Option Greeks as an Indicator

[esskay]

This month I switched from Tradestation to eSignal. In Tradestation I was able to chart Option Analytics - such as theoretical price, delta etc - as indicators. Is it possible to do the same with eSignal?

Thx

esskay

[esskay]

Can someone from eSignal answer my question please?

- esskay

[JayF]

esskay,

Historical options data and option analytics data is not available for charting in eSignal. At this point, we have no active plans to bring these into the program.

[esskay]

Hi Jay,

I am not talking about charting historical data. I know it is difficult to get the daya. Moreover most of the time charting that data is meaningless.

What Tradestation had was Black-Scholes formula available as an indicator. The inputs are just the following:

1. Current price of the underlying.
2. Interest rate
3. Theoretical volatility
4. Call/Put selection

With these input I could chart theoretical option price, or any other calculated greeks such as Delta, Gamma, Vega etc.

Please let me know what you think.

Thanks

-esskay

[JayF]

While we don't chart any of the analytics, they are available in our Options Window (File --> New --> Options Window). To add the analytics to an Options Window, right-click a column heading select either Insert Field or Replace Field, and then the analytics you wish to add.

[esskay]

Jay,

I know how to add analytics in a options quote window.

I will try to program it myself. Afterall it is the formula that is the basis for all options valuation. It has Price of the underlying as the only variable.

I hope you understood the intent. Some pit traded commodity options are not quoted and an indicator like the one I was using at Tradestation helped to assess the right theoretical price for me to place an order.

Unfortunately I will be missing that feature for a while, till I get a hang of programming with eSignal.

-esskay

[mcubillas]

Black Scholes

Hello,

I'm looking for the same information. But I will ask it differently: Does an EFS (either free or provided by 3rd party for a fee) exist for calculating an option's fair-market value and the option's greeks based on the Black-Scholes formula?

Thanks,
Miguel

[JayF]

Miguel,

The indicators in the Options Window are based on the Black Scholes Options Pricing Model. Below is a screenshot with many of these analytics.

[mcubillas]

Thanks Jay.

Can I retrieve all of this information via EFS or DDE? I know I can retrieve the "LAST" value for a symbol (including option symbols), but I also need to get the greeks, etc. for my own studies which include scanning for viable spreads, etc.

Miguel

[JayF]

These values are not currently available through EFS (unless manually calculated.) I'll pass this along as a suggestion to our Product Development Team.

[mcubillas]

Jay,

So the option greeks and the open interest are available via DDE? I know of other option scanning software that uses the eSignal datafeed, like Option Pro from Essex Trading, so it must be coming from the DDE link.

Where can I look at the set of request commands that eSignal takes from a DDE link? I can't find this anywhere on your website (I've used the "Search" command on your website) and I've not been able to get this information from the people on the live online support center.

Thanks,
Miguel

[JayF]

Miguel,

Greeks are not available through DDE. The available list of DDE Qualifiers can be found by going to Start - Programs - eSignal - Excel Sample, and then the Qualifiers tab.

Essex is likely calculating the Greeks themselves.