Option model that will batch process trades?

Discussion in 'Options' started by Brighton, Feb 14, 2013.

  1. Brighton



    I'm adding some pre-2011 option trades to a database and have all the option model inputs in Excel and Access. I'm not sure if "flat file" is the correct term, but the data for each trade is in a single row or record. I'm trying to find a way to efficiently run these trades through an options model to obtain the IV, Delta and the other Greeks at the time of the trade.

    These are all exchange traded, American-style futures options. The number is not huge (247) and I can manually key them into a pricing model, but that would probably take four or five hours at about a minute each.

    Any ideas on a free or moderate cost way to accomplish this?

  2. kapw7


    If you have already all the data in Excel what stops you to add some formulas/code etc to calculate the values you need?

    One thing I have found is that Access can be restrictive on the amount of data it can handle. I don't have much programming knowledge but I've loaded my data on Postgresql (>50 GB of data).

    I wonder what solutions other people are using.
  3. Brighton


    My rusty knowledge of the models and how to write the formulas is what's stopping me. I know Excel has some built-in option pricing formulas and there are a number of worksheets on the internet, but from what I've seen, they were designed for European style stock options and it would take some time to figure out how make them work on a large list.

    This is going to be a one-off thing, so it might make more sense to pay my lovely assistant to do the grunt work and run the trades through a model one-by-one.
  4. RPEX


    I'm pretty gash at computa. But i know for certain that Access is a steaming pile of shit that won't help you out. Either get it all into Excel, or a SQL db with python or something doing the grunt work. Black model should be good enough approximation, no?
  5. Brighton


    RPEX, Yes, one of the models I've used and seems be sufficient for my purposes is the Black model. This is after-the-trade analysis so it doesn't need to be super precise. If the IV or the greeks are off by a percent or so, that's good enough. I'm just trying to get the dbase complete and then dive into commonalities and the not-obvious patterns of my winners and losers. Nothing all that sophisticated.