Option Analytics
Option Analytics is composed of:
The Option Analytics window
The Option Modeler
OptionTrader
The Option Analytics window displays values that reflect the rate of change of an option's price with respect to a unit change in each of a number of risk dimensions. The contract price plots display the static set of contract prices determined during the price scan. Each point associates an underlying price on the horizontal axis with the corresponding contract price on the vertical axis. Note that the contract price is expressed as the price per underlying unit (just as it is represented on an order line or in the execution window). The top plot displays calls, the bottom plot displays puts, for whichever option your have highlighted in the list.
Use the Vol-up, Vol-down and T-down checkboxes to view the plot under different scenarios to help you visualize the volatility and time risk in your option positions. Vol-up raises the implied volatility by 15% in relative change*; Vol-down reduces the implied volatility by 15% in relative change*, and T-down reduces the time to expiry by one calendar day.
To view Option Analytics
From the Trading window, on the Analytics menu select Option Analytics.
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Option Analytics Fields |
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Contract |
Lists options from the active trading page, or from an option chain, sorted by underlying, expiration date and strike price. |
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delta-call |
The rate of change in the value of a call option with respect to a change in the price of the underlying asset. Since call values increase with an increase in the price of the underlying asset, delta-call is always a positive number. A call option with a delta of 1.0 will move at 100% of the rate of change of the underlying, an option with a delta of 0.50 will move at 50% of the rate of change of the underlying, etc. |
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delta-put |
The rate of change in the value of a put option with respect to a change in the price of the underlying asset. Since put values decrease with an increase in the price of the underlying asset, delta-put is always a negative number. A put option with a delta of -1.0 will move at 100% of the rate of change of the underlying, an option with a delta of -0.25 will move -25% of the rate of change the underlying, etc. |
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gamma |
The rate at which the delta of an option changes with respect to a change in the price of the underlying asset. |
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vega |
The rate of change in the value of an option with respect to a change in the volatility. |
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theta |
The amount that an option value will change with the passage of one day. This is not the derivative, but rather it is a difference. Theta is also known as the time value decay, or premium decay. |
Note: These values are updated with the underlying last price, and when you apply changes to an option class. These risk dimension values can also be displayed on the OptionTrader screen.
*For an example of a relative percent change, if the current implied volatility of an option is 10%, a 15% relative change would result in an implied volatility of 11.5%, calculated as follows:
10% * (1 + 0.15) = 11.5%.