Ensign: Options Pages

The Options Page can be used with both stock and futures option symbols.  To view price information for an option, enter the option root symbol in the 'Option' entry box (ex. IBM, OEX, SP0Z).  The page will load all available calls and puts for the symbol and display them in the grid.  The strike price levels are listed down the middle of the screen, with call prices on the left and put prices on the right.  The strike price levels for stock options can be displayed either numerically or alphabetically (ex. AA, AB, AC, or 05, 10, 15, etc.).  Select Options | Display Strike Prices to switch between the two display choices.

Use the vertical scroll bar to scroll down and view additional strike price levels.  Or, press PageUp and PageDown on the keyboard to move vertically through the strike prices. Click the Tabs at the bottom of the page to switch between different option pages, or press Home and End to move the Tab focus. Drag the tabs left or right to change the ordering.  Double-click on any option row to display a chart for the symbol.  Charts can also be activated from the Options menu.

The Options Page is often used as a Quote page for option quotes since several strike prices for a particular option can be easily monitored at the same time.  The option values update as each option trades. Change the columns that are displayed by clicking on the Bid, High, or Delta selections. Selecting Bid will display the Last, Net Change, Bid, Ask, and Volume. Selecting High will display the Last, Net Change, High, Low, and Open Interest.  Selecting Delta will display the Last, Net Change, Theoretical Value, Implied Volatility, and Delta values.  The column widths can be adjusted by dragging the separator bar between column titles.  Restore the default column width to all columns by selecting Options | Reset Column Widths from the menu.

A price Ticker Tape can be activated on the window title bar by selecting Options | Show Ticker Tape from the menu.  The option symbol and price will scroll across the title bar when price changes occur. Select Options | Hide Ticker Tape to disable the ticker tape.  A 'Time & Sales' window can be opened from the menu for a selected symbol.  A 'Snap Quote' window can also be opened from the menu for a selected symbol. Select Options | Hide Header from the menu to hide the input boxes at the top of the options page.  This will create more screen space for displaying option quotes. Press the ESC
key to restore the header.  Select Options | Hide Tabs from the menu to hide the Tabs at the bottom of the options page. Select Options | Show Tabs to restore them again.

Select Options | Save to ASCII from the menu to save the options page to an ASCII text file. Several ASCII formats are available.  The Options menu also has selections for printing the options page, copying the page to the Windows Clipboard, and linking the page to a spreadsheet with a DDE link.

The input boxes at the top of the options page are used to specify parameters that affect the calculations for the Theoretical Value, Implied Volatility, and Delta.  These boxes can be changed to perform 'what-if' scenarios for the option pricing.

Options Model Parameters
Option - Enter the option symbol root (ex. OEX). All the option calls and puts for that symbol will be displayed. Do not enter a specific option with its strike price (ex. OEXKM). Odd month futures option expirations (ex. SP9X) may also be entered.

Month - Select the option month to view. Example, selecting 'July' will display all the calls and puts for the July option. This is entered automatically for futures options. Press the up and down arrows to switch to other months while this box has focus.


Security - Normally, the Option and Security boxes will match each other and no entry will be required. In cases where the underlying security has a different root symbol than the option, then enter the underlying symbol.  For example, the underlying contract for the SP9X futures option is the SP0Z futures contract.  Enter SP9X as the Option, and SP0Z as the Security.  The options model uses this box to determine the Historical Volatility of the underlying security.

Price - The underlying security's current price is entered in this box.  The price is automatically entered if the price is available in the system.  Manually change the price if desired to perform 'what-if' analysis (ex. What would be the Option price if the stock price went to a higher price).

Historical Volatility - The Historical Volatility is calculated from the daily data file of the underlying security displayed in the Security box.  If a daily chart file exists for the underlying security, then the Historical Volatility will be automatically calculated and posted to this box.  This value for this box can be entered manually or changed if desired.

Periods - This is the number of days to use in the Historical Volatility calculation (ex. How volatile has the market been during the last 10, 20, or 30 days?).  Change the Periods number to determine the Historical Volatility over different time spans.

Expires - Enter the option expiration date in the format of MM-DD-YY (ex. 12-31-00).  The Days until expiration will be automatically calculated and posted in the Days box after making an entry in the Expires box.  The expiration date will be automatically entered if the expiration date is available in the system.

Interest Rate - Enter an interest rate to be used in the calculations.  A typical entry would be a number from 3 to 8.

Days - The days until expiration will be calculated from the expiration date.  Change this box to do 'what-if' analysis (ex. What will the option price be with only 5 days until expiration?).

Historical Volatility measures the volatility (up and down movement) of the option's underlying security.  For example, if the volatility of a stock is very high, then the stock option will likely be priced higher because there is more risk involved.  Volatility is measured by the changes in price from day to day and helps determine the price of an option.

Theoretical Value is the option price that the Black and Scholes model suggests should be the current value.  If the actual option price is considerably higher than the theoretical price, then the option would be considered overvalued.

Implied Volatility is calculated by taking the current option price and determining the volatility that the option price is implying.  If the implied volatility is very high (compared to the historical volatility), then the option price is reflecting a perceived higher volatility (or higher risk) by the traders.

Delta is a ratio that ranges from 0-100 and indicates how responsive the option price is to changes in the underlying security.  For example, a Delta value of 25 suggests that the option price will move only one quarter as much as the stock price.  A Delta value of 50 would suggest that if a stock price moved $10 dollars, then the option value would move $5 dollars.  High Delta values indicate that the option is very responsive to changes in the underlying symbol's price changes.  Typically, options that are far out of the money have low delta values.