The values and results tabs

The Values tab is what gives OptionsEQ the ability to change the critical inputs for a given scenario with ease.

Simply roll the pickers to get the values you want and tap the screen center or edge to pull up the applicable call and put values.

The ease of use allows rapid changes to be made as asset prices move or as options of different maturities are analyzed.

In some apps the picker interface is rigid. However, OptionsEQ overcomes this by allowing the values in the pickers to be completely under your control.

The Settings tab provides a definition window for each of the pickers on the Values tab. These settings are then saved in the Scenarios tab so you only have to set up a particular option once.

Fuller results are then provided in the Results tab. See Greeks below.

Greeks

  • Delta is the sensitivity of value of the option to changes in the price of the underlying asset. For example, a delta of 0.6 menes that for a 1% increase in the price of the underlying asset, the value of the option will increase by 0.6% of the change in the value of the asset. The delta calculated may only be accurate for small changes in assets prices and therefore we also look at the sensitivity of delta itself (the Gamma).
  • Gamma is the sensitivity of delta to changes in the price of the underlying asset. This tells us how stable a delta hedge might be. In general, the Gamma for a put and call option are equal but there are small differences when calculating Gamma for some options.
  • Vega is the sensitivity of value of the option to changes in the volatility of the underlying asset. For example, a Vega of 26 means that 1% increase in volatility will increase the value of the option by 0.26 (in absolute terms).
  • Lambda is the percentage change in option value per percentage change in the underlying price.
  • Rho is the sensitivity of value of the option to changes in the interest rate. For example, a Rho for a put of -50 means that a 1% increase in the interest rate will decrease the value of the option by 0.5 (in absolute terms).
  • Theta is the sensitivity of value of the option to changes in the term. For example, a Theta for a call option of -3 (in annual terms) means that in one month the option will decrease in value by 3/12 (in absolute terms).