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Black-Scholes Options Pricing Software Calculator Excel Add-In Visual Basic, VBA

		Options/X 10.0
		Financial Options ActiveX Control and COM Object

Options/X Stock Options Pricing and Analysis Software

Options/X is designed to make life easier for quantitative analysts, option traders and others needing fast option pricing in Excel or their own custom developed application.

Options/X is a full Excel-AddIn which also comes with SDK/API and demo applications ready to use. It can price options, estimate historical and implied volatility, calculate greeks and more.

Options/X gives you the power to easily create your own trading system, option price calculator, implied volatility estimator and more. With our easy to use, yet powerful software, including demo applications with source code, backed up by our top notch support, you will be able to build applications to price stock options, commodities and currencies in minutes, not days.

Options/X 10.0 contains more than 60 powerful new methods including the following completely new functions:

New Discrete Dividend Methods for Black-Scholes and Bjerksund-Stensland models
New Probabilistic Methods to compute values such as:

   Upside stock potential,
   Downside stock potential
   Probability of security price being above, below, touching or between values.
Fast analytic methods to compute probability of stock ever touching a price level as well as Monte Carlo methods
Risk-Reward methods to compute potential risk and reward for option trades.
Combined calculation methods of prices and greeks for Black-Scholes and Bjerksund-Stensland models for even faster results
Updated Excel Add-In. To calculate the potential upside movement of a security in Excel based on a given volatiity and holding time, you would simply enter:

=UpsideStockPotential (InitialPrice, Prob, Time, Volatility, DividendRate)

where the variables are replaced by the appropriate cell references.

This is a very significant upgrade from previous versions of Options/X and introduces a range of fast analytic methods as well as in some cases, Monte Carlo methods so the two can be confirmed as desired. Importantly, we have included a fast analytic method for computing the probability of a security touching a price level within a set time. For options trading, this type of calculation may be very important.

Options/X is very fast, yet easy to use. In only one line of code, you can add derivative pricing to your application. a software package that enables you to price stock options, commodities and currencies. It is a full Excel Add-In but also includes an extensive API and DLL for creating your own stock option pricing applications, options calculators and option trading applications in Visual Basic 6, VBA, Visual C++ 6, C# and more.

With Options/X, you can compute greeks, implied and historical volatility to value put and call derivatives for American and European options using the Black-Scholes formula, Binomial Cox-Ross-Rubenstein model and others. A free 90 day trial can be downloaded here: Options/X Options Pricing Software.

With Options/X, you can create your own exchange traded stock option price calculator to compute stock option prices for European and American Options, analyze options volatility smile or compute historical volatility. Are you interested in making money using stock options? Have you tried stock trading, but now need to work out how to trade options successfully? One of the most essential tools for options trading is software for options pricing. The beauty of Options/X is that you are in control of exactly what is computed and what algorithm is used. You are free to create your own options pricing calculator using the built-in functions of Optiopns/X. This can be done in Excel or use our sample applications to build your own in your choice of programming language.

We provide the source code in Excel Visual Basic, Visual C++ and other languages so that you can use the built-in options pricing models to easily create your own option pricing calculator. Use our example program or develop your own Windows applications for option trading easily in: Visual Basic 6, Visual Basic .NET, Visual C++, Borland C++ Builder, Excel. While we may not be able to turn you into an options trader, we do provide the software that is used by options traders and brokers to value and analyze stock options.

With full source samples you will be able to quickly and easily implement Options Trading software. Download Options/X now and you can try it out in full, even compile programs using the trial version. Using implied volatility analysis, compute the volatility smile. If you are interested in stock options trading, futures trading, implementing and testing your own option trading strategies, or even just want to learn options trading, then you will need solid, reliable options pricing software. While many options software products are difficult to learn or require extensive training or courses, Options/X is very powerful yet easy to use. If you need help getting started or require additional features please contact us as we provide extensive support with all of our software. Please refer to our client testimonials to see what others say. In many cases our ptions trading software will enable you to be up and running within minutes of downloading the software.

Related Options Software

Options/NET - Options Analysis .NET Component
Volatility/X - Volatility Estimation Excel Add-In
Options/NET Mobile - Options Analysis Windows Mobile Component

Features of Options/X

Find the "greeks" - Delta, Gamma, Theta, Vega, Rho. Dividend earnings as a percentage yield can also be included. European and American options can be analyzed using the Black-Scholes option pricing formula, Binomial options pricing methods (Cox-Ross-Rubinstein), Black method for futures or any of the other methods listed below.

Options/X includes a number of popular models for estimating the theoretical option prices and contains the following models:

Black-Scholes-Merton (allows for dividend yields)
Black-76 (Futures)
Cox-Ross-Rubinstein (Binomial)
Bjerksund-Stensland (fast estimation of American options)
Barone-Adesi-Whaley
Garman-Kohlhagen (used to price European currency options)
Roll-Geske-Whaley
French-84 (allows for the effect of trading days)
Merton jump diffusion
Historical volatility (estimate volatility using raw price data)

These option pricing algorithms provide a method of determining the call and put prices for European and American options, greeks, implied volatility and volatility skew for both call and put options is also available.
Options/X comes in 3 different editions: Professional, Enterprise and Platinum. The difference between each of these methods is given in the table below:

Features	Professional	Enterprise	Platinum
Pricing Models
Black-Scholes
Binomial
Bjerksund-Stensland
Barone-Adesi-Whaley
Garman-Kohlhagen
Roll-Geske-Whaley
French-84
Merton jump diffusion
Functions
Call/Put Prices
Greeks
Implied Volatility
Implied Volatility Skew
Probability Calculations
Risk-Reward Calculations
Historical Volatility
Continuous Dividends
Discrete Dividends
ASP (For Web Sites)
Sample Applications
VB 6
VB.NET
Excel
Access
VC++ 6 Console Mode

Options/X Excel Add-In

The latest release of Options/X now includes a full Excel Add-In. This Add-In is installed automatically and now means that users can access Options/X functionality just like any other Excel Add-In function within a cell. It even includes context sensitive help to make your job even easier.

To use Options/X functions in Excel, simply click on Tools and then Insert Function. Select the "Financial" category and then you will be able to immediately access the desired functions within Excel:

Full Excel interface enables easy access to functions.

Try the demo Excel worksheet to see how easy it is to use the new Options/X Excel Add-In.

Options Source Code Examples

If you are aiming to develop an option trading system for the stock market, try Options/X, an ActiveX/COM DLL that enables you to quickly build your own system.

The advantage of Options/X is that you can use it as an Excel Add-in. With the addition of stock quotes, you can create your own option trading software, customized to your own purposes.

Options/X includes sample applications with source code in Visual Basic 6, Visual Basic .Net and Excel. You can quickly see just how easy it is to price and analyse data using Options/X. Options/X ActiveX Control implements option pricing and analysis functions. For each of the pricing models, the implied volatility and volatility skew for both call and put options can be determined.

Screen shot of an application built in Visual Basic using Options/X.

Options/X is both an ActiveX Control and a COM object implemented in a single DLL file, so it can be used in a wide range of applications that support these standards. This includes Visual Basic, Visual C++, Excel, Delphi and Borland C++ Builder. The control is written as a lightweight ATL C/C++ object, and does not require bulky MFC DLLs. Because the control is written in ATL it is efficient and small in size. The numerical processing is written in C for speed, and integrated into the lightweight ATL/C++ framework. The trial version of Options/X is feature limited: you will only be able to access Black-Scholes functions using the trial version. However it is possible to develop trial applications to test out your ideas. If you need to price American Options using the Binomial model (Cox-Ross-Rubenstein), or do futures pricing, then by purchasing the full version you can obtain the full capability.

Black-Scholes Option Pricing

The Black-Scholes option pricing formula can be used to compute the prices of Put and Call options, based on the current stock price, the exercise price of the stock at some future date, the risk-free interest rate, and the standard deviation of the log of the stock price returns (the volatility). If you have access to financial end-of-day stock data, then you can use our software in Excel to easily price financial options to work out their theoretical fair value.

A number of assumptions are made when using the Black-Scholes formula. These include: the stock price has a lognormal distribution, there are no taxes, transaction costs, short sales are permitted and trading is continuous and frictionless, there is no arbitrage, the stock price dynamics are given by a geometric Brownian motion and the interest rate is risk-free for all amounts borrowed or lent. It is possible to take dividend rates for the security into consideration.

Further information on the Black-Scholes model for pricing derivatives and how to use Options/X to price stock, currencies and commodity Put and Call derivatives using European and American style options is given here:

Binomial Option Pricing

American options differ from European options by the fact that they can be exercised prior to the expiry date. This means that the Black-Scholes option pricing formula is not suitable for this type of option. Instead, the Cox-Ross-Rubinstein Binomial pricing algorithm is preferred. OptionsX implements the binomial pricing algorithm for pricing American options. used to compute the prices of Put and Call options, based on the current stock price, the exercise price of the stock at some future date, the risk-free interest rate, the standard deviation of the log of the stock price returns (the volatility), and if applicable, the dividend rate.

Implied Volatility

Given the option price, it is possible to find the volatility implied by that price. This is known as the Implied Volatility and it has a number of characteristics which have been used to identify trading opportunities. OptionsX implements implied volatility functionality for both American and European options using the Binomial and Black-Scholes methods respectively.

Volatility Skew

Implied volatility can be computed for both puts and calls across a range of different strike prices. Interestingly, it is common for the implied volatility to vary across this range. Plotting the implied volatility against the strike price results in a curve that is termed the 'volatility smile'. This is due to the fact that it is common for out of the money calls and puts to have higher implied volatilities. When there is a difference between the implied volatilities using equal out of the money calls and puts, this is termed the 'volatility skew'. Interpretation of the skew is the basis for some trading activities. If the ratio of Call volatility to Put volatility is considered, a value greater than one may imply that the calls are priced higher than puts with a resulting upward price bias and vice versa, ie. a call to put volatility ratio less than one may imply that calls are priced lower than puts with a resulting downward price bias. High skew ratios may indicate demand increasing for puts, ie there are relatively more puts being bought and calls being sold, than puts being sold and calls being bought. The analysis and interpretation of volatility skew should be undertaken with due care and diligence and is a matter for skilled, professional traders.

References

F. Black and M. Scholes, The Pricing of Options and Corporate Liabilities, Political Economy, Vol 81, May-June, pp. 637-654.
J.C. Hull, "Options, Futures, and other Derivative Securities", Second Edition, Prentice-Hall: Englewood Cliffs, 1993.