Hi everyone,

first of all thanks for this great community! I don't know what I'd do without you!

For a few days now I'm stuck with a strange filling behaviour of the stop loss order for my short put strategy. I'm selling one position at a specific signal and setting up a take profit at 50% and a stop loss at -100%. The take profit without the stop loss works fine. But the stop loss is triggerd and filled at an option price that was never relevant in the given time frame.

I compare my results with ThinkOrSwim. But additionally I plotted the highs and lows of the option price into an extra chart in QuantConnect as well ("Option Prices"). And even QC itself is telling me that the stop loss shouldn't be triggered.

Let's put all that into numbers!

  • On the 10th April 2023 I'm selling a put (MSFT 12May'23 260 Put) for $2.36.
  • The take profit is at $1.18 (50%).
  • And the stop loss at $4.72 (-100%).
  • On the 13th April the stop loss is triggered at a price level of $4.72.
  • But having a look at the chart “Option Prices”, you see that in the whole time frame the highest price of that option was around $3.0. ThinkOrSwim validates that maximum.

 

Can somebody please help me understand what I'm missing? Thanks!