Intraday Option Price Modeling

O

optionstrader2022

What software out there can model the price of an option relative to time and the price of the underlying stock?

For example:
It's 10am and Option ABC is trading for 2.45 with the underlying stock at 100.
It's now 11:30am and the underlying stock is at 105. What is a rough projection of what the option will be trading for?


I know there are a ton of variables involved in options pricing but I am just looking for a rough way to model the price of the option. Whether the software is publicly available to purchase or if its for professionals only, both work. Thank you!
 
optionstrader2022 said:
What software out there can model the price of an option relative to time and the price of the underlying stock?

For example:
It's 10am and Option ABC is trading for 2.45 with the underlying stock at 100.
It's now 11:30am and the underlying stock is at 105. What is a rough projection of what the option will be trading for?


I know there are a ton of variables involved in options pricing but I am just looking for a rough way to model the price of the option. Whether the software is publicly available to purchase or if its for professionals only, both work. Thank you!
More...

um. Look at the NBBO of the option at 11:30? Literally any trading front end will provide that information. Option chains will also provide an implied volatility figure (typically) based upon the NBBO mid.

if you question is how to stress the option at 105 on shares then simply look at call in the analytics offered by your broker. You will not see intraday (hourly) resolution. It will be modeled to the day.
 
Obviously at 11:30 you can look at the NBBO to know the price of the option but that doesn't help in the moment ;)

I am looking for a way to model what the price of the option will be at on an intraday resolution. Does anyone know of any software that can do this?
 
optionstrader2022 said:
What software out there can model the price of an option relative to time and the price of the underlying stock?

For example:
It's 10am and Option ABC is trading for 2.45 with the underlying stock at 100.
It's now 11:30am and the underlying stock is at 105. What is a rough projection of what the option will be trading for?


I know there are a ton of variables involved in options pricing but I am just looking for a rough way to model the price of the option. Whether the software is publicly available to purchase or if it’s for professionals only, both work. Thank you!
More...

In IB TWS option trader, right click on the column headers and insert the model price between bid and ask.
 
optionstrader2022 said:
Obviously at 11:30 you can look at the NBBO to know the price of the option but that doesn't help in the moment ;)

I am looking for a way to model what the price of the option will be at on an intraday resolution. Does anyone know of any software that can do this?
More...

If the maturity is a few days away you will have to model yourself and intraday dynamics will matter a lot. If the maturity is further, then delta, gamma and Vega will be sufficient.
 
ORATS.com Dashboard has a Trade History that is minute by minute and a payoff graph. We don't model intraday but interday.
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https://gyazo.com/3128f53f706c2e4697ca08e46f0a03df

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https://gyazo.com/c478547c0ecbe89710b58112fcdcdc5a
 
In the past, I used ONE (Option Net Explorer) for this. (t+n lines are what they are but provide some insight) However, beware that if you are seeking precision, understand that your assumptions must be correct, as well as 'your" predictions/projections for future (implied) volatility. (the primary unknowns you must put in are underlying price and expected option implied volatility). For underlying price, the typical solution is just to sweep the value across a wide range (3-5 sigma) -- the latter is a bother (would require sweeping the expected vol of each opra across practical range for each point of the underlying sweep) , so many assume it does not matter and therefore reap what they sow. (and incorrectly blame it on the model when they feed the model incorrect info)
 
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