Code
| Description
| Adjust
| Method
| App.
|
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
|
