Option Calculator Required Inputs

What do 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 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. The whole area of Option Volatility will be investigated soon on the Snowgold site, when we look at the analysis techniques which can be used with historical data. 

How do I enter this data ?

Dates - these are entered in Day Month Year format, two or four digit years can be entered, two digit years before 68 are assumed to be in the 2068. Months can be entered as a number, with January being 1, or can be entered as the standard three letter month abbreviation. The Day, Month and Year can be separated by spaces, dashes or backslashes. Examples of valid dates are shown below.

4-Jul-1998

4/7/1998

4 7 98

4Jul1998

Interest Rate and Volatility - these are entered as percentages 1.0 - 100.0  

Strike price and underlying price are entered as floating point numbers.  

The other option details are selected using the radio buttons at the top right hand corner of the calculator. 

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 underlying price changes. To do this, the Calculator modifies the underlying price and then re-values the option. This process is known as tweaking. If you do not wish to see the graph produced, de-select the 'Graphing Enabled' checkbox. To view one of the other Greeks on the graph, simply select the appropriate radio button and the graph will display your selection. 

Ready ?

 

The Snowgold Option Calculator 

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