Spread Column

J

johnk49

Is there an easy way to calculate the spread of say a BWB as one moves up and down the strike prices of an option chain?Thanks.
 
Say you put on a BWB for a 0.10 credit(spread),what would the spread be if the stock moved up or down say 1 strike or more.I realise that you can work it out the long way I was just wondering if there was a quicker way!
 
There are many programs out there that have the capability to model any option spread's risks, or "stress-test," via changing the underlying stock's price and/or vol.

You could also easily implement this in Excel. Just use the pricing model of your choice to derive individual option prices, and sum them according to the spread in question (eg. a fly would be +1-2+1). Then change the cell containing the stock price to see how the spread price changes as the stock moves.
 
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