Option pricing tool?

Discussion in 'Options' started by heech, Feb 23, 2010.

  1. heech


    Hi all,

    What's a powerful/easy to use tool that really lets me play with various portfolios, and calculate greeks? I'm willing to pay, priority is on ease of use.

    I'd like to be able to easily create portfolios across 20-30 strikes, and then see how the valuation changes with volatility + time.

    I don't know if I need anything really tied to live quotes... I'm dealing with commodity options that aren't always quoted properly (electronically). I need something that's flexible, maybe doesn't even know about instruments... that lets me just "create" strikes as needed.

    I actually seem to remember there was a sponsor on this site a month or two back that had something pretty impressive that worked with commodity options. Anyone remember their details? Did a quick search, didn't come up with anything.
  2. pwrtrdr


    CQG ... cost some dough each month tho.

    They are prob. best.

    Although I think Interactive Brokers has something if you are client not sure...
  3. If these are options of commodity futures then why don't you just program the black model into a spreadsheet? The closed form solution, along with the formulas for the greeks, can be found anywhere on the web. It should take you no more than an hour to set up the first option calculation, and then just copy paste as much as you want.

  4. http://www.samoasky.com/
  5. heech


    I already use them, but it doesn't support commodities... and doesn't let me create arbitrary instruments/strikes so that I can emulate commodities.