I wrote this software to analyze the effect of IV and spot price on a given spread position. I'm pretty sure my graphing is correct, but I thought I might as well have the knowledge people on this board comment on it.
The grayscale chart is spot vs. IV, with IV running down the Y axis (top is small, bottom is high) and spot is running across the X axis (left is small, right is large). The two charts are profiles, one holding IV constant and the other holding spot constant. The position charted is:
Long 1 Jul02 23 Put @ 0.52
Short 1 Aug02 23 Put @ 1.5
The charting date is 7/19/02, at the expiration of the long leg.
Oh, I know Rho and Theta are incorrect, still trying to figure out why.
Thanks in advance for looking at it.
The grayscale chart is spot vs. IV, with IV running down the Y axis (top is small, bottom is high) and spot is running across the X axis (left is small, right is large). The two charts are profiles, one holding IV constant and the other holding spot constant. The position charted is:
Long 1 Jul02 23 Put @ 0.52
Short 1 Aug02 23 Put @ 1.5
The charting date is 7/19/02, at the expiration of the long leg.
Oh, I know Rho and Theta are incorrect, still trying to figure out why.
Thanks in advance for looking at it.