Artemis Trading Systems

A Simple Java Futures Option Calculator

This is a small Java applet designed to calculate the premium and sensitivity measures for options on futures contracts.

Note: Either you have not enabled Java for your browser or your browser does not support Java 1.0.2 applets.


( To display the applet in its own separate window click here )
Instructions

Features

The units for the price and strike input fields and the premium, vega and theta output fields can be changed to match the contract specifications (e.g. Options on Treasury Bond futures are priced in 64ths and the underlying contracts are traded in 32nds) by selecting the required units in the coloured pull down menus.

Regardless of the units chosen prices are always displayed and entered using the decimal point as the separator e.g to enter an underlying price of 104 and 21 thirtyseconds, select +32nds in the entry units choice box and enter the price as 104.21, Similarly prices and output values are displayed as a whole number and the appropriate number of 32nds, 64ths etc.

Technical Notes

The calculator uses the binomial method specifically adjusted for futures options. The number of steps used in building the tree is fixed at 100. Vega is calculated by moving the volatility up by one percent.

Disclaimer

Although the calculator should produce accurate and reliable values for options on futures contracts, We cannot take responsibility for any errors or mispricings that may occur. Different browsers may display the calculator differently or provide a lower level of functionality to that described due to the different and possibly incomplete versions of the Java Virtual Machine that they implement.

(Note to Windows 95 users: This applet may display odd colour buttons and borders of textfields, this is because under java version 1.0.2 The buttons and other screen objects can only take the colour defined in the contol panel for windows 3d objects. )

For more information please contact us by mail at info@artem.demon.co.uk


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