Model Tab

• Live Price Type: The live future's price that will be fed into the model to determine the theoretical values. This setting is shared by all option contracts of the same underlying contract.

  Details:

  Choose from:
  Mid = Midpoint of the bid and offer.
  Bid
  Offer
  Settlement
  Last
  Last within Bid/Offer Market
• Model Type: The type of options model being used to calculate theoreticals.

  Details:

  Choose from:
  Binomial
  Black Scholes
  Whaley

  Comments:

  Binomial: Configure Steps and choose between American or European
• Adjust DTE: Adjusts DTE for the selected series. Add or subtract time manually for all months for this series.

  Details:

  Adjust the number of DTE in order to increase or decrease the DTE.
  Positive = increases DTE.
  Negative = reduces DTE.
  DTE Display: If there is an adjustment to the DTE it will be followed by the amount of the adjustment in parenthesis.
  Option Sheets: The back color of the DTE turns green

  Comments:

  There is a global adjust DTE in the main window: This will change all adjust DTE simultaneously.
  A possible use is to take the weekend out earlier.

  Also Known As:

  DTE = Days to expiration.
  DTE = Days to expiry.
  Increases DTE = Adding time.
  Reduces DTE =Subtracting time.
• Expiry Date Type:

  Details:

  Last Trade Date = DTE are 0 on the last day of trading.
  Settlement Date = DTE are 1 on the last day of trading.

  AKA for DTE:

  Days to expiration
  Days to expiry
• DTE Calculation Type: Select how the DTE are to be calculated.

  Details:

  Calendar = Count every day from today until expiration, which includes weekends. This is also known as a 7 day week.
  Week Days Only = Count every weekday between now and expiration, which excludes Saturday and Sunday.This is also known as a 5 day week.

  AKA for DTE:

  Days to expiration
  Days to expiry
• DTE Rate: Select the rate time is to be taken out.

  AKA for DTE:

  Days to expiration
  Days to expiry
• Interest Rate: Risk free interest rate.
• Interest Rate Type: Risk free interest rate type.

  Details:

  Continuous
  Annual
  Semi-Annual
  Quarterly
  Monthly
• Cost of Carry: The cost of interest plus any additional costs. Always compounded.
• Cost of Carry Rate Type The type of cost of carry rate that should be applied.
• Hedge Method (Delta): Select the method to be used for hedging. Generally if the float rate is not zero use iterative delta.