Snowgold Option Calculator

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Download the Snowgold Option Calculator v1.6.4 (1776 KB) for Windows.

Now with support for high implied volatilities

View screenshots of the calculator in action.

If you don't have the ability to extract zip archives using tools like WinZip or ZipMagic, then download the self extracting archive optcalc.exe (1792 KB)

After downloading, run setup.exe to install the calculator.

Supported Models

The calculator provides three pricing models:

The Black Scholes model is the fastest model as it is based on a single pricing algorithm. The tree based models produce more accurate results (especially for American options) but they take longer to price an option as a price tree has to be built and then valued.

Additionally, the calculator allows implied volatilities to be calculated from exchange traded option prices.

What options can I price with the calculator ?

The Option Calculator uses a form of Black Scholes, Binomial Tree or Trinomial Tree to price American and European options on any non - dividend paying asset. A future version of the calculator will price dividend paying assets and handle more complex option types.

What results do I get from the Calculator ? 

The Option Calculator produces the standard measurements of value for an option:  

Fair value and the Option Greeks  

Additionally, the Snowgold Option Calculator also shows how these measurements will change as the input parameters change. To do this, the calculator modifies the relevant input and then re-values the option. This happens for a range of underlying values and a graph is produced. The process is known as tweaking.  

What data do I need to price an option ? 

Option details - these are the strike of the option, the date the option matures (maturity date), whether the option is a call or a put and whether the option is American or European.  

Underlying price and the prevailing interest rate.

Option volatility - this is one of the most important and most difficult factors to estimate when pricing options. At the end of the day, the buyer of an option is making a prediction of the price or interest rate which will be prevailing at the time of option expiry.

Dividend information can also be added for the underlying. Three dividend types are currently supported

A continuous dividend is a dividend yield which is paid out continuously. This type of divididend is often calculated for the constituents of an index and reported in financial sections in newspapers etc. In this case, the dividend date is not pertinent to the calculation.

A dividend amount is an amount of money paid out on a given date to all shareholders.

A dividend yield is a percentage yield (of the underlying price) paid out on a given date.

To assist you in keeping track of your option, additional information can be entered in the calculator which does not affect pricing - option name, underlying name and the currency.

How do I load/save my option details

Use the Open and Save options on the File menu or use the appropriate buttons on the toolbar. When the calculator is first started, it will automatically load the last option you were pricing ready for further analysis.To reopen a different file, use the reopen option on the File menu.

File open / save functionality is also available from the right click popup menu on the input screen.

Can I zoom in on an option chart ?

Yes, click the left mouse button and keep it pressed while you drag from the top left to the bottom right over the rectangular area you want to zoom in on. To unzoom, drag any size rectangle in the opposite direction. Alternatively, right click on the graph and use the Unzoom option on the popup menu.

I wish the calculator would.....

If you have any comments or suggested improvements please let us know.

Please note: Please read our disclaimer before using the Snowgold site.