Theoretical Value Pricing Codes

Legend

Code

Description

Adjust

Method

Level

THEOR

Theoretical price. (By default, Aspen Systems uses the implied volatility of the at-the-money strike to calculate theoretical values. If you want to use a value other than the at-the-money strike, you change the volatility type in the Parameters menu from implied to database, and then assign a volatility to the instrument using the .MODIFY command.) The price you would be willing to pay to break even in the long run.

Yes

Edit

O

THEOR1

Theoretical price displayed in the option’s units.

Yes

Edit

O

DELTA

Delta. The sensitivity of an option’s theoretical value to a change in the price of the underlying instrument displayed as a number between -100% and 100%.

Yes

Edit

UO

GAMMA

Gamma. The sensitivity of an option’s Delta to change in the price of the underlying instrument displayed as the change in Delta for a 1 point change in the underlying. For some options, Gamma represents the change in Delta for a .01 point change in the underlying. These instruments include currency futures, some NYMEX futures, and interest rate futures that are 100 based, i.e., Eurodollars, Treasury Bills, etc.

Yes

Edit

O

THETA

Theta. The sensitivity of an option’s theoretical value to a change in the amount of time to expiration displayed in points per day.

Yes

Edit

O

VEGA

Vega. The sensitivity of an option’s theoretical value to a change in volatility displayed in points per 1% change in volatility.

Yes

Edit

O

RHO

Rho. The sensitivity of an option’s theoretical value to a change in interest rate displayed in points per 1% change in interest rate.

Yes

Edit

O

FRHO

The sensitivity of an option’s theoretical value to a change in foreign interest rates displayed in points per 1% change in foreign interest rate.

Yes

Edit

O

YRHO

The sensitivity of an option’s theoretical value to a change in the yield of a stock or a stock index displayed in points per 1% change in yield.

No

NA

O