Option payoff diagram generator. 1, Option payoff profile generator. 2. 3, amount / units, option premium / price of underlying asset, option strike price, Resulting position (negative values are cost, positive values are revenues), This spreadsheet allows you to generate payoff profiles for portfolio combinations of call options, put options and the option.

Option payoff diagram generator

Profit & Loss Diagrams in Options

Option payoff diagram generator. Free and truly unique stock-options profit calculation tool. View a potential strategy's return on investment against future stock price AND over time. Your trade might look good at expiry, but what about next week? OPC maps out these effects of volatility and time to help eliminate the unknowns from high-return trading.

Option payoff diagram generator


The Option Strategy Modelling Tool enables you to construct various strategies made up of combinations of trades in puts and calls plus trades in the underlying asset. Four types of options are handled: The tool will price all options using either the binomial model or the Black Scholes model.

Options may be either American or European-style exercise. Dividends paid on the underlying asset can be specified as:. You then use the tool to show graphically - using a pay-off diagram - or in tabular form, the impact on your profit and loss profile of changes in stock price and time. The above picture is an example of a pay-off diagram from the tool. By letting you decrease the time from trade date to expiry, it shows how time decay affects your strategy.

At expiry, the time line the bottom line in the example above merges with the pay-off line. You can vary the time to expiry by selecting a specific date, or by changing the time remaining a day at a time. You can also get the tool to automatically cycle though the days to expiry thus producing an animated picture of the effects of time decay.

You can also compare two strategies, either for the same or different underlying assets, by displaying them on the same pay-off diagram, as in the following example:. The impact of using different option pricing models Black-Scholes or binomial and different exercise styles American or European can also be observed by displaying two versions of the same strategy, but with different pricing models and exercise styles, on the same pay-off diagram.

For each strategy which may consist of multiple option and share trades the tool will calculate the Greeks delta, gamma, vega, theta and rho for each individual leg, and for the strategy as a whole. The Greeks can be viewed in tabular form or graphically for any range of underlying stock prices.

The following diagram gives an example of a strategy's delta plotted against a range of stock prices. You can also view the impact of time decay on the Greeks by changing the time to expiry a day at a time, by specifying a particular date, or by getting the tool to automatically cycle through the time to expiry. These act as templates for evaluating common strategies.

However the tool is not limited to these standard scenarios. You can construct any strategy out of the basic building blocks of buying and selling puts and calls, and buying or selling the underlying stock. The tool lets you specify one volatility covering all options for a particular underlying asset.

This is often sufficient for strategy evaluation purposes. However, in the marketplace volatility can be skewed, depending on how close to the money the option is. For example, an at-the-money option may not have the same volatility as an out-of-the-money option. To help you estimate the volatility implied by the market prices for each option type and strike price the options Strategy Modelling Tool includes an implied volatility calculator. The calculator takes account of the option pricing model used and any dividends paid during the life of the option.

For American options the tool will produce a report listing, for each option trade in a strategy, the underlying asset price and date s at which early exercise could be optimal. This report can be used to highlight the risks for option writers and the opportunities for option holders of early exercise. Please read the disclaimer before you download the program. Downloading the Strategy Modelling Tool indicates your acceptance of the terms of the disclaimer. Download the tool to your PC 2MB exe file.

Microsoft Excel '97 or above needs to be installed on your PC to run the model. To download the file follow the procedure outlined below:. Dividends paid on the underlying asset can be specified as: Pay-off diagram The above picture is an example of a pay-off diagram from the tool. You can also compare two strategies, either for the same or different underlying assets, by displaying them on the same pay-off diagram, as in the following example: The 'Greeks' For each strategy which may consist of multiple option and share trades the tool will calculate the Greeks delta, gamma, vega, theta and rho for each individual leg, and for the strategy as a whole.

Strategies The tool contains most of the standard strategies such as: Installation Please read the disclaimer before you download the program. To download the file follow the procedure outlined below:


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