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Options/NET 11.0
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Analytical Software for Options Trading |
Options/NET Analytical Software for Options Trading
New! Options/NET 11.0 - now lets you analyze
Iron Condors, Butterflys, Calendar Spreads, Straddles, Ratio Write Spreads,
Calendar Puts, Strangles and more.
Iron Condor profit-loss chart created using Options/NET 11.0
Options/NET is designed for option traders to enable them
price options, estimate historical and implied volatility, as well as to
estimate the greeks. The latest version of Options/NET is suitable for
quants (quantitative analysts), brokers, investment banks, option traders
and others writing trading systems who wish to develop software for fast option pricing
trading systems.
Look how easy it is to build your own application to analyze Iron Condors,
Butterflys, Calendar Spreads, Straddles, Ratio Write Spreads, Calendar Puts,
Strangles and more.
Profit-Loss Chart produced from Options/NET outputs. |
Iron Condor profit-loss chart created using Options/NET 11.0 |
Options/NET 11.0 introduces powerful new functionality for computing the profit and loss ranges for multi-leg option
positions.
This new version allows you to quickly assess the total position, greeks,
break-even points and more. |
Our new system of analyzing
multi-leg options is so flexible and powerful, that you can even create your own
position, even if nobody else has thought of a name for it! Simply enter the position details for
each "leg" of the option position and let our software compute the details. |
Analyze multi-leg option positions such as Straddles, Calendar
Puts, Covered Calls
and more using Options/X or Options/NET. Full souce code demo is provided.
This component includes methods to compute probabilities
relating to profits, upper and lower profit bounds, maximum profits, maximum
losses, and the expected maximum profits or losses within the supplied ranges,
profit ranges and the percentage moves required to break-even.
Our software includes a high level of support - we
want you to be fully satisfied with our software to do the thing you
want to do. The demos we provide are easy to understand and are the
first step to creating your own applications.
Extensive software documentation is included to
use the full library of API calls. |
Multi-leg Options Pricing and Analysis
Application
created using Options/NET |
Create your own options scanner - this options
scanning software program was built in just a short time using
Options/NET and Visual Basic .NET (Note that this
application is not included with Options/NET, it is just used to show
what can be done). |
Options/NET implements a number of efficient methods for computing important
functions related to financial options These functions include:
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Option Prices - for both single options and multi-leg options
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Greeks - for both single options and multi-leg options
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Historical or statistical volatility
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Implied volatility
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Volatility skew
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Probability of touching or reaching a particular stock price in a given
time frame
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Options/NET gives you the power to easily create your own trading system,
option price calculator, implied volatility estimator and
more.
Upgrade today if you have an earlier version of Options/NET or
Options/X and access more than 60 powerful new functions including:
- Discrete Dividend Methods for Black-Scholes model
- Discrete Dividend Methods for Bjerksund-Stensland model
- Probabilistic Methods to compute values such as UpsideStockPotential
- Fast analytic methods to compute probability of stock ever touching a price level
- Risk-Reward methods to compute potential risk and reward for option trades.
- Combined calculation methods of prices and greeks for Black-Scholes model
- Combined calculation methods of prices and greeks for Bjerksund-Stensland model
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Options/NET 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/NET is very fast, yet easy to use. In only one line of code, you
can add derivative pricing to your application.
If you are looking for an Excel Add-In, you may be interested in
Options/X Excel Add-In.
Both Options/NET and Options/X include full sample source code,
and SDKs to create options pricing calculators and option trading applications
in Visual Basic, Visual C++, Visual C# and more.
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/NET Options Pricing Software.
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.
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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:
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.
All you need is:
- Strike price of the underlying stock
- Strike or exercise price
- Risk free interest rate
- Time in years until expiration
- Volatility of the underlying stock
Use Options/NET to calculate Option prices for European and American
Options, analyse options
sensitivities or compute implied volatility. Use our example program or develop
your own Windows applications for option trading easily in: Visual Basic .NET,
Visual C#. WIth the Enterprise version you can create an ASP.NET web site and call
any of the option pricing methods within your web application.
Now with Patent-Pending Technology for
faster implied volatility calculations!
This newest version of Options/NET includes new threading selection capabilities to give
finer control over how the component methods are implemented. Now in one easy to use component,
Options/NET lets you decide what you want to do:
Component managed threads: |
Easy to use, Fast GUI response |
User managed threads: |
Fastest computation time |
With full source samples you will be able to quickly and easily implement
Options Trading software. Download Options/NET now and you can try it out
in full, even compile programs using the trial version. Using
implied volatility analysis, compute the volatility
smile.
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.
1973 Black-Scholes Option Pricing Formula
The Black-Scholes Option Pricing Formula uses the following inputs:
- Strike price of the underlying stock
- Strike or exercise price
- Risk free interest rate
- Time in years until expiration
- Volatility of the underlying stock
Now, to compute the option prices and greeks, you could look up
issues such as how to compute the standard normal cumulative
distribution function and a set of equations to program. Or, we
suggest - simply try our well-proven options pricing software.
Here is an example of a simple options pricing calculator that was created using Options/NET:
Option
Pricing Calculator
ASP.NET Sample Options-Pricer
With Options/NET we provide the full source code for creating
an ASP.NET options pricing calculator web application.
Click here to try Options-Pricer ASP.NET Sample Application.
Full source for this web application is provided with Options/NET.
Options Software
Options/X - Options Pricing Excel Add-In and SDK
Options/NET - Options Analysis .NET Component
Volatility/X - Volatility Estimation Excel Add-In
Options/NET Mobile - Options Analysis Windows Mobile Component
Options/NET includes a number of popular models for estimating the theoretical option
prices and contains the following models:
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Black-Scholes-Merton (allows for dividend yields)
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Black (1976 Modification for Futures)
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Cox-Ross-Rubinstein
(Binomial)
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Bjerksund-Stensland (fast estimation of American
options)
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Barone-Adesi-Whaley
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Garman-Kohlhagen (used to price European currency
options)
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Roll-Geske-Whaley
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French-84 (allows for the effect of trading days)
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Merton jump
diffusion
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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/NET comes in 3 different editions:
Professional,
Enterprise and
Platinum.
The difference between each of these
methods is given in the table below:
Pricing Models |
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Black-Scholes |
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Binomial |
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Bjerksund-Stensland |
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Black (1976 Mod) |
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Barone-Adesi-Whaley |
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Garman-Kohlhagen |
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Roll-Geske-Whaley
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French-84 |
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Merton jump diffusion |
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Functions |
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Call/Put Prices |
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Greeks |
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Implied Volatility |
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Implied
Volatility Skew |
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Historical Volatility |
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Multi-leg Options |
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Discrete Dividends |
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.NET 1.0 Version
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.NET 1.1 Version
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.NET 2.0 Version
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ASP.NET
(For Web Sites) |
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Server Use |
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Sample Applications |
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Options Pricing
(VB.NET) |
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Options Pricing and Analysis Tool
(VB.NET) |
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Options Pricing
(ASP.NET/VB.NET) |
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.NET 1.1 Sample Applications |
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.NET 2.0 Sample Applications |
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NET 3.5 Sample Applications |
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If you are aiming to develop an option trading system for the stock market, try Options/NET, a .NET
DLL that enables you to quickly build your own system.
With the
addition of stock quotes, you can create your own option trading software,
customized to your own purposes. Options/NET includes sample
applications with source code in
Visual Basic .NET as a Windows application and as a Web application. You can quickly see just
how easy it is to price and analyse data using Options/NET.
Options/NET 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.
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Screen shot of an
application built in Visual Basic using Options/NET. |
Options/NET includes sample
applications with source code in Visual Basic .Net.
You can quickly see just how easy it is to price and analyse options data using
Options/NET.
Options/NET is strong named, so it can be readily added to the GAC (Global
Assembly Cache).
Options/NET is written in C# with maximum speed and reliability and
can be used in a wide range of applications that support
the .NET standard. This includes Visual Basic .NET, Visual C# and more.
The trial version of Options/NET 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.
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).
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.
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. optionsnet 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.
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. optionsnet implements implied volatility functionality for both American and European
options using the Binomial and Black-Scholes methods respectively.
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.
Disclaimer and Risk Statement
Futures and options trading involve substantial risk. The
valuation of futures and options may fluctuate, and as a result, clients may
lose more than their original investment. In no event should the content
presented on this web site, associated links, files and software, help
documentation and related information provided by us, the results obtained from
using software provided by us, or the content of the source code sample
applications be construed as an express or an implied guarantee by Windale
Technologies that you will profit or that losses can or will be limited in any
manner whatsoever. Past results are no indication of future performance.
Information provided is intended solely for informative purposes and is obtained
from sources believed to be reliable. Information is in no way guaranteed. No
guarantee of any kind is implied or possible where projections of future
conditions are attempted. This software is for sophisticated users in terms of
both trading options and in programming. Users are required to be familiar with
the limitations of the algorithms used.
It is therefore up to the developer and/or end-user to determine how, when and
the appropriateness of a model and the results obtained using a model. In
particular, developers are required to assume this risk when using the software
and should similarly pass on the assumed risk and information about such risks
to the end-user so that they can make their own best judgements. Windale
Technologies specifically recommends that the software is not used in any form
of automatic trading or decision making applications, bur rather, it should only
be used in an application that requires the user to make any trading decisions.
Windale Technologies is neither an investment advisory service nor an investment
advisor. All information provided by any means does not take into account your
personal situation and is therefore not personalized in any way and should not
be construed as investment advice. Investors should always check with their
financial advisor to determine the suitability of any trading or investment
decision.
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