Option Theoretical Price Calculator / Margin Estimator - Australian Securities Exchange - ASX

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Option Theoretical Price Calculator / Margin Estimator.
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    Option Theoretical Price Calculator / Margin Estimator - Australian Securities Exchange - ASX

    Option Theoretical Price Calculator / Margin Estimator

    Help Page

    This help is intentionally on a separate window. It will allow you to use the hyperlinks without drifting from your calculator or estimator pages.
    This window stays open until you close it. A click on HELP in the Calculator/estimator window will refresh this window.

    Margin Estimator - Select Underlying Security/Index

    This tool will estimate any margins which may be payable on option positions.

    If you only buy options, then margins are not payable. It is when you write (sell to open a position) options that margins may be payable.

    Please take note:

    1. This is an estimate of Australian Clearing House (ACH) margins. Please confirm with your broker the exact margin payable. Your broker may charge you a different amount, which is a matter for discussion between you and your broker.
    2. This is only an estimator and will not calculate exactly.
    3. Data used by the estimator is updated on a weekly basis.

    First you need to select an underlying security or index by highlighting it and pressing the "Go" button. The calculator will store the security you have selected and then ask you to select one or more option series.

    You can only select one underlying security/index at this point. If you return to this page at another time you can select another security.  

    Option Theoretical Price Calculator - Select Underlying Security/Index

    This tool will calculate an option's theoretical fair value.

    First, select an underlying security or index by highlighting it and pressing the "Go" button. The calculator will store the security you have selected and then ask you to select one or more option series.

    You can only select one underlying security/index at this point. If you return to this page at another time you can select another security.

    Margin Estimator - Select Underlying Security/Index and/or option

    This estimator has stored the security/index you selected.

    Now you need to select one (or more) option series and press the "go" button. The page will remember which option series you select, and you can select as many as you like.

    To select more than 1 option series, just hold the Ctrl key down and click each required option.

    If you return to this page at another time you can select more options, or you can select a different underlying security/index and then select more options.

     Option Analysis button : Once you select an option series, clicking this icon will take you to a page that will give the theoretical option price, implied volatility and many other details. You will be able to change all the option parameters to see how this affects the option's value.

    Portfolio button: Clicking this button will take you to a navigational page which helps you to switch between various securities and options you are examining. It will show the margins for all the options you have examined. If you are a first time user of this page, this button is not relevant.

    Option Theoretical Price Calculator - Select Underlying Security/Index and/or options

    This calculator has stored the security/index you selected.

    Now you need to select one (or more) option series and press the "Go" button. The page will remember which option series you select, and you can select as many as you like.

    To select more than 1 option series, just hold the Ctrl key down and click each required option.

    If you return to this page at another time you can select more options or you can select a different underlying security/index and then select more options.

     Option Analysis button: Once you select an option series, clicking this icon will take you to a page that will give the theoretical option price, implied volatility and many other details. You will be able to change all the option parameters to see how this affects the option's value.

    Portfolio button: Clicking this button will take you to a navigational page which helps you to switch between various securities and options you are examining. If you are a first time user of this page, this button is not relevant.

    Margin Estimator - Show Underlying Security/Index and its options

    How margins work:

    If you only buy options, then margins are not payable. It is when you write (sell to open a position) options that margins may be payable.

    The estimator has remembered the security/index and the option series you have just selected. You can add more options for any underlying asset by clicking the "Add More" button.

    This page estimates what margins - if any - would be payable for given options positions.

    Please take note:

    • This is an estimate of Australian Clearing House (ACH) margins - your broker may charge you a different amount, which is a matter for discussion between you and your broker.
    • This is only an estimator & will not calculate exactly. On average you should get a result within 10% of what ACH will charge.

    ASX also provides information on how margins work and more detailed information is available from the ASX Margins booklet (PDF 260KB).

    This page does all the work for you by filling in the various input fields with values from the ASX database (delayed by 20 minutes). The content of the fields are listed & explained below. You can change some of these fields, but not all of them.

    If you want to change all of the fields to see what happens to the option's price, you can use the Option Analysis .

    The page has automatically filled in the following fields for you:

    Underlying security or index details

    • Underlying Value - this is the 20 minute delayed price of the underlying asset from the ASX database. If the company's dividend has not been declared and is an estimate then that dividend estimate has been calculated using dividend data and forecasts provided by Markit Dividends - www.markit.com
    • 1st Div Date - nearest ex dividend date of the underlying asset. Note that this could be an estimate (read an explanation of this particular estimate)
    • 1st Div Amt - first dividend amount in dollars and cents
    • 2nd Div Date - next ex dividend date after 1st Div Date above
    • 2nd Div Amt - second dividend amount in dollars and cents
    • Volatility - current estimate of implied volatility. Also read an explanation of this particular estimate
    • Margin Interval - the current percentage used by the Options Clearing House for margining purposes.

    Option Details

    • ASX Code - the five-letter code which identifies the particular option series
    • No of Con - the number of contracts. This will default to one, but you can change the field if you wish.
    • Call/Put - indicates call or put option. This field will default to the option series you have chosen on the previous page.
    • Amer/Euro - indicates the exercise style of the option - either American or European.
    • Expiry Date - the expiry date of the option
    • Exercise Price - the exercise price (or level) of the option. The term "exercise" is sometimes called "strike".
    • Cntrct Size - shares per contract - the number of underlying shares (or the value of the index) which 1 option contract represents. Normally this will be 1000 shares per contract, but where a contract adjustment has occurred this maybe different. For index options this will be usually be $10 per point. Clarify contract specifications.
    • Option Value - from the ASX database (delayed by a minimum of 20 minutes). This is the last price at which the option traded. Note that where the option series has not traded today, but bids and offers are in the market, this price will be the mid point of the bid and ask. Or if there is no bid and ask prices, it will reflect the theoretical value at yesterday´s close.
    • Theoretical Price - the theoretical value of the option calculated using inputs as displayed on this page. Find out more about option models.
    • Implied Volatility - this is the volatility, in percentage terms, implied by the option price that appears in the "Option Value" field to the left. Learn more about how volatility affects an options price.

    (*) - This is an indicator of whether the margin will be calculated on this particular position or not. The box will be checked automatically for you, meaning that this position will be automatically included in the margin calculation. If you don't want this particular position to be included in the calculation, uncheck the box so that it is blank. When the box is blank you can click on "Recalculate" to calculate margins again.

      - click this icon to go to the options analysis page

      - click this icon to remove this particular option series

    Add More - this button will enable you to select another underlying security or index, and also select more option series.

    Recalculate - this button will recalculate the theoretical value and implied volatility if you change any of the fields on the page.

    Hide Margins - click on this button to remove the margin table from this page. In this way the Margin Estimator page you are using will be turned into an Option Calculator tool as well. You will not lose any data by doing this.

    Portfolio - if you have not viewed margins so far, then this button will take you to a central navigation page that will reflect all the underlying securities you have viewed so far. If you have already viewed margins, then this button will take you to the Portfolio page. The Portfolio page is designed for margin & collateral assessment, and has full instructions at the bottom.

    Margin Table

    This table gives you an overall amount for the margins payable on all the positions listed above. Note that if the box (*) is not checked, margins will not be calculated for this position.

    Option Theoretical Price Calculator - Show Underlying Security/Index and its options

    How margins work:

    This calculator has stored the security/index and the option series you have just selected. You can add more options for any underlying asset by clicking the "Add More" button.

    The page will remember what you did & add the other securities or indices to the Portfolio page.

    This page calculates the theoretical fair value of an option.

    More about pricing models.

    This page does all the work for you by filling in the various input fields with values from the ASX database (delayed by 20 minutes). The content of the fields is listed & explained below.

    If you want to change all of the fields to see what happens to the option's price, you can use the Option Analysis page .

    The page has automatically filled in the following fields for you:

    Underlying security or index details:

    1. Underlying Value - this is the 20 minute delayed price of the underlying asset from the ASX database. If the company's dividend has not been declared and is an estimate then that dividend estimate has been calculated using dividend data and forecasts provided by Markit Dividends - www.markit.com
    2. 1st Div Date - nearest ex dividend date of the underlying asset. Note that this could be an estimate (read an explanation of this particular estimate)
    3. 1st Div Amt - first dividend amount in dollars and cents
    4. 2nd Div Date - next ex dividend date after 1st Div Date above.
    5. 2nd Div Amt - second dividend amount in dollars and cents
    6. Volatility - current estimate of implied. Also see an explanation of this particular estimate.

    Option Details;

    1. ASX Code - the five-letter code which identifies the particular option series
    2. Call/Put - indicates call or put option. This field will default to the option series you have chosen on the previous page.
    3. Amer/Euro - indicates the exercise style of the option - either American or European.
    4. Expiry Date - the expiry date of the option
    5. Exercise Price - the exercise price (or level) of the option. The term "exercise" is sometimes called "strike".
    6. Cntrct Size - shares per contract - the number of underlying shares (or the value of the index) which 1 option contract represents. Normally this will be 1000 shares per contract, but where a contract adjustment has occurred this maybe different. For index options this will be usually be $10 per point. Clarify contract specifications.
    7. Option Value - from the ASX database (delayed by a minimum of 20 minutes). This is the last price at which the option traded. Note that where the option series has not traded today, but bids and offers are in the market, this price will be the mid point of the bid and ask. Or if there is no bid and ask prices, it will reflect the theoretical value at yesterday´s close.
    8. Theoretical Price - the theoretical value of the option calculated using inputs as displayed on this page. Find out more about option models.
    9. Implied Volatility - this is the volatility, in percentage terms, implied by the option price that appears in the "Option Value" field to the left. Learn more about how volatility affects an options price.

      - Click this icon above  to go to the options analysis page
      - Click this icon to remove this particular option series

    Add More - this button will enable you to select another underlying security or index, and also select more option series.

    Recalculate - this button will recalculate the theoretical value and implied volatility if you change any of the fields on the page.

    Show Margins - click on this button to add a margin table to this page. In this way the option calculator page you are using will be turned into a Margin Estimator tool as well. You will not lose any data by doing this. Full instructions about the margin table will appear under it.

    Portfolio - if you have not viewed margins so far, then this button will take you to a central navigation page that will reflect all the underlying securities you have viewed so far. If you have already viewed margins, then this button will take you to the Portfolio page. The Portfolio page is designed for margin & collateral assessment, and has full instructions at the bottom.

    Option Analysis Page

    This page allows you to change all the variables of both the underlying security/index and the option, so that you can see how various values change.

    Find more information on pricing models

    You have already selected an underlying security/index and your option series, which have been carried onto this page for you. You can now change most of the fields in all sorts of combinations, then click "Recalculate" to see how the option's price, implied volatility and/or Greeks are affected. You can do this for as many variables as you like.

    The page has automatically filled in the following fields for you:

    Underlying security or index details:

    • Date Value (today) - this is the date from which the option price will be calculated. You can change this field if you wish, but normally an option's price would be determined forward from today.
    • Underlying Value - price of the underlying asset from ASX database (delayed by 20 minutes)
    • Volatility - current estimate of implied. Also see an explanation of this particular estimate.
    • Margin Interval - the current percentage used by the Options Clearing House for margining purposes. Learn more about margining from the Understanding Margins booklet (PDF 262KB).
    • Binomial- the number of steps or intervals that are used in a binomial model to calculate an option's theoretical price. Default value is 50
    • 1st Div Date - nearest ex dividend date of the underlying asset - current information from the ASX database (delayed by 20 minutes). Note that this could be an estimate (read an explanation of this particular estimate)
    • 1st Div Amt - first dividend amount in dollars and cents
    • 2nd Div Date - next ex dividend date after 1st Div Date above.
    • 2nd Div Amt - second dividend amount in dollars and cents
    • 3rd Div Date - next ex dividend date after 2nd Div Date above
    • 3rd Div Amt - third dividend amount in dollars and cents
    • 4th Div Date - next ex dividend date after 3rd Div Date above
    • 4th Div Amt - fourth dividend amount in dollars and cents
    • Annual dividend yield - where index options are being priced, it is usual to express the dividend in yield terms. A percentage yield can be entered in this field.

    Option Details:

    • ASX Code - the five-letter code which identifies the particular option series
    • Call/Put - indicates call or put option. This field will default to the option series you have chosen on the previous page.
    • Amer/Euro - indicates the exercise style of the option - either American or European.
    • Expiry Date - the expiry date of the option
    • Exercise Price - the exercise price (or level) of the option. The term "exercise" is sometimes called "strike".
    • Last Sale Price - from the ASX database (delayed by a minimum of 20 minutes). This is the last price at which the option traded. Note that where the option series has not traded today, but bids and offers are in the market, this price will be the mid point of the bid and ask. Or if there is no bid and ask prices, it will reflect the theoretical value at yesterday´s close.
    • Theoretical Price - the theoretical value of the option calculated using inputs as displayed on this page. Find out more about option models.

    Implied Volatility Calculation:

    • Your Price - from the ASX database (delayed by a minimum of 20 minutes). This is the last price at which the option traded. Note that where the option series has not traded today, but bids and offers are in the market, this price will be the mid point of the bid and ask. Or if there is no bid and ask prices, it will reflect the theoretical value at yesterday´s close.This price will appear by default. You can enter any option price here.
    • Implied Volatility - this is the volatility, in percentage terms, implied by the option price that appears in the "Your Price" field to the left. Learn more about how volatility affects an options price.

    Option "Greeks ":
    Read a full explanation of these figures. Here is a concise explanation:

    • Delta: sensitivity to underlying price. Example: If the figure here is 0.38, this means that for every 1 dollar move in the price of the underlying asset, the option will move 38 cents, all else being equal.
    • Gamma: sensitivity to delta. Example: If the figure here is 0.43, this means that for every 1 dollar move in the underlying asset, the option's delta will move by 0.43, all else being equal.
    • Theta: sensitivity to time. Example : If the figure here is -0.0018, this means for every day that passes, the option will loose 0.0018 cents in value, all else being equal.
    • Rho: sensitivity to interest rates. Example : If the figure here is 1.272, this means for every 1% change in interest rate, the option will move 1.272 cents (or $0.01272) in value, all else being equal.
    • Vega: sensitivity to volatility. Example : If the figure here is 0.673, this means for every 1% change in volatility, the option will move 0.673 cents (or $0.00673) in value, all else being equal.

    Add More - this button will enable you to select another underlying security or index, and also select more option series.

    Recalculate - this button will recalculate the theoretical value greeks and implied volatility if you change any of the fields on the page.

    Portfolio - if you have not viewed margins so far, then this button will take you to a central navigation page that will reflect all the underlying securities you have viewed so far. If you have already viewed margins, then this button will take you to the Portfolio page. The Portfolio page is designed for margin and collateral assessment, and has full instructions at the bottom.

    Margin On Portfolio Total

    If you only buy options, then margins are not payable. It is when you write write (sell to open a position) options that margins may be payable.

    This page estimates what margins - if any - would be payable for your portfolio. It will automatically display the securities you have selected and apply offsets across your positions. It will then display the total cash margin payable. It also allows you to enter any collateral you may have and apply it to margins that may be due.

    Please take note:

    • This is an estimate of Australian Clearing House (ACH) margins - your broker may charge you a different amount, which is a matter for discussion between you and your broker.
    • This is only an estimator & will not calculate exactly. On average you should get a result within 10% of what ACH will charge.

    The estimator has stored the security/index and the option series you have just selected. If you go back (using the Add More button) and choose several different underlying securities, this estimator will store them all.

    If you don't want to remove some series in your portfolio, click the  symbol and that particular underlying series will be removed from the calculation.

    If you want to analyse the options to a particular underlying security/index that you have already examined, use the

    Add More - Use this button if you want to add another underlying security/index and more option series.

    Hide Margins - click on this button to remove the margin table from this page. You will not lose any data by doing this.

    Recalculate - this button will recalculate the collateral results if you change any of information on the page.

    For more information:

    The page has automatically filled in the following fields for you:

    First Table - Total Cash Margin

    • ASX Code - the 3-letter code of the underlying security or index
    • Underlying Abbrev Name - abbreviated name of the underlying security or index
    • Premium Margin - the total premium margin estimate payable on all positions in this underlying asset. If you need to see what these positions are, click the 
    • Risk Down Margin - the total risk margin estimate payable if the risk of the entire portfolio was greatest on the downside (see more detailed information on this calculation (PDF 262KB))
    • Risk Up Margin -total risk margin estimate payable if the risk of the entire portfolio was greatest on the upside (for more detailed information on this calculation read  the ASX booklet "Understanding Margins" (PDF 262KB))
    • Chosen Risk Margin - this page assesses whether the risk on your positions is greatest on the downside or upside, and then choses the appropriate risk direction for the portfolio. Once the direction of risk has been chosen, it then applies offsets if available. This method is used by Australian Clearing House (ACH) to assess margins which may be payable on multi-security portfolios. For more details on how offsets are applied by ACH read  the ASX booklet "Understanding Margins" (PDF 262KB)
    • Total Margin - the estimated total amount of margin payable on that particular underlying security/index, after offsets have been applied
    • Total Cash Margin - the estimated total amount of margin payable on all option positions in the portfolio

    Second Table - Total Collateral Value

    You can use this table to estimate what your collateral may be worth, so that you can get an overall idea of how much cash margin you may need to pay.

    • Description - listed here are some of the types of collateral that are accepted by ACH. Also see a full description.
    • Face Value - enter the face value of any collateral you may have in the following way:
    • Collateral Value - The page will estimate the value of collateral based on the figures you have entered in the "Face Value" column, and applying various haircuts described above.
    • CASH - If you have some credit balance in your account with your broker, enter it here.
    • ACCEPTABLE SHARES - If you hold shares that you can lodge as collateral, enter the market value of those shares here. ACH will accept certain shares as collateral. ASX maintains a list of current shares (PDF 72KB) that can be used. . Securities lodged are subject to a "haircut" of 30% to protect against a sudden market downturn.
    • INSTALLMENT WARRANTS - If you hold instalment warrants that you can lodge as collateral, enter the market value of those warrants here. ACH will accept warrants as collateral.
    • Warrants lodged with ACH are subject to a "haircut" of 40% to protect against a sudden market downturn.
    • OTHER - If you hold some other form of collateral such as shares bought on margin, enter the market value of those shares here. ASX provides more information about collateral.
    • Total Face Value - the sum of the figures in the Face Value column
    • Total Collateral Value - the sum of the figures in the Collateral Value column
    • Margins Payable Less Collateral Lodged - the total amount of cash margins you need to pay. This is the Total Cash Margin less the Total Collateral Value. If the Total Collateral Value is greater than the Total Cash Margin, then this field will read 0, because you don't need to pay anything.

    Please take note:

    • This is an estimate of Australian Clearing House (ACH) margins - your broker may charge you a different amount, which is a matter for discussion between you and your broker.
    • This is only an estimator & will not calculate exactly. On average you should get a result within 10% of what OCH will charge.

    Theoretical Price Calculator - Portfolio Total

    The calculator has stored the security/index and the option series you have just selected. If you go back (using the Add More button) and choose several different underlying securities, this calculator will store them all.

    If you want to remove some series in your portfolio, click the  symbol and that particular underlying asset (and all options that you have selected with it) will be removed from the calculation.

    If you want to analyse the options to a particular underlying security/index that you have already examined, use the  icon.

    Add More - If you want to add another underlying security/index and more option series, use the Add More button on this page.

    Show Margins - click on this button to add a margin table to this page. In this way the option calculator page you are using will be turned into a Margin Estimator tool as well. You will not loose any data by doing this. Full instructions about the margin table will appear under it.

    General

    Defaults used by the system:

    Binomial steps : 50

    Iterations : 50

    Precision : 5.0E-4

    Interest rate : 4.75%

    Business date : 4-Jan-2011

    Collateral haircut for shares :30%*

    Acceptable shares collateral credit : 70%*

    Installment warrants collateral credit : 60%*

    Other Credit : 100%*

    * ASX can change this level at any time, so check with your broker.

    Hovering over the buttons with the mouse, will provide a basic explanation of functionality.

    From some pages (where available) on the Margin Estimator or the Theoretical Price Calculator you can start the Option Analysis page by clicking on the button.

    (*) - This is an indicator of whether the margin will be calculated on this particular position or not. The box will be checked automatically for you, meaning that this position will be automatically included in the margin calculation. If you don't want this particular position to be included in the calculation, uncheck the box so that it is blank.

    On the Margin Estimator page you can remove the option series by clicking on the  button.

    On the Portfolio page you can remove the whole underlying stock/index and all its attached options by clicking on the  button.

    From the Portfolio page you can branch to the Margin Estimator page by clicking on the  button.

    On the Underlying list page you can remove the whole underlying stock/index and all its attached options series by clicking on the  button.

    From the Underlying list page you can branch to the Theoretical price calculator page by clicking on the  button.

    List of internal links.

    If you want to get some more background information you can read about