Commodities

 

Brent Oil Futures Option:

This Brent Oil future option uses a Black Future model for the forward Brent Oil index price and incorporates all payment costs. This model can be created in the Excel add-in, or the model is represented as a set of C# files ready for compilation. The model provides the bid / ask spread and shows the Greeks Delta, Gamma, Vega, Theta, PITM (probability in the money), strike dependence, and varies second derivatives like Volga, Veta, Vanna and Charm. The model uses a continuous Zero-Coupon Yield Curve, a continuous dividend yield and a constant volatility to maturity. The model has continuous Zero-Coupon Yield Curve, continuous dividend yield and a constant volatility to maturity. There is no provision for a maturity volatility dependence or a volatility surface. Notice that the exercise dates can be a single day or can be a period of time like a month (oil)

 

Equity Future Black Options:

This future Option calculates a payoff on a set of equity Futures, an index Future or an Interest Rate Future using a continuous Zero-Coupon Yield Curve for discounting and a constant volatility to maturity. This model can be created in the Excel add-in, or the model is represented as a set of C# files ready for compilation. There is no provision for a maturity volatility dependence, volatility surface or actual dividend payments. The model provides the bid / ask spread and shows the Greeks Delta, Gamma, Vega, Theta, PITM (probability in the money), strike dependence, and varies second derivatives like Volga, Veta, Vanna and Charm. There is no provision for a maturity volatility dependence or a volatility surface. For Equity Futures, there is also no provision for actual dividend payments (please see later models). Models like these can be applied to relatively short-dated options on Equity positions, Equity structures or commodities.

 

Dow Jones 30 Future Option:

This future option uses a black future model for the forward Equity index price and incorporates all payment costs. The model depends on the continuous Zero-Coupon Yield Curve for discounting and the volatility to maturity can be adjusted. This model can be created in the Excel add-in, or the model is represented as a set of C# files ready for compilation. There is no provision for a maturity volatility dependence, volatility surface or actual dividend payments. The model provides the bid / ask spread and shows the Greeks Delta, Gamma, Vega, Theta, PITM (probability in the money), strike dependence, and varies second derivatives like Volga, Veta, Vanna and Charm. There is no provision for a maturity volatility dependence or a volatility surface. For Equity Futures, there is also no provision for actual dividend payments (please see later models). Models like these typically settle on the third Friday of the month.

 

Equity Future American Black Options:

This future option uses a continuous Zero-Coupon Yield Curve for discounting and a constant volatility to maturity. There is no provision for a maturity volatility dependence or a volatility surface. This option is for equity futures, index futures, commodity or interest rate futures. Models like these can be applied to relatively short-dated options on futures, credit forwards or equity index structures. This model can be created in the Excel add-in, or the model is represented as a set of C# files ready for compilation. The model provides the bid / ask spread and shows the Greeks Delta, Gamma, Vega, Theta, PITM (probability in the money), strike dependence, and varies second derivatives like Volga, Veta, Vanna and Charm. There is no provision for a maturity volatility dependence, volatility surface or actual dividend payments. For Equity Futures, there is also no provision for actual dividend payments (please see later models). Models like these can be applied to relatively short-dated options on Equity positions, equity structures or commodities.

 

FTSE 100 Equity Index Future Option:

This future Option uses a Black Future model for the Forward Equity index price and incorporates all payment costs. The model depends on the continuous Zero-Coupon Yield Curve for discounting and the volatility to maturity can be adjusted. The model provides the bid / ask spread and shows the Greeks Delta, Gamma, Vega, Theta, PITM (probability in the money), strike dependence, and varies second derivatives like Volga, Veta, Vanna and Charm. This model can be created in the Excel add-in, or the model is represented as a set of C# files ready for compilation. There is no provision for a maturity volatility dependence, volatility surface or actual dividend payments. For Equity Futures, there is also no provision for actual dividend payments (please see later models) though there is a dividend yield. Models like these can be applied to relatively short-dated options on Equity positions, equity structures or commodities.

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Equity Share/Index With Dividends Future Option:

This future option uses a black future model for the forward equity index price and incorporates all future dividends in the forward future price. This model can be created in the Excel add-in, or the model is represented as a set of C# files ready for compilation. The model provides the bid / ask spread and shows the Greeks Delta, Gamma, Vega, Theta, PITM (probability in the money), strike dependence, and varies second derivatives like Volga, Veta, Vanna and Charm. There is no provision for a maturity volatility dependence or a volatility surface. For Equity Futures, there is also no provision for actual dividend payments (please see later models) though there is a dividend estimate. Models like these can be applied to relatively short-dated options on Equity positions, equity structures or commodities.