The Options Calculator allows you to view graphically the Premium, Delta, Gamma, Theta, Vega, Rho and Volatility Skew as a function of Underlying Price, Days to Expiration, Interest Rate or Volatility. The display indicates the current X and Y values by placing a diamond on the curve and highlighting the axis values in blue.
1. Click one of the top tabs (Premium, Delta, Gamma, Theta, Vega, Rho or Volatility Skew) to set the vertical axis value.
2. Click one of the bottom tabs, Und Price, Days to Expiry, Interest Rate or Volatility to establish the horizontal axis variable.
The bottom tabs are disabled when a Volatility Skew graph is displayed.
Delta window
Delta represents the change in theoretical value associated with a change in the price of the underlying. When stating delta values, CQG multiplies the individual contract deltas by 100.
Example: A delta of 86 means that the option value will change by 86% of the underlying value.
The delta tab displays the delta versus Underlying Price, Days to Expiration, Interest Rates or Volatility, given the model selected, the Underlying Price, Option Price, Volatility, Interest Rate, and Days to Expiration inputs.
Gamma window
Gamma represents the rate of change in the delta.
Example: A gamma of .004 means that for every $1.00 change in the value of the underlying, the delta will change by .4
Theta window
Theta, also known as the time decay factor, represents the rate of change in the theoretical value with respect to time. It is generally expressed as a negative number.
Example: A theta of -.057, for example in the S&Ps, means that each day, solely as a result of the time decay, the option loses .057 points.
Vega window
Vega represents the rate of change in theoretical value with respect to a change in volatility.
Example: A Vega of .25 indicates that an increase of one
percentage point in the volatility of the underling would result in a ¼ point
increase in the theoretical value of
the option.
Rho window
Rho quantifies the change in theoretical value with respect to a 1-percentage point change in the interest rate.
Example: A rho of –25.00 indicates that an increase of one percentage point in the assumed interest rate would result in a $25.00 decrease in the theoretical value of the option.
Volatility Skew window
Volatility Skew displays a graph of implied volatility vs. strike price for each currently traded strike. Additionally, it displays a polynomial curve fit to the Implied Volatilities calculated from yesterday’s settlement prices. Contracts that have traded on the current day are displayed in a separate user-selected color.