How is marking done by C2 on illiquid options?

How is marking done by C2 on illiquid options?

Marking-to-market illiquid options is a tricky business, and there is no answer that pleases everyone. For a long time, we used bid-asks, but that drove people crazy and prompted a rash of customer complaints since spreads grew absurd as expiration neared.

So now we use last-trade prices. This has its own set of problems (as you recognize), particularly for infrequently traded options, but it has the advantage of being helpful to people who trade their own strategies in the real-life markets (and thus actually influence the last price prints).

I won't be able to change how marking is done  by C2 on options, but I can comfort you by saying that your strategy is quite young right now, so small mark-to-market variances cause what seem to be large swings in equity on its chart. In fact, as your strategy ages, and more data appears on the chart, these small variances will not be noticeable, particularly after you unwind trades and recognize profits.
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