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What Is OptionScope?

OptionScope is a stand-alone program that evaluates options through the use of the Black-Scholes Model. It is designed to help you determine which options are profitable and the degree of risk a given position will entail. OptionScope is bundled free when you purchase MetaStock.

To use OptionScope you must provide the program with several basic bits of information and it will calculate the rest. Across the top of the worksheet are 4 boxes, which must be filled in. These contain information on:

  • The type of issue the option is on (i.e. Stocks or Futures)
  • The long term interest rate over the life of the option (a 6 month T-bill is a good measure)
  • Any dividends expected (for stock options)
  • The units in which you wish to view the data.

In the worksheet area, each column is a separate item. The white rows must be filled in and 1 blue row must be filled in. The rest of the rows will be calculated. The white rows are asking for:

  • Calc. Date (Today's date. or any past date)
  • Exp. Date - usually the 3rd Friday of the expiration month.
  • Strike - the strike price of the option
  • Security - the current price of the underlying security
  • # Contracts - the number of positions you are evaluating for this option
  • Call/Put - whether this position is a call or a put

The blue rows ask you for either the current price for the option, in which case it will return the implied volatility; or if you can supply an implied volatility, it will return the calculated price of the option, if the price can be calculated based on that volatility. The last five rows are all calculated values. They are:

  • Delta - the amount that the option's price will change if the underlying security's price changes by $1.00.
  • Gamma - the anticipated change in Delta, given a one point increase in the underlying security.
  • Life - the time in days remaining before the option expires
  • Theta - the change in the option's price (in points) due to the effect of time alone.
  • Vega - the change in the option price due to an assumed 1% increase in the underlying security's volatility.