Option Workshop blog #iv

Tuesday, 06 June 2017

Option Workshop, version 17.6.1515

In this update, we’ve added several improvements:

  • Changes in the Positions manager:

    • Copying a strategy with all fills
    • A new Mnns (moneyness) column that shows the option status: in the money, at the money, out of the money
    • A new Risks tab. Now the tab shows only the total number of underlying contracts to be settled if in the money options expire right now. In the next updates, we plan to add more useful information about strategy in this tab
  • Changes in the Charts form:

    • The ability to bind the Charts form with the active (selected) strategy in the Positions manager. The form will show a chart for the currently selected strategy in the Position manager
    • The ability to display the P&L chart taking the commission for the fills into account
  • In the Option Desk, the bid and ask cells are now highlighted if the best bid/ask price is higher/lower than the theoretical price.

  • In the new version, you can add contracts to the market maker by dragging a position or a strategy into the market maker setting form.

You can read more about these and other changes in this article.

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Tuesday, 18 April 2017

Bear Call Spread

Strategy name and alternative names

Bear Call Spread. An alternative name is Credit Call Spread.

Main characteristics

Bearish position. It is a vertical spread involving an equal number of long and short calls on the same underlying asset and with the same expiration date. It is a credit spread, which means you receive money to put on the position. The strategy profits as long as the price of the underlying security remains below the breakeven point.

Options used in the combination

Sell to open one at-the-money (ATM) call and simultaneously buy to open one out-of-the money (OTM) call. The strike price of the short call is below that of the long call. The advantage of this spread is that it benefits from time decay and provides an immediate inflow of cash. The maximum gain and loss on the spread are very limited and well defined.

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Monday, 03 April 2017

Release fix, 17.4.1457

We’ve released a small update, which includes only two bug-fixes:

  • The program sometimes hangs when user try to change position price through the Set price button;
  • The program ignores the first line of a CSV file with volatility curve.
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Monday, 05 December 2016

Option Workshop, version 16.12.1307

In our new version, we have changed the principle of pricing models setting. Now the model is defined as a pair of a computation model (Black, Black-Scholes or Cox-Ross-Rubinstein) and volatility model. You can create multiple models for each series of options and customize them in different ways.

In the volatility model settings, you can specify custom volatility values. Also, we have added a user-defined model line on volatility skew built from custom values in the pricing model settings.

Also, there are a few small changes in the positions table, technical support form, etc.

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Monday, 06 June 2016

Implied volatility calculation

Today we’re going to talk about how we calculate volatility in Option Workshop, and what our plans are to improve this part of the functionality.

Option Workshop is integrated with several data sources, which provides market data for options and their underlyings. They all are different, with a different API, different architecture, but they all have one thing in common – they don’t provide current implied volatility value for options. This means we have to figure it out on our side, inside the Option Workshop pricing mechanism.

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