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The Date Adjust Method

You can also adjust the amount of time to expiration by specifying a particular date. When you use the date method, you are saying, in essence, show me what these options will look like on such-and-such a date. Obviously, this is most useful if you specify a date that is after today, but before the expiration of the options you are evaluating.

When you use date adjustment, Aspen Systems evaluates your options as though you somehow reset the calendar to a different date and then caused time to stop. The system continues to evaluate options based on the date you specify, and the time to expiration remains static. Among other things, using the date adjust method enables you to forecast options performance at expiration. The following example shows you how to base time to expiration on a specific date. For illustrative purposes, assume the current date is 3/3/96 and follow these steps:

1. Display the Quote Menu.

2. Select Option Parameters.

The Quote Option Parameters menu is displayed.

3. Toggle the Expire field.

images/bopt200090000.gif Click on the Expire field.

images/bopt200090000.gif Use the arrow keys to move the highlight to the Expire field and press b.

The value changes to Date.

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4. Open the Adjust field.

images/bopt200090000.gif Click on the Adjust field.

images/bopt200090000.gif Press the right arrow key to move the highlight to the Adjust field and press b.

5. Type a date in MM/DD/YY format (Month/Day/Year), i.e., 3/3/96.

Normally, you will want to specify a date that is after the current date but before the expiration of the option. However, Aspen Systems accepts any date you specify. If you enter a date that is after expiration, Aspen Systems assumes you want to see performance at expiration. If you enter last Friday
s date, Aspen Systems assumes you want to see what the performance was last Friday.

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6. Press b.

7. Select Draw.

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Notice that the XDAYS field for all options changed to 32, and a date appeared below the XADJUST field. This is the date you specified, and it is displayed using the DADJUST quote code. If the date adjustment is satisfactory, select Done or press s to get rid of the Quote Option Parameters menu.