Analyze futures options using The Options Lab

Discussion in 'Index Futures' started by pengw, Aug 1, 2009.

  1. pengw


    Over the next few weeks I will show how to use Options Lab ( at to analyze futures options.

    The things with futures options are that they don't always have ticker available like stock options do.

    To analyze futures options with Options Lab, you need use the Offline tab to enter the underlying spot price, strike, days to expiration and premium for the give strike by hand. Once you do that, rest is easy, all you need do is click on different areas to see
    how the fields/values and charts changes.
  2. dstod


    Looking forward to seeing this analysis. I'm currently tracking ES futures options to understand them better before I trade them.
  3. pengw


    Let's use E-mini SP FOP as an example because it is the most liquid futures options out there with very small spread.

    1. Go to The Options Lab at

    2. Since there is NO ready ticker for ES FOP, choose offline tab

    3. Fill in 988.1 as spot ES price, 1000 as strike, 15.4 as the premium for 1000 call, 19 days as days to exp. ( found days on the top of screen )

    4. Click on Calculate, and you get IV at 22.78% and rest of fields on the right hand side and chart all filled up with a default long straddle position.

    5. We don't like Long Straddle position so let's change it to a Call ratio spread by clicking on the Ratio Call Spread on the left hand side. Now One Long 990 call and Two short 1000 call are choosen in ( you can change the strike, but make sure click on Refresh )

    6. Before we proceed, let's look at the those greeks in Totals line for a while. Immediately, you can tell this is a long theta , short vega position, which means time decay benefits you and volatility jump wil hurt you. By how much ?, the vega shows -$87.31, which means every 1% of vol jump will cost you $43.66, ( remember this is emini FOP which x 50 not 100, so divided it by 2 when you calculate ),
    and with every passing day, you gain $28 ( 55 / 2 ).

    7. Now click on Exp and you will see if current setup stay until exp date, you will make $567 ( $1133 / 2 )

    8. Now after you hit Exp, press shift-a ( the uppercase a ), the quick view will show you what gain/loss looks like at exp date from -40% to +40%.

    9. The chart will also show you at which stock price you will have your max profit, which is at 1000.

    Hope this helps

    We will show you how to trade FX and ten years treasure notes options with Options Lab next time.
  4. Any more updats on futures options ? I have been using Options Lab fot stock options analysis for a while, but not for futures options. I think adding some kinds of config box will be helpful so people can set cash index for different futures, such as 50 for emini sp and 20 for nq,etc
  5. MegaDeth


    Options lab seems really cool to model positions. How do I get the quotes for broad based index like SPX and narrow based index like NDX? Thanks.
  6. I think for SPX and NDX options data, you have to find them somewhere else, then enter them in the Options Lab using the Offline tab.