added to target Seasonal Effects.
- Marker Legs can now be used to observe the Volatility Surface within strategies. This enables trade decisions based on Skew or Concavity and other volatility dynamics.
- Volatility Surface Viewer to visualize IV dynamics and overlays like OI, Volume, GEX, and per-contract Greeks now available in the Advanced plan.
User Experience:
- GPT-5 based AI Assistant with in-depth MesoSim knowledge to help with strategy development
- Integrated Documentation with an AI enabled Search in the Portal
- New Front Page with research articles and quick access to backtests
Accuracy & Performance:
- Improved accuracy of timing variables for better intraday support
- Performance optimizations: over 10% faster backtest execution on average
All the new modules (Options Valuation and Timing) in MesoSim v3.0 are fully compatible with MesoLive, our live trading platform. Marker Legs are not yet supported in MesoLive.
Usage ideas
The new features can be combined in many ways to create sophisticated strategies. Here are some ideas to get you started:
- Gate entries based on forward PnL or theta
- Tighten exits when projected gamma maxes within range
- Detect strike drift and trigger roll rules at a computed break‑even
- Trade around seasonal patterns (turn of month, OPEX, witchings) using calendar‑aware timing
Companion Analytics: Volatility Surface
Explore IV dynamics visually, then translate your insights into code using valuation and solver functions. Overlays include OI, Volume, GEX, and per-contract Greeks, with support for single- or multi-day playback.
The Volatility Surface feature is available with the Advanced plan
Get Started
We’ve designed the migration process to be as seamless as possible. Jobs are automatically converted, and users are notified of any changes made to the Strategy Definition. Since some timing variables have changed, not all strategies will behave exactly as before.
Review the migration guide
for details—especially around timing updates. You often can revert to the previous behavior (e.g., by using int(var)),
but we recommend adopting the new approach for improved accuracy and live trading compatibility.
Further support is provided in the MesoSim v2 to v3 Migration aid topic.