Option Calculator-Options Pricing and Risk Calculator

Example

Suppose a trader has a portfolio with several call and put options. They want to understand the portfolio's overall exposure to changes in the underlying asset price (delta), time decay (theta), and volatility (vega). Using Option Calculator’s 'calculatePortfolioStats' function, the user can enter details like the type of option, expiration date, strike price, and the number of contracts. The system will compute the portfolio’s aggregate Greeks, providing the trader with insights into their risk exposure.

Scenario

A portfolio manager holding a combination of options might want to assess their total portfolio’s delta, gamma, vega, theta, and rho to manage risk and rebalance positions more effectively.

Example

Consider a user who holds a European call option on stock XYZ with a strike price of $50 and an expiration in two months. They want to know how different interest rates or changes in the stock's price would affect the price of their option. By using the 'calculateOptionPricing' function, they input the current price of XYZ, the risk-free rate, and other option details, such as the option's price or implied volatility. The tool calculates the Greeks and the option's fair price under different assumptions.

Scenario

A trader considering buying a specific call option needs to ensure the option is fairly priced. By using the calculator, they can compare the calculated price to the market price and make more informed decisions.

Example

A trader expecting stock ABC to rise over the next few weeks considers buying a call option. However, they want to understand how their position's profitability will be affected by different stock price movements and changes in volatility. Using the 'calculatePortfolioPerformance' function, the user inputs the strike price, expiration, and count of contracts. The tool then displays a detailed profit-and-loss table that shows the potential outcomes based on varying implied volatilities and underlying prices.

Scenario

A trader is unsure whether to execute a bullish strategy. By analyzing the P&L of the position under various scenarios (e.g., the stock moves up or down by 10%, volatility changes), they can assess whether the trade suits their risk tolerance.