I would like to share with the community a tool I have been working on; I wrote it originally to help my :smart: Options/Futures MBA class, but I believe others who do swing trading or long term trading can benefit from it.
Link (standalone VB6 program): http://www.bmfusion.com/temp/OptionMaster.exe
If you are missing VB6 runtimes (XP and above usually have them): http://www.microsoft.com/downloads/...61-7A9C-43E7-9117-F673077FFB3C&displaylang=en
* Options Chains - Various fields; delta, theta, delta leverage, time value %, etc.
* Market Profile - See the volume distribution of the stock for a custom number of days; darker color is volume further in the past
* Real-time ECN - look at the streaming ECN books
* This tool is for educational use only. Use at your own risk.
* Comments are welcome
* Note that time values can be negative due to afterhours trading due to time lag rather than mispricing; in this case IVol% is set to zero.
[Strategy]
I have been exploring using LEAPS (long-term options) to replicate the underlying stock for medium to long term portfolios. The underlying always has a delta of 1.00; buying long term options deep in the money (time val % < 25%) provides a lower cost per delta with minimal time decay. Portfolio risk (from market directional shifts) can be controlled by having similar amounts of puts/calls. Typically, entering a position occurs when the price is above or below a certain % of the market profile (for instance, top or bottom 25%). In the current market, volatility is high and options are overpriced relative to historical volatility; unfortunately this happened after I started working on this strategy. Perhaps when the market settles it would be more appropriate. However, buying the stocks directly still works with the volume profile idea.
Link (standalone VB6 program): http://www.bmfusion.com/temp/OptionMaster.exe
If you are missing VB6 runtimes (XP and above usually have them): http://www.microsoft.com/downloads/...61-7A9C-43E7-9117-F673077FFB3C&displaylang=en
* Options Chains - Various fields; delta, theta, delta leverage, time value %, etc.
* Market Profile - See the volume distribution of the stock for a custom number of days; darker color is volume further in the past
* Real-time ECN - look at the streaming ECN books
* This tool is for educational use only. Use at your own risk.
* Comments are welcome
* Note that time values can be negative due to afterhours trading due to time lag rather than mispricing; in this case IVol% is set to zero.
[Strategy]
I have been exploring using LEAPS (long-term options) to replicate the underlying stock for medium to long term portfolios. The underlying always has a delta of 1.00; buying long term options deep in the money (time val % < 25%) provides a lower cost per delta with minimal time decay. Portfolio risk (from market directional shifts) can be controlled by having similar amounts of puts/calls. Typically, entering a position occurs when the price is above or below a certain % of the market profile (for instance, top or bottom 25%). In the current market, volatility is high and options are overpriced relative to historical volatility; unfortunately this happened after I started working on this strategy. Perhaps when the market settles it would be more appropriate. However, buying the stocks directly still works with the volume profile idea.
