would like to get a handle on the profit of an option vrs a contract, i know it's a grey area given the variables but say an at the money option for a weeks expiry, i'm sure there's one around,,
Broker/Data: Multiple broker + Multiple feed (for access to specific exchanges)
Favorite Futures: European Indices, Precious Metals, Energy
Posts: 423 since Dec 2013
Thanks: 204 given,
Hi, a regular calculator for options will do the trick if it's any good, you just set the parameters pertinent to the underlying whether it's a stock, index, currency or a future it will price them the same way. If you search the web for 'options calculator' you'll find plenty or what I did was download an app to my phone. Third consideration is that most options brokers if not all will have one on their pages once you've logged in take a look.
The range of features differ between the ones I've seen so it's just about finding one that has what you're looking for.
Hopefully, it doesn't have to be a grey area. I am sure it's an understandable area if you research it enough. You have leverage upon leverage. On the ES you still make 50 dollars a point with an option on about a quarter of the cost of your margin for the contract.
I am facing the same dilemma. Here is a calculator for stock options. Options profit calculator
I would like to find the same kind of calculator for all price points and all available options so that I can compare the options. I am sure someone knows this. Just a matter of finding it.
I am trying to find a calculator of futures options.
However, if you don't see the time value erosion in a option, I think that one is trading blindly. You have to know exactly what you are dealing with and what you are getting into.
To know and understand the time value erosion that you are facing is hugely important, otherwise, again, you are trading blindly.
You have to know the time value erosion that one is facing even if you are only eight days out. There are some pretty tricky options out there.
I don't know how time value erosion is figured out mathematically for the ES mini, I would appreciate that.
Platform: Sierra Chart, TOS, Tradestation, NinjaTrader
Favorite Futures: energy
Posts: 114 since Jul 2012
Thanks: 80 given,
i use the tools built into ThinkorSwim to model theo prices for futures options. It is a little tricky to get working, but ive been able to make it work close enough. i also find that many of the theo calculators look terrible on future options because of the 'resting book' isnt a good measure of where you can get a fill, even on things like ES. Sometimes the best way to figure out where the ES options should be priced is to use the spiders, then reverse engineer the cash spread Surprisingly, crude seems to be the more reasonable of all the futures options pricing models, i assume because of the robust hedgeomatic secondary markets. ES often drives me crazy, those jerks wont give you a fair fill. I have 100s of /es option trades where i had to pay up 3 or more ticks against theo due to poor liquidity. My crude fills are usually never off by more than a few cents. (as a % of ATR, thats a huge difference).
bosch, its very difficult to lay off deltas intraday. the math doesnt work since expiration is usually so far away, you end up having to put on an unreasonable size to truely take some off. My preference is to use covered sold calls/puts to lay off deltas for positions that i take overnight. If you need to lay off deltas intraday, you should consider using a less levered instrument (500 SPY = 1 ES, so you can take "half off", 2500 USO=1cl, /ZS vs /XS, /YG vs /gc) you get the idea. i probably have a watchlist somewhere with delevering ETFs for most futures if you want some