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Orange Options: Strategies and Calculator


4.0 ( 6000 ratings )
财务 教育
开发 Yuri Bulavin
自由

The Orange Options program is a small guide to option strategies with option pricing calculator (absolutely free, no ads).
Basic features:
Options trading strategies
Options pricing
Option "Greeks"
Vertical, horizontal and diagonal strategies (Calendar spreads)
Strategies graph (Profit and Loss diagram for options strategies)
Calculations are performed according to the Black - Scholes - Merton formula.

Glossary of notation
Break-Even Point (BEP): The stock price(s) at which an option strategy results in neither a profit nor a loss.
Volatility: A measure of the fluctuation in the market price of the underlying security. Mathematically, volatility is the annualized standard deviation of returns.
Interest rate: Risk-free interest rate.
Stock price: Price of underlying asset .
Greeks: The options sensitivities, partial derivatives of the Black - Scholes - Merton formula.
Delta: The option’s sensitivity to small changes in the underlying asset price.
Gamma: The delta’s sensitivity to small changes in the underlying asset price.
Vega: The option’s sensitivity to small changes in the volatility of the underlying asset price.
Theta: The option’s sensitivity to small changes in time to maturity.