As of 10 December 2012 the Theoretical Option Price Calculator located on this webpage will no longer provide a fully accurate representation of theoretical option prices as they relate to ASXCL margining methodology.
In line with the changes being undertaken by ASX to transfer margining calculations onto the CME-SPAN margining methodology, the Theoretical Option Price Calculator, which is based on the ADMS (TIMS) methodology, will no longer provide an accurate calculation for users.
Until a replacement has been implemented, the current Theoretical Option Price Calculator will remain available for use. However, it is intended for indicative purposes only.
From the 10-Dec-2012 onwards, the calculations produced via this Theoretical Option Price Calculator will no longer align exactly with the current ASXCL margining methodology.
The SPAN methodology considers how the value of an entire portfolio of options and futures will respond to changes in futures (or underlying) prices and volatilities. As such, the previous ADMS (TIMS) calculations will no longer provide a calculation which is aligned with the new methodology.
Any questions or concerns regarding this change should be forwarded to: email@example.com.
This is a web based tool allowing you to calculate an option's theoretical fair value. You can also perform a detailed statistical analysis of an option.
You can also view the following online demos, which take you through the features of the calculator. Please allow about 20 seconds for the demos to load. Note: You are not required to download software to view these demonstrations.
The 'Basic features' demo shows how to calculate an option's theoretical fair value, and demonstrates how you can alter the value of variables such as volatility or interest rates to see how the option's value is affected. The demo takes around five minutes.
The 'Advanced features' demo shows how to perform a more detailed statistical analysis of an option, and how to analyse pricing derivatives such as delta, gamma, and the other 'Greeks'. The demo takes around five minutes.
The ASX Group's activities span primary and secondary market services, including capital formation and hedging, trading and price discovery (Australian Securities Exchange); central counterparty risk transfer (ASX Clearing Corporation); and securities settlement for both the equities and fixed income markets (ASX Settlement Corporation).