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, Paris Option exchange (Monep) and other exchanges
• 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
• Six different option strategies can be shown in a graph
• Calculation of implied volatility

User friendly interface
OptionCalculator is especially developed for the Psion Series 5. The user friendly interface of this organizer 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 organized 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

Options on stocks, bonds, currency, precious metals en indexes
OptionCalculator calculates Call and Put premiums of a wide variety types of options. Standard, OptionCalculator is delivered with a file called AEX, existing of the following Dutch options:

• 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.
• Currency: DEX, DXJ.
• Precious metals: GD, SI.
• Indexes: AEX, AMX, E100, TOP5, AIS en AFS.
• + All options traded at the Paris Option Exchange (Monep).

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

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.

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

Implied volatility calculation
The implied volatility is calculated via an iterative proces using the Black & Scholes pricing model. Instead of calculating the option's premium using historical volatility, the implied volatility is calculated in a reverse order. The market value of an option is used to calculate a volatility value that equals this market value. The implied volatility gives you insight in the difference between premiums based on historical and current market value.

History
Version 5.00 (April 1999):

Based on the successful introduction of version 3.0 for de Series 3a, 3c en 3mx in June 1998, a lot of effort is done to make a version for the Series 5. Not only the interface, but also the performance of version 5.00 is very much improved compared with version 3.0. One of the reasons for this is the new operating system EPOC32. With regard to version 3.0 the following enhancements are made:

• The user interface is much improved (bigger font, graphical stronger).
• Saving data is done in a much faster way (hardly noticeable by the user).
• The speed of calculating premiums is also much improved.
• To draw a graph takes much less time than it used to.
• A maximum of 125 new options can be held in one file. Beside that you can have an unlimited number of files.
• You can print the calculated premiums of an option.
• Per index you now can now view how much, and which options are assigned to that index.
• When selling options, the to be reserved margin will be calculated as well.

Version 5.01 (August 1999):

• OptionCalculator is now also available in English.
• In version 5.00 the indexes AEX, AMX, TOP5, E100, AIS and AFS were static variables. In the current version they can be edited dynamically. This enables the input of other indexes then the formerly mentioned ones.
• The number of indexes per file is extended to a maximum of nine (formerly eight).
• In version 5.00 it was only possible to use the USD currency option. You can now use any currency. Especially for this, a country module (Shift-Ctrl-C) was developed.

• Bug fixes in Country Settings.
• New assigned files with an existing name will overwrite the former file (after a confirmation by the user).

• Bug fixes in procedure Check_datum. This procedure only raised errors on the Series 5mx.
• The expiration day (previous fixed to 3rd Friday of the month) is now adjustable to any third trading day in the third week.

• Bug fix for error number 21, which occurred only on the latest release (EPOC R5) of the Series 5mx. It caused the program to crash when OptionCalculator was started from the Extra's bar.
• The installation procedure is simplified by using .sis files. In upgrading the application, the old files will be deleted automatically. When deleting OptionCalculator, all the files and folders will be cleaned up neatly.

• This version also works on the Psion Revo and Psion Revo Plus.
• Calculation of implied volatility based on the marketvalue of an option.
• Changes in Email and website address.

• This version also works on the Diamond Mako.
• Beside a "AEX start" file (containing all options on the Amsterdam Option Exchange) a new "MONEP start" file is part of the standard delivery, in which all option on the Paris Option Exchange (Monep) are pre-defined
• The expiration day can now be changed to <last trading day of the month> and <next to last trading day of the month> too.
• You can now feed holidays into OptionCalculator. If an expiration day is a holiday, the expiration day will automatically be transferred to the first trading day previous to this holiday.