Calculate price of an Option contract using Option Greeks

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Calculate price of an Option contract using Option Greeks

Postby Admin » Mon Dec 23, 2019 4:41 pm

Interactive Brokers (IB) provides various Option Greek values and ArthaChitra duly displays those values. However the Greek values as provided by IB are annualized values. However for all practical purpose we would like to convert those annualized values in terms of price. ArthaChitra provides an easy solution to this and you can easily built a custom script to do it. For example, the attached DeltaChange Scanner user code will calculate what will be the price of the option contract, when its underlying will quote at a given price. The user script, here uses the annualized Delta values as provided by IB to calculate the projected price.


The below screenshot further demonstrates the user code in action.
DeltaChange.png
DeltaChange.png (31.81 KiB) Viewed 378 times


In the settings, please append the projected price of the undelying as displayed in the below screenshot
DeltaChangeSettings.png
DeltaChangeSettings.png (23.32 KiB) Viewed 378 times



To import the script please follow the below steps:
  • Download the attached zip file DeltaChange.zip
  • In Main View menu bar goto Settings > SharpScript > Import
  • In the file selector dialog view select the downloaded file
  • Click Open

To know more about the Market Scanner View please click here.

To know to code a Scanner user code please click here.
Attachments
DeltaChange.zip
Calculate projected price of an option contract based on its current Delta
(1.93 KiB) Downloaded 60 times
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