option sheets

Discussion in 'Options' started by 2rosy, Oct 8, 2012.

  1. 2rosy

    2rosy

    anyone interested in option sheets. basically, so you know what an option is worth at various prices levels.

    for example crude nov calls would be something like this...

    headers=strikes
    rows=underlying prices

    http://bit.ly/QNjouY
     
  2. vol assumptions and time to maturity inputs?
     
  3. 2rosy

    2rosy

    november calls; they expire 10/17. I used binomal pricing Leisen Reimer. vol .298. They values were in line with IB
     
  4. You mean 11/17;
    what day was the calculation done? Any skew assumptions?
    Each spot level represents a skew curve across strikes.
     
  5. 2rosy

    2rosy

    i created the sheet 10/8
    nymex CL Nov options expire oct 17
    No skew assumptions.

    The sheet generates theoretical values for a strike at a given price.