Remember when you initially logged into QuikStrike? The Standard Pricing Sheet was the first page you saw, and that’s not by mistake. The Standard Pricing Sheet, and all the other pricing sheets, are structured in a way that allow our users to manipulate them quickly and easily. It is our goal to give our users access the information they need in just a few clicks of the mouse.
The Pricing Sheet is also one of the more common pages and is found in almost all option pricing applications. Leverage our version to dive more deeply into specific information about a particular expiration or strike with the Standard Pricing Sheet:
- View detailed information about the current expiration (click the expiration in the title bar)
- Open a futures window to see intraday, previous day and historical price action (click the underlying price in the title bar)
- Quickly jump off to strike detail popups (click on any price in the Strike column)
- Find implied volatility with the simple option calculator on the page (click on the calculator icon located next to each strike price)
- Manipulate the analysis data without leaving the page in the application (click the Analysis Button on the right hand side of the title bar to display the Analysis Bar)
These are just a few of the ways to take advantage of the page. Let’s look at the Standard Pricing Sheet Page for the EDH5 contract:
Understanding the Analysis Bar is key to getting the most out of the Pricing Sheet. It’s important to spend some time on the Standard Pricing Sheet. Master the functionality by clicking all the links to view the informational popups and hover over all the buttons. The Direction, Price, Model and Mode dropdowns are briefly explained in the call-outs in the image above, and the list below further breaks down the features of the Analysis Bar:
- Change the Future Price or Volatility (or ATM Price) by typing a new figure in the box, or use the arrow buttons on either side of the box to move the value up or down
- Manipulate Days to Expiration (DTE) by clicking the calendar icon and selecting a date, or input the number of DTE of your choice
- Select a Mode in the dropdown (explained in the list below) to display your desired strike range:
- Auto Strike: The number (15 in this case) of strikes displayed both above and below the ATM Strike (NOTE: In the example image above, 100 is the highest strike available in QuikStrike, therefore 15 higher strikes cannot be displayed)
- Delta Limit: Setting the Delta Limit restricts the strikes shown to those with Deltas that are the within the limit selected relative to 0 or 100/-100
- Low/High: Input the range of strikes to be shown in the boxes and all strikes in between are displayed
- Upside: Upside shows all strikes above the ATM (plus the ATM)
- Downside: Downside shows all strikes below the ATM (plus the ATM)
As you can see on the table, Daily and Annual Basis Point Volatility columns follow the Greek columns on this particular pricing sheet. You will only see these columns on Interest Rate Pricing Sheets. All other products will have a column for Rent, a measure of the expected daily change in the underlying future based on the volatility of the current expiration, instead. Learn more about the Rent value in the Calcs 101 menu item, which can be found in the QS.EDU section of QuikStrike.
Now that we’ve broken down all the different aspects of the page, let’s put the Standard Pricing Sheet to work. Below is an image of the Standard Pricing Sheet for the Corn OZCG5 contract without any input adjustments:
Let’s say we’ve calculated an implied volatility (31.57) for the 400 strike price (NOTE: a yellow line runs through the row with the ATM Strike). Now let’s input the implied volatility replacing the current volatility on the pricing sheet and evaluate the changes on the image below:
- Call Delta remains the same at 52
- Call premium decreases from 10.460 to 9.293
- Put premium decreases from 10.210 to 9.673
- Put Delta remains the same at -48
- Straddle price decreases from 20.670 to 19.597
- Gamma increases from 1.536 to 1.620
- Vega remains the same at 0.310
- Theta increases from -0.381 to -0.361
- Rent decreases from 8.412 to 7.976
It’s important to note how the values on the other rows of the chart change aside from the ATM Strike. For example, analyze how the volatility changed in all the other columns. Since we had an implied volatility lower than the current volatility, the volatilities decreased (by the same amount) for all the other strikes. Notice how the volatility of the 350 Strike on both images is exactly 6.52 percent higher than the volatility of the 400 Strike.
Now that we’ve seen what happens to the values in the pricing sheet when volatility changes, let’s try increasing the underlying price one point and going back to the original volatility.
- Call Delta increases from 52 to 53
- Call premium increases from 10.460 to 10.982
- Put premium decreases from 10.210 to 9.733
- Put Delta increases -48 to -47
- Straddle price increases from 20.670 to 20.715
- Gamma decreases from 1.536 to 1.529
- Vega remains the same 0.310
- Theta remains the same at -0.381
- Rent increases from 8.412 to 8.433
Analyze how prices and other values change in a matter of seconds by manipulating one or more of the variables in the theoretical pricing model. Don’t forget that a simple option calculator is next to each strike price on the pricing sheet (NOTE: View the first image to learn how to launch the calculator on the page). Plug in your own values to find theoretical prices and implied volatilities without leaving the page.
What is your favorite part of the Standard Pricing Sheet? Do you use the Standard Pricing Sheet before executing trades? Share your thoughts with us by sending an email to firstname.lastname@example.org. Please share this post with others who may be interested. Thanks for checking out our blog!