option sheets

2

2rosy

anyone interested in option sheets. basically, so you know what an option is worth at various prices levels.

for example crude nov calls would be something like this...

headers=strikes
rows=underlying prices

http://bit.ly/QNjouY
 
november calls; they expire 10/17. I used binomal pricing Leisen Reimer. vol .298. They values were in line with IB
 
Quote from 2rosy:

november calls; they expire 10/17. I used binomal pricing Leisen Reimer. vol .298. They values were in line with IB
More...

You mean 11/17;
what day was the calculation done? Any skew assumptions?
Each spot level represents a skew curve across strikes.
 
Quote from newwurldmn:

You mean 11/17;
what day was the calculation done? Any skew assumptions?
Each spot level represents a skew curve across strikes.
More...

i created the sheet 10/8
nymex CL Nov options expire oct 17
No skew assumptions.

The sheet generates theoretical values for a strike at a given price.
 
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