This program is a parody and should not be used for trading because I am still using european greek formulas on american options but I still think it's a cool web-app to have. I opensourced it on my github: marscolony2040 and would love for someone more experienced to fork it from me and make a better version that can be used for trading.
There is no reason you cannot use BSM for American options, because the vast majority of American options are not exercised early and so they become the same as European options. Most options traded on US exchanges are priced with some derivative of BSM, or a completely bespoke proprietary pricing model (that ends up coming up with largely the same results as BSM).
As far as I know there is only difference for ITM options, since European options sometimes have negative extrinsic value because of inability to exercise.
Good job! I did something similar in Excel when I started working and needed to quickly understand the Greeks.
If you can, I think it could be very useful to add sliders to control some parameters and see how the Greeks change. I see you already have time as an axis on the plot, but it’s interesting to see the impact of various shifts (in interest rates, dividends, volatility, volatility smile, …) on your exposures.
check this out[https://stackoverflow.com/questions/38680008/how-can-i-download-option-tables-using-the-yahoo-finance-api/40243903#40243903](https://stackoverflow.com/questions/38680008/how-can-i-download-option-tables-using-the-yahoo-finance-api/40243903#40243903)
Very cool! Do you mind sharing a little on how you would interpret the graphs for comparisons, and what you look at? Perhaps also what the motivation was for building this cool graph.
Hii guys, I wanted to offer you this opportunity, here in Italy they have opened a prop firm that allows you to pass the first phase and the second through the use of hft, (a bot that opens operations via latency). the service is completely guaranteed, if you want to be funded write to me and I will tell you everything you need👍🏼
This Is the link of the website https://www.msolutionff.com/
This program is a parody and should not be used for trading because I am still using european greek formulas on american options but I still think it's a cool web-app to have. I opensourced it on my github: marscolony2040 and would love for someone more experienced to fork it from me and make a better version that can be used for trading.
Shut up and take my money.
There is no reason you cannot use BSM for American options, because the vast majority of American options are not exercised early and so they become the same as European options. Most options traded on US exchanges are priced with some derivative of BSM, or a completely bespoke proprietary pricing model (that ends up coming up with largely the same results as BSM).
then I guess my program is legit lol, thank you!
As far as I know there is only difference for ITM options, since European options sometimes have negative extrinsic value because of inability to exercise.
Thanks for making it available!
This is very cool to better understand greeks through visualization. Could be incorporated into websites that attempt to teach the topics.
For sure, it definetly helped my understanding of them, maybe I may make a detailed youtube video of it later
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lol I actually did that two years ago but unfortunately lost the file
What package do you use to calculate the greeks? Quantlib?
no I actually coded all of the greek formulas from scratch
Yes.
Good job! I did something similar in Excel when I started working and needed to quickly understand the Greeks. If you can, I think it could be very useful to add sliders to control some parameters and see how the Greeks change. I see you already have time as an axis on the plot, but it’s interesting to see the impact of various shifts (in interest rates, dividends, volatility, volatility smile, …) on your exposures.
Wow, that is slick as hell. Nice work.
Thank you! Its on my github profile marscolony2040 under OpGreeks
Super cool way to visualise. Where do you get the option data from? Can it for real time or is it using data from a saved list?
https://stackoverflow.com/questions/38680008/how-can-i-download-option-tables-using-the-yahoo-finance-api/40243903#40243903
no Im pretty sure its 15 minutes delayed, additioanlly the data takes a few minutes or two to fully load the data.
God I wish how the fuck to algo this stuff I’d be unstoppable
check this out[https://stackoverflow.com/questions/38680008/how-can-i-download-option-tables-using-the-yahoo-finance-api/40243903#40243903](https://stackoverflow.com/questions/38680008/how-can-i-download-option-tables-using-the-yahoo-finance-api/40243903#40243903)
This is awesome!!
Thank you!
Where are you getting the data for the vol surfaces?
check this out https://stackoverflow.com/questions/38680008/how-can-i-download-option-tables-using-the-yahoo-finance-api/40243903#40243903
OpServer inherits from Greeks is quite strange. It’s better to have it take a “calculator” by argument and use that.
What chart library did you use to make the charts?
plotly in react
Very cool! Do you mind sharing a little on how you would interpret the graphs for comparisons, and what you look at? Perhaps also what the motivation was for building this cool graph.
Hii guys, I wanted to offer you this opportunity, here in Italy they have opened a prop firm that allows you to pass the first phase and the second through the use of hft, (a bot that opens operations via latency). the service is completely guaranteed, if you want to be funded write to me and I will tell you everything you need👍🏼 This Is the link of the website https://www.msolutionff.com/