At the request of our customers we have added a new feature to the PowerAnalyzer. It allows you to do some analysis using current prices (which you must enter yourself).
As you can see this strategy has (as of Dec. 13) a 71.75% Probability of Profit (calculated based on 1 Day Implied Volatility value) and positive Exp P/L of 0.0014.
Now you can enter the current "Price" as $52.00 and Bid/Ask prices for the selected options. If you don't have access to a quote service, you can easily obtain 20-minutes delayed prices from the CBOE web site (www.cboe.com). After entering the prices, click on the "Compute" button to receive the following result:
As you can see from the Price/Profit/Prob. Table (the matrix on the lower right), our Max Profit has declined to $0.75 per share, but our Probability of Profit and Exp. P/L even increased (to 83.96 and 0.2813, respectively).
When you are using "Current Prices" to calculate results, PowerAnalyzer automatically recalculates "Fair Value" (based on volatility you selected), as well as Implied Volatility and all Greeks, which you can see by customizing the last column in the Option Matrix. You can also see the updated Profit Graph of your position using current prices, by clicking on the "Profit/Loss Graph" bar at the upper right of the screen.
If, later, you once again want to see Fair Value, Implied Volatility or Greeks based on closing prices, just change the "Use Prices" drop-down window selection from "Current" to "Closing". Then, if you want to see Price/Profit/Prob. Table based on the closing prices, click on "Compute" button after you change selection to use "Closing" prices.
With both prices (Closing and Current) you can play "What if…" analysis to better understand your strategy.
For example, you can check if a strategy you selected, based on the previous day's closing prices, is still attractive the next day when the current underlying and options prices are slightly different.
Let's assume that, based on the closing prices as of Dec. 13, 2000, we decided to buy a Call Credit Spread on IMPH (Impath, Inc.). To analyze this position using the prices of this stock and its options on Dec 14,2000 at 09:52 ET (Data 15 Minutes Delayed, CBOE), we first have to recreate our strategy based on Dec. 13 closing prices.
1. Enter IMPH into a Symbol Box and click on "Get Data" button;
You will see the following result:
2. Select "Sell" for Dec. 55 Call and "Buy" for Dec. 60 Call;
3. Click on "Compute" button.
Now using current prices, we want to see if the position is still attractive. First we have to click on the "Use Prices" drop-down window, located to the right of the "Sum Delta" field in the middle of the screen, and select "Current". As you can see on the next screen display (below) your "Current Date" field will automatically change to the current 2000/12/14 and "Price" and "Bid" / "Ask" fields in the Option Matrix will be blanked out.
