Philadelphia, PA (PressExposure) February 09, 2009 -- Optionspreadsheet.com is pleased to announce the Free availability of a completely new analytical tool for the evaluation of Equity and Index Options (Puts and Calls). This new concept in Options Analysis gives the Option Trader the ability to compare up to 21 options simultaneously, and determine which of them can reach a selected Target Gain over the original Option cost with the smallest price movement of the underlying equity.
This Spreadsheet allows users to copy Option data, including the "Greeks" from a variety of sources, and enter (paste) them into the Input Data sections quickly and easily. Once the data have been entered into the spreadsheet, the user can specify any desired Target Gain (eg: 50%, 100%, 200%) and the output Matrix will then display the amount by which the price of the underlying equity must change for each of the options to meet the specified Target. Particularly useful is the fact that the options being analyzed at any one time can represent several different expiration months, providing an immediate insight into the trade-offs between longer expiration times vs. higher costs.
The data are displayed in a "semi-graphical" format which makes it easy to comprehend the relationships between the various options being analyzed, and makes the best choices (the fastest options) plainly evident. The first Matrix of Price Changes is based entirely on the changes due to Delta and Gamma effects. These calculations will pertain primarily to cases where the trade time horizon is just a few days, and time decay is not expected to be an issue.
The most significant feature of the Spreadsheet is the second results Matrix. The calculations for this Matrix incorporate the effects of both Time Decay (Theta) and Volatility (Vega) for the different Options being analyzed. The user is able to specify the number of days into the future for the calculations to simulate, as well as the amount by which the Volatility might change.
These factors are then incorporated into the calculations, and the results are displayed in a way that makes the changes relative to the first Matrix clearly evident. This ability to run the calculation for various combinations of Time and Volatility change allows the user to explore a variety of "what if" scenarios, and to see which options provide the fastest gains - and the most consistent gains - under a variety of circumstances. The contrast between the output of the first and second Matrices provides a highly visual picture of the effects of Time and Volatility on the options being analyzed.
In addition to the two Data Matrices, the analysis calculates a variety of metrics for evaluating the various options, including:
â¢ Delta/$: One measure of option leverage
â¢ Gamma/$: Describes the relative ratio of Delta Increase/cost
â¢ Theta Decay (%/Day): Percentage of value lost per day due to time decay
â¢ Daily Theta Offset: Daily Underlying price rise needed to offset Time Decay
â¢ Underlying Change to Close Spread: Underlying rise to close the Bid/Ask spread.
â¢ Bid Rise Needed to Hit Target: Amount Bid price must rise to meet trade target
â¢ Option Leverage Ratio: Ratio of the gains made holding the option vs. the Equity
Together with the information provided by the two Data Matrices described above, these metrics provide a wealth of insight into the relative merits of different options that could be purchased for a particular equity, making the task of selecting the candidate most likely to meet a trade profit target significantly easier.
This spreadsheet is being made available FREE for a limited time, in order to gather user input and feedback.