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Options/X Stock Options Pricing and Analysis SoftwareOptions/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.
Create options scanning applications using Options/X and
Volatility/X. This options scanner was created using Options/X and
Visual Basic .NET (Note that this application is not included with
Options/X, it is just used to show what can be done). To
make it easier for you to build such an application we provide a demo in
Visual Basic 6 which includes fulll source code. Options/X 11.0 builds on the features introduced in the previous version which introduced more than 60 powerful new methods including the following completely new functions:
Related Options Software
Options/NET - Options Analysis .NET Component
Features of Options/XFind 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:
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. 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. Options/X comes in 2 different editions: Enterprise and Platinum. The difference between each of these methods is given in the table below:
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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.
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:
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.
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.
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.
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.
Lawrence G. McMillan, "Options as a Strategic Investment", New York Institute of Finance, 4th Ed, 2002.
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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