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Cheap Options Analyzer

  1. Can someone recommend a very inexpensive windows program that will allow me to input option premiums (I don't even need it to be able to download any data) and draw P/L curves for strategies that I feed it?

    I would like to have a simple program that will give me a quick readout of where prices need to go for my strategies to be profitable, for doing mostly simple strategies (i.e. selling expensive put at closer strike, buying cheaper put at further strike).

    Thank you.
     
  2. I think the CBOE has or had a toolkit that might work.
     
  3. Do a search on the internet for....hoadley options.....I think thats the name.....he has a pretty good free option analyzer program...if you have a problem finding it let me know
     
  4. Thanks for the tip.

    Just tried it, but it calculates theoretical option values and doesn't draw the P/L curve.
     
  5. Looks like exactly what I am looking for.

    I'll give it a try tonight!

    Thanks again
     
  6. hi...

    I am a big fan of ivolatility.com...Not only do they have a very basic options analytics platform that enables you to input different volatility assumptions, theta, etc, etc...but it also has a very detailed database of historical and implied vols for a host of securities and indicies...

    Another great feature which I think few people know about is their "index correlation" which tracks the equities which have the highest(lowest) positive correlations to SPX, DJX, NDX...

    very good stuff
     
  7. Actually, wanted to get some input from people who may have attempted this type of position in the past since we are on the subject of "gamma scalping"...

    I have, in recent days, actually mentally explored the idea of this type of position structure since we are at a very low implied volatility level in the index options and very close to a critical juncture as far as the indicies are concerned...Currently, the OEX implied vol. (ATM) straddle is trading approximately 1% above 52W lows which were made this past July(seasonally low vol. period)...Considering that the volatility has increased(at least temporarily) every April past few years, this looks like this trade may have an edge(at least in theory...)...Perhaps long the straddle on the APR expiration and then defending the position against the decay with the upside of a possible major volatility loading(especially put side) if we see a decline...

    Either way I would say the odds of volatility expansion are probably higher than volatility contraction at this point...It appears that much of it has drained out of thse options...

    Commissions for this type of strategy are dramatically lower than they were perhaps 2-3 years ago...$1.95 per contract futures, $2.40 per side futures using IB...

    Downside is the simple fact that OEX has lost alot of volume past few years...spreads on the options are MAJOR cost of doing business, and the overnight gaps can throw even the best laid plans into complete disarray...Regardless, would be interesting to here some well informed opinions...
     
  8. I agree with 90% of your points here but got confused when you said that gaps would mess things up. As a straddle holder, you would pray that gaps occur so you can adjust your deltas. Can you clarify why you think gaps would'nt be good when you are long gamma?

    thanks
     
  9. Actually, I am still working through the details of how much these gamma scalps would cost in the "rent" part of the equation...It appears to me that the underlying price action has very different effects on the trading of the underlying during different periods of time prior to expiration...Obviously, not a new observation, where the "rent" is pretty cheap in the beginning, but during the final days of the position, very pricey...Obviously, not great to be stuck in a straddle on an expiration such as this week, where market must have forced many adjustments at extremes only to return to the center and just drain more theta...(OEX)

    I am also very wary of the OEX these days since they have no competition for listing and the spreads just sit at half a buck most of the day, makes it very dificult to find any sort of edge with these things...I believe the actual scalps against the deltas are not so much of a problem with the ES, but this OEX is not the index it used to be...
     
  10. Vulture. you said....


    "where market must have forced many adjustments at extremes only to return to the center and just drain more theta...(OEX) "


    When you are gamma scalping, you are hoping for a reversion to the center after your 'extreme' adjustments. If you are long straddle and adjust by buying dips and it keeps going down, your are screwed somewhat because you turned your straddle into long OTM calls thru synthetics. your long put,long stock synthetically become long calls which means you now own twice as many calls that are OTM. If it reverts you hit a homerun else it is a slow PnL bleed.

    I agree with you on the rent part. You buy a straddle and factor in the rent which is back ended-i.e. if your straddle costs $30 with 30 days to go your 'rent' is $1 per day payable 20 cents daily this week, 45 cents week after , etc . I guess gamma scalping is simply a judgement call on whether you think the underlying will move enough to pay your backended daily rent. Good discourses about this subject can be found in Charles Cottle's books and Sheldon Natenburg's.

    Good luck.
     
  11. Yes, I have read the Cottle discussions and unfortunately lost the book 2 years ago(little did I know it would become such a hot book since then)...

    But yes I have done some work on the "rent" part of the equation and the thing that I find the biggest obstacle(obviously the one the floor does not deal with) is the simple fact that with the index options much of the "hedge" or "security" with having the insurance to scalp gamma's against is something of an illusion because the numbers never work as expected with the spreads, etc...(I guess that's why these MM/Arb firms pay all this $$$ to pull this stuff off)...

    Regardless, I continue to watch this market drain premium out of the index options and wonder whether what I perceive as an opportunity to buy what I would consider cheap insurance is really just a sea change in the longer term volatility trend...

    It really is a shame that the ES options market has never caught on...I believe that would be a great opportunity to trade apples to apples instead of apples to oranges...