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Option Calculations

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The program has an integrated realtime module for calculations of implied volatility and Greek values such as Vega, Theta, Gamma and Delta. The calculation methods are Black Scholes, Black Scholes 76 and Binominal method.

 

How to open Option Calculations

 

1. Go to the Main Menu > Select Options under Equities > Choose market.  

 

Put/Call tab

A drop-down menu appears on to the left. Choose an underlying instrument, and all options connected to the instrument will be displayed. Calls is on the left side and Puts on the right. Forwards or futures are displayed to the left. Every expiry change is marked with a different background color (can be changed in the Setting menu)

 

Notice that the columns you choose are duplicated and shown on both sides, both for call and put. Some columns are removed because they take up too much space, and do not show any useful information (ISIN, Symbol, Description, Subtype). Some columns have equal values for both Call and Put; these are shown in the centre (Shortsynth, Longsynth, Strike, Expire Years, Expire Month, Expire Date, Expire Days). Some columns will have the same order on both sides, as close to the middle as possible (Bid, Bid Impvol, Bid Yield, Bid Arrow, Bid Size, Ask, Ask Impvol, Ask Yield, Ask Arrow, Ask Size). All other columns are seen in reverse on both sides.

 

Filtering

 

You can filter which options are shown in a series by ticking off the checkbox on the top:

 

Bid/Ask- include only lines with Bid or Ask (on the put or call side)Last - include only lines with Last (on the put or call side)

 

Strike- keeps only 5 options above and below underlying last

 

Underlying- Choose the underlying instrument by clicking on the drop-down menu

 

Expires- You can also filter the options by expiry date. The generic expiries (<First expiry>, <Second expiry>, ...) are useful when creating workspaces because they always refer to the first three upcoming expiry dates and do not need to be modified.

 

Filter- click on this if you have a filter, then increasing activity will include further options. The filter is not dynamic. If there is a Bid price on an option, this will not be visible until you click on Update Filter (or turn the Bid/Ask filter on and off). You can sort all columns. To go back to ordinary Expire/Strike sort, choose Expire Month.

 

Layout- It is possible to choose between Analysis, Default and Trading.

 

Volatility- it is possible to choose between Implied, Historical and Custom.

 

Calculating Theoretical Values

 

Choose Option Calculator Setup or right-click on an option or stock and choose  Calculation Setup > Choose the feed for the underlying symbols (e.g. Oslo Stock Exchange) and set the risk-free rate for that market (e.g. 4%). You can also set up volatility for the underlying symbol manually, or fill in the number of days you want and ask the server to calculate a historical volatility

 

Example: Press [Select All] - then [Set Days] - write: 30 [Enter] - press [Calc Volatility]. A request is sent to the server to calculate historic volatility over 30 days for all stocks on ”r;Oslo Stocks (this may take a while to save the first time). You can also fill in future dividends for each stock.

 

The values in the Quote Windows are now being calculated

 

For more information about the Option Calculation Setup, click here.