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Title: software to valuate single share options, for BTCT.CO Post by: stslimited on August 10, 2013, 05:02:56 AM Hey guys, I am trying to calculate a market competitive premium for some options I'll be writing.
What software do you use to calculate single share options? Do you just do a normal calculation for a standardized option of 100 units and divide by 100? How do you price in volatility on these exchanges? Thanks in advance! Title: Re: software to valuate single share options, for BTCT.CO Post by: narayan on August 10, 2013, 05:55:42 AM Options??
Title: Re: software to valuate single share options, for BTCT.CO Post by: dexX7 on August 10, 2013, 06:28:01 AM Take a look at Black-Scholes (http://en.wikipedia.org/wiki/Black%E2%80%93Scholes). There are online calculators:
http://www.mystockoptions.com/black-scholes.cfm Some knowledge gathering would be nice, mine is limited. Here is some data to play with: Quote Symbol: BTCGARDEN, Since: 03.08.2013 (7 days), N = 1430 (trades), Mean: 0.01609, Square: 0.00000, Volatility: 0.00072 Symbol: BTCGARDEN, Since: 11.07.2013 (30 days), N = 3145 (trades), Mean: 0.01607, Square: 0.00000, Volatility: 0.00055 Symbol: LABCOIN, Since: 03.08.2013 (7 days), N = 3317 (trades), Mean: 0.00149, Square: 0.00000, Volatility: 0.00018 Symbol: LABCOIN, Since: 11.07.2013 (30 days), N = 7189 (trades), Mean: 0.00192, Square: 0.00000, Volatility: 0.00065 Symbol: ACTIVEMINING, Since: 03.08.2013 (7 days), N = 1812 (trades), Mean: 0.00571, Square: 0.00000, Volatility: 0.00044 Symbol: ACTIVEMINING, Since: 11.07.2013 (30 days), N = 8274 (trades), Mean: 0.00634, Square: 0.00000, Volatility: 0.00133 Symbol: COGNITIVE, Since: 03.08.2013 (7 days), N = 136 (trades), Mean: 0.39382, Square: 0.00261, Volatility: 0.05109 Symbol: COGNITIVE, Since: 11.07.2013 (30 days), N = 1498 (trades), Mean: 0.63677, Square: 0.03166, Volatility: 0.17792 Symbol: COGNITIVE, Since: 12.05.2013 (90 days), N = 2490 (trades), Mean: 0.42228, Square: 0.09574, Volatility: 0.30942 Symbol: COGNITIVE, Since: 10.08.2012 (365 days), N = 3354 (trades), Mean: 0.32091, Square: 0.10075, Volatility: 0.31741 Symbol: BASIC-MINING, Since: 03.08.2013 (7 days), N = 447 (trades), Mean: 0.33758, Square: 0.00458, Volatility: 0.06769 Symbol: BASIC-MINING, Since: 11.07.2013 (30 days), N = 2439 (trades), Mean: 0.52844, Square: 0.02554, Volatility: 0.15982 Symbol: BASIC-MINING, Since: 12.05.2013 (90 days), N = 3990 (trades), Mean: 0.37648, Square: 0.05436, Volatility: 0.23316 Symbol: BASIC-MINING, Since: 10.08.2012 (365 days), N = 4728 (trades), Mean: 0.32338, Square: 0.06112, Volatility: 0.24723 Symbol: ASICMINER-PT, Since: 03.08.2013 (7 days), N = 1175 (trades), Mean: 3.82851, Square: 0.04996, Volatility: 0.22351 Symbol: ASICMINER-PT, Since: 11.07.2013 (30 days), N = 5027 (trades), Mean: 4.25488, Square: 0.11717, Volatility: 0.34230 Symbol: ASICMINER-PT, Since: 12.05.2013 (90 days), N = 16432 (trades), Mean: 2.15878, Square: 4.10140, Volatility: 2.02519 Symbol: ASICMINER-PT, Since: 10.08.2012 (365 days), N = 20757 (trades), Mean: 1.73078, Square: 3.94292, Volatility: 1.98568 It's up to X days, but possibly less than X days. I used N ticks as input. A volatility of 1.98 is equal to 198 %. No guarantee for correctness. ;) Edit: Rounded numbers - I went a similar route as the following to calculate to volatility: http://www.wikihow.com/Calculate-Historical-Stock-Volatility Title: Re: software to valuate single share options, for BTCT.CO Post by: stslimited on August 10, 2013, 02:45:38 PM Take a look at Black-Scholes (http://en.wikipedia.org/wiki/Black%E2%80%93Scholes). There are online calculators: right I am open to using the black-scholes formula, doesn't the fact that I asked about volatility pricing kind of hint at that? other formulas get similar results to black-scholes too, and I'm open to using them too thanks for the insight! Title: Re: software to valuate single share options, for BTCT.CO Post by: OmicronTheta on August 10, 2013, 03:47:24 PM Application of Black-Scholes to these stocks is very tenuous at best. The are numerous assumptions in that model which don't apply here
Title: Re: software to valuate single share options, for BTCT.CO Post by: stslimited on August 10, 2013, 06:45:11 PM Application of Black-Scholes to these stocks is very tenuous at best. The are numerous assumptions in that model which don't apply here the same with all other options pricing formulas? the slippage in these markets would make all the other formulas give similar results |