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THEORETICAL PRICES |
As the futures move throughout the day, it is impossible to
know what the option is theoretically worth without use of a theoretical
pricing model. By using volatility information from the previous day,
Web POP's "Theoretical Prices" page allows traders to get option values
for any strike that trades.
Strikes go across the page.
The Theoretical Pricing page is divided into two sections: derivatives,
and prices.
Each derivatives block contains the theta, vega, and gamma for all the
strikes listed.
The prices are listed under each strike in the prices section.
The call and put prices are in bold with the calls on top. The delta is
right below each. Below the put delta is the straddle price (call+put).
Spread prices are listed between the calls and puts of adjacent strikes.
The at-the-money strike is highlighted for each month.
The links under the futures price (-2.00 -1.00 +1.00 +2.00) allow you to
quickly display prices for a different futures price.
The Customize link allows you to set the number of strikes per page, etc.
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