Greetings, I'm trying to build an indicator in TS6 which will monitor atm option values for expirations 1 and 2 months away. Anyone aware of how to accomplish this? Here is the code for the Options Complex for TS7 but it appears to not work correctly. { Multiple-output function; see MULTIPLE-OUTPUT FUNCTIONS note below. THIS CONSOLIDATED OPTIONS FUNCTION INCLUDES THE GENERALIZED BLACK-SCHOLES MODEL FOR EUROPEAN/AMERICAN CALLS, EUROPEAN PUTS, AND THE GREEKS, PLUS THE BJERKSUND-STENSLAND MODEL FOR AMERICAN PUTS. THE FUNCTION INPUTS ARE AS FOLLOWS: MYASSETTYPE: Underlying Asset Type 1 = NON-DIVIDEND-PAYING STOCK 2 = DIVIDEND-PAYING STOCK 3 = FUTURES 4 = CURRENCIES DAYSLEFT: The number of calendar days left for the option. Can use the functions "DaysToExpiration" or "Next3rdFriday". STRIKEPR: Strike price for the option. ASSETPR: Underlying Asset Price. RATE100: Risk-free annual interest rate, in percent; can pass in a constant, or attach an appropriate index as Data 2 and pass in its price. YIELD100: In percent; used only if MYASSETTYPE = 2, else can pass in 0. FOREIGNRATE100: In percent; used only if MYASSETTYPE = 4, else can pass in 0. VOLTY100: Volatility of annual return, in percent, of underlying asset; can pass in a constant or use one of the volatility functions - ImpliedVolatility or VolatilityStdDev. PUTCALL: Set this to 2 for a put, 3 for a call (or use the keywords Put or Call ). EUROAMER01: Set this to 0 for European options, 1 for American. Note that this makes a difference in American put pricing only, all other computations remain the same. HEDGE PARAMETERS OR "GREEKS": DELTA = OPTION PRICE SENSITIVITY VS. ASSET PRICE GAMMA = DELTA SENSITIVITY VS. ASSET PRICE VEGA = OPTION PRICE SENSITIVITY VS. VOLATILITY THETA = OPTION PRICE SENSITIVITY VS. TIME RHO = OPTION PRICE SENSITIVITY VS. INTEREST RATE REFERENCE TEXTS: Black-Scholes and Beyond: Option Pricing Models, Neil A. Chriss, 1997 Option Pricing Formulas, Espen Gaarder Haug, 1998 } inputs: MyAssetType( numericsimple ), DaysLeft( numericsimple ), StrikePr( numericsimple ), AssetPr( numericsimple ), Rate100( numericsimple ), Yield100( numericsimple ), ForeignRate100( numericsimple ), Volty100( numericsimple ), PutCall( numericsimple ), EuroAmer01( numericsimple ), oOptPrice( numericref ), oDelta( numericref ), oGamma( numericref ), oVega( numericref ), oTheta( numericref ), oRho( numericref ) ; variables: Rate( 0 ), Volty( 0 ), Yield( 0 ), ForeignRate( 0 ), Carry( 0 ), YearsLeft( 0 ), YearsLeftRoot( 0 ), Temp1( 0 ), Temp2( 0 ), Temp3( 0 ), d1( 0 ), Z1( 0 ), N1( 0 ), d2( 0 ), N2( 0 ) ; { Note: d1, Z1, N1, d2, and N2 are the standard names used for these quantities } if ( MyAssetType <> 1 and MyAssetType <> 2 and MyAssetType <> 3 and MyAssetType <> 4 ) or DaysLeft <= 0 or StrikePr <= 0 or AssetPr <= 0 or Volty100 <= 0 or ( PutCall <> 2 and PutCall <> 3 ) then begin oOptPrice = 0 ; oDelta = 0 ; oGamma = 0 ; oVega = 0 ; oTheta = 0 ; oRho = 0 ; OptionsComplex = -1 ; end else begin Rate = Rate100 * .01 ; Yield = Yield100 * .01 ; ForeignRate = ForeignRate100 * .01 ; if MyAssetType = 1 {NON-DIVIDEND-PAYING STOCK} then Carry = Rate else if MyAssetType = 2 {DIVIDEND-PAYING STOCK} then Carry = Rate - Yield else if MyAssetType = 3 {FUTURES} then Carry = 0 else if MyAssetType = 4 {CURRENCIES} then Carry = Rate - ForeignRate ; Volty = Volty100 * .01 ; YearsLeft = DaysLeft * .002739726027 { = 1 / 365 } ; YearsLeftRoot = SquareRoot( YearsLeft ) ; Temp1 = Volty * YearsLeftRoot ; Temp2 = StrikePr * ExpValue( -Rate * YearsLeft ) ; Temp3 = ExpValue( ( Carry - Rate ) * YearsLeft ) ; d1 = ( Log( AssetPr / StrikePr ) + ( Carry + Power( Volty, 2 ) / 2 ) * YearsLeft ) / Temp1 ; Z1 = ExpValue( -Square( d1 ) * .5 ) * .398942280407 { = 1 / SqRt2Pi } ; N1 = NormSCDensity( d1 ) ; d2 = d1 - Temp1 ; N2 = NormSCDensity( d2 ) ; if PutCall = 3 then begin oOptPrice = N1 * AssetPr * Temp3 - N2 * Temp2 ; oDelta = N1 * Temp3 ; oTheta = ( -Z1 * AssetPr * Volty * Temp3 / ( 2 * YearsLeftRoot ) - N1 * ( Carry - Rate ) * AssetPr * Temp3 - N2 * Rate * Temp2 ) * .002739726027 { = 1 / 365 } ; oRho = N2 * YearsLeft * Temp2 * .01 ; end else if PutCall = 2 then begin if EuroAmer01 = 0 then oOptPrice = ( N1 - 1 ) * AssetPr * Temp3 + ( 1 - N2 ) * Temp2 else if EuroAmer01 = 1 then oOptPrice = BjerkStensCall( StrikePr, AssetPr, YearsLeft, Rate - Carry, -Carry, Volty ) ; oDelta = ( N1 - 1 ) * Temp3 ; oTheta = ( -Z1 * AssetPr * Volty * Temp3 / ( 2 * YearsLeftRoot ) + ( 1 - N1 ) * ( Carry - Rate ) * AssetPr * Temp3 + ( 1 - N2 ) * Rate * Temp2 ) * .002739726027 { = 1 / 365 } ; oRho = ( N2 - 1 ) * YearsLeft * Temp2 * .01 ; end ; oGamma = ( Z1 * Temp3 ) / ( AssetPr * Temp1 ) ; oVega = Z1 * AssetPr * YearsLeftRoot * Temp3 * .01 ; OptionsComplex = 1 ; end ; { MULTIPLE-OUTPUT FUNCTIONS A multiple-output function has two types of parameters or "inputs" - input parameters and input/output parameters. The values of the input parameters are passed into the multiple-output function, but not modified by the function. The values of the input/ output parameters are passed into the multiple-output function, modified by it, and the modified values are then inherited by - or output to - the calling routine. The input/output parameters are often used for output purposes only, i.e., the incoming values are ignored. The outputs are in addition to the function return. In multiple-output functions, the function return is generally used to return an error code, though sometimes the return may simply be a dummy value. The input/output parameters are declared with a "ref" suffix (such as "numericref") in the multiple-output function's declaration statements. For further clarity, the names of the input/output parameters are generally prefixed with an "o" in the function as well as in all the routines that call the function. The built-in single-return WRAPPER FUNCTIONS that call the multiple-output functions are specialized calling routines designed to offer simplified, alternate pathways to the functionality of the underlying multiple-output functions. In the wrapper functions, the input/output parameters are declared as local variables and generally initialized to zero. They are passed through to the multiple-output function without further modification. After the call, the wrapper function picks out the single output of interest and assigns it as the return of the wrapper function. } { ** Copyright (c) 1991-2003 TradeStation Technologies, Inc. All rights reserved. ** ** TradeStation reserves the right to modify or overwrite this analysis technique with each release. ** }