OptionCalculator

OptionCalculator is developed for experienced traders in options. With OptionCalculator it is now possible to gain from the over- or undervalue which is apparent in most option premiums in the market. On the other hand it gives you a good understanding how options behave, especially regarding the factors that determine the premium. With this knowledge you can translate your vision into a suitable strategy.

Main characteristics:

Very user friendly interface
Theoretical premium calculation of European and American style options
Support of all types of options at the AEX-Optiebeurs
Inclusive of option sensitivities like: Delta, Gamma, Theta, Vega and Rho
Volatility and dividend are easy adjustable
Inserted transactions are automatically calculated on their ROI
With one push on a button you can retrieve the most actual premium of de corresponding option via the Koersinformatielijn (Dutch version only)
Six different option strategies can be shown in a graph

Besides that, OptionCalculator is developed by implementing various user requirements. The development history can be found here.

User friendly interface
OptionCalculator is especially developed for the Psion Series 3a, 3c and 3mx. The user friendly interface of this organiser is used in an optimal way. Many of the powerful functions can be activated by one single dialog, and the lay-out of the screen is such that all relevant information is organised in a transparent way (click here to see a screen demo).

Premium calculation
There are a lot of theoretical models to calculate the premium of an option. Probably the best known today is the Black & Scholes model, which is very well suited to calculate premiums of European style options. For American style options the Black & Scholes model is not sophisticated enough. The Binomial model however gives us a suitable alternative to calculate the premium of an American style option. Both models are used in OptionCalculator. Depending on the style (European or American), the application chooses the best model automatically. In most cases stock options are calculated with the Binomial model, while index options are calculated with the Black & Scholes model. For American style options you can set the accuracy in OptionCalculator. The classification used in OptionCalculator matches the following periods:

Fair: binomial model with 10 periods
Good: binomial model with 30 periods
Very good: binomial model with 80 periods

The 30 periods model is very frequently used in professional trade.

Options on stocks, bonds, currency, precious metals en indexes
OptionCalculator calculates Call and Put premiums of a wide variety types of options on the AEX- options exchange. Currently the following options are delivered with OptionCalculator:

Stocks: AAB, AGN, AH, AKZ, ASML, ASR, BAAN, BGG, BSW, CAP, CSM, DRT, DSM, ELS, FOR, GIS, GTN, HDG, HEI, HGM, HO, IHC, IM, ING, KBB, KKB, KLM, KPN, NDL, NUM, OCE, PAK, PHI, PLG, RAND, RD, STO, UN, VI, VNU, VO, WKL.
Bonds: NLJ, NLL, NLN, NLR, NLT, OOF.
Currency: DEX, DXJ.
Precious metals: GD, SI.
Indexes: AEX, AMX, E100, TOP5.

All options can be edited, deleted or newly generated by the application.

Option sensitivities
The premium of an option is dependent on a number of variables, like the duration and volatility. The influence of these variables and other variables are represented by the following options sensitivities:

Delta: the change in the premium as a result of changes in the price of the underlying value
Gamma: the change in the Delta of the option
Theta: the influence of time on the premium of the option
Vega: the change in the premium as a result of changes in the volatility
Rho: the change in the premium as a result of changes in the interest rate

OptionCalculator calculates these sensitivities for every option, so you can determine exactly what the influence of the variables is on the premium of the option. These sensitivities are extremely useful for the experienced option trader. The Delta by example is used to determine how many stocks must be kept to cover the option position.

Interest rate, volatility and dividend
The premium of options is -amongst others- dependable of the interest. This risk free rate is easy maintainable in OptionCalculator. Especially for stock options, it is important to know the value and date of the dividend. To calculate the premium, the underlying value has to be compensated with the present value of the dividend. Volatility is one of the main influences on the premium of an option. OptionCalculator is build in such a way, that these figures can be fed into the application in a user friendly way.

Portfolio management
OptionCalculator enables you to enter transaction (buy and sell) in options. Every time a premium is calculated, the return of investment (ROI) is automatically calculated for you. This will help you to gain insight on the profit/loss profile of your option series.

Telephone code generator (Dutch version only)
Via the Koersinformatiesysteem of the AEX-Optiebeurs you can retrieve the latest premium of all options. OptionCalculator automatically generates this telephone code for you.

Graphical presentation of option strategies
With OptionCalculator you can graphically present six different option strategies. Therefore the risk's, the investment and the possible outcomes of this strategy can be looked at in one single glance. The following strategies are supported by OptionCalculator:

Long Call
Long Put
Long Straddle
Short Call
Short Put
Short Straddle

With one push on the button you can also have a look at the sensitivities (Delta, Gamma etc.) of the strategy.

History
version 2.0 (March 1997):

First public version.
Enhanced user interface.
Calculating premiums with both the Black & Scholes model and the Binomiaal model.
Build in graphs.

version 2.1 (October 1997):

OptionCalculator is made independent of system settings on sound, standard disk and international numbers.
When the dividend date has passed, a option specific warning is triggered.
The telephone number of the Koersinformatielijn can be dialled automatically.
Saving data is approximately two times faster.
The name of the Owner is shown in all cases in the program information screen.
Transactions are automatically erased after the expiration date, but will be shown to the user for one time only.

version 3.0 (June 1998):

All option specifications can be edited (e.g. currency, option name etc.). Options can be put together to the users wishes now.
New options can be added to a maximum of 60. They can also comprise of synthetic (not existing) options, so that the effect of different specifications can be monitored (e.g. American versus European style options).
Options that are not used can be deleted from the file, to save unnecessary used disk space.
‘Home’, ‘End’, ‘PgUp’ en ‘PgDn’ are supported now, so the user can navigate more quickly.
When starting up OptionCalculator, the user has the possibility to automatically load option series with transactions in it.
The CAPS-modifier has no influence on the short-keys anymore.

Summary
OptionCalculator is a very versatile application, in which premiums of options can be calculated in a quick and user-friendly way. Besides that, it has the ability to show the graphic representation of six option strategies. This enables you to easy understand the risks and possibilities of the strategy involved. OptionCalculator is an application running on a Psion Series 3a, 3c and 3mx. It needs about 50 Kb of memory. To download the application, please go to the Download page. You can download the application for free. You are then able to use the basic functionality of OptionCalculator. If you want the full range of functionality, you will need a registration number. To register, please go to the Registration page.