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Create An Option Table allows the user to create a table of options configured to the specific data desired by the user. The Create An Option Table web page loads with the date and stock selected in the Welcome Page, but has selections that allow the user to change them if desired. The output of Option Tables also has the following charts:
- A 6 month price chart drawn as candlesticks or open-high-low-close
depending on the settings in My Personal Data.
- A 6 month Implied Volatility chart with IV's found using
average data from 7-30 days, 30-60 days, 60-90 days and > 90 days options.
- A 2 year Implied Volatility chart with IV's found using
average data from 7-30 days, 30-60 days, 60-90 days and > 90 days options.
- IV skew charts for the puts and calls for each option expiration month.
Clicking the above link shows an example of the Create An Option Table web page.
The configurable options table maker choices are shown above. You can request the data to appear in ASCII or HTML format. ASCII makes the data readable by other programs, such as Excel. The option quotes can appear as normal quotes or converted and displayed as dollars. The Greeks are unaffected by the request to display the option quote in dollars. You can restrict the output to puts and calls, just puts or just calls.
All of the following data are computed and shown in the output table when you click "Get Data & Charts" at the bottom of the option table maker web page. To stop a data item from being displayed, remove the checkmark next to that data item.
Option Quote: is the price of the option
Delta: is expressed as a percent, and is the change in the price of the option relative to the change in the underlying stock price.
Fair Value: is an option price value generated by a mathematical options pricing model
(The Bjerksund Stensland American option model in this case) to determine the fair value of the option.
It is shown in the table after the variable that begins with a capital M, like Mput.
Vega: is the sensitivity of an option's theoretical value to a change
in volatility. Expressed as a point change in option value for each one
percentage point change in volatility.We sometimes display Vega in dollars gained instead of points gained by multiplying Vega by 100. When Vega is shown in dollars, a $ sign is placed in front of the number.
Fair Val Diff: is the difference between the option quote and the fair value.
It is shown in the table after the variable name, Q-M.
Gamma: is the rate at which an option's delta changes as the price of the stock changes.
Expressed as the number of deltas gained or lost per one point change in the stock price.
Implied Vol: Implied Volatility, or IV, is the amount the stock is expected to fluctuate in the future, as implied by the price of the option. IV is expressed as a percent change over a period of one year.
Theta: is the effect of the change in "time to expiration" to the option value. Expressed in points loss (negative) or gained (positive) per day, when all other conditions remain the same. We sometimes display Theta in dollars gained instead of points gained
by multiplying Theta by 100. When Theta is shown in dollars, a $ sign is placed
in front of the number.
Volume&OI: Volume is the total number of trades made in the option that day.
OI is the Open Interest and is the number of open contracts outstanding.
Every person that buys an option must have a corresponding
person who sold the option and that creates an OI of 1.
Reminder Tags: the table puts the expiration month and strike price at the top of each cell when this featured is checkboxed on.
The above options allow you to create a table of different kinds of option
spread trades.
The strike price spacing options and the ability to make a spread table are shown above. Inc is the increment in the spacing between strike prices. The increment should be a multiple of 2.5. If you make the increment a multiple of 5, you will not get any half strikes in the table. High is the highest strike price and Low is the lowest strike price used in the table.
Turning on one of the spreads creates a table of options for that spread combo using the option leg spacing input. For example, to create a table of call vertical spreads, do the following:
- Choose "calls only" at the top.
- Decide on the high and the low strikes and the increment in-between.
- Decide on the spacing between the buy call and sell call and enter that
strike price spacing in the option leg spacing textbox.
- Click the "Get Data and Charts" button.
The charts generated by Options Table are unaffected by the choices made in the Options Table web page. A chart for a particular spread or option can be generated using the Welcome Page "Create An Option Trade" button.
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