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Strategies & Market Trends : Jim's Nasdaq100 Special as a basket. -- Ignore unavailable to you. Want to Upgrade?

To: OX who wrote (1174)	8/27/1999 12:22:00 PM
From: Matthew L. Jones	Read Replies (1) \| Respond to of 2103

Ox, It is proprietary, however, it is Excel compatible. I sometimes take a portfolio sheet with a long list of option symbols and import it to Excel and do a search and replace in the option symbol column to change months on long option symbols. Then I move the sheet back to interquote and it does fine. Is this the kind of thing you are asking about? Incidently, they are working on giving users the option to use the Excel platform, however with their growth rate and having just changed data providers and having to rewrite their software, this is not a high priority. The real advantage (in my opinion) is the charting and alerts which could not be done using the Excel platform. I like the compatibility so I can use it with the alerts and still be able to take a sheet over to Excel for sophisticate number crunching or design issues and then bring it back ready to go. Another thing that is cool about their spreadsheet is the ability to move columns using an arrow key. As for Black-Scholes formulas, I haven't seen them in their spreadsheet. When I was trading a lot more options before I realized that there is no place to get an actual "volatility" number I spent a couple of weeks designing a spreadsheet that would update theoretical value in real time by using the Black Scholes model. As you know it is a very complex formula and takes about 12 columns to contain the different subroutines within the formula. You are welcome to a copy of the spreadsheet if you would like it. Let me know. What I began to notice was that the "implied volatility" is what the traders are using in real time to arrive at price (and of course the market actually determines what the option is really worth). I was trading Dell options and the volatility number changed from 47 to 69 in two days. I would use the option calculator (find the link on my website) to back into volatility. Needless to say that seriously changes option premium. What I've noticed is that the traders will raise put volatility to demand higher premium during downtrends and then raise call volatility during uptrends. I found it impractical to try and arb option premium based on "low and highs" off of theoretical because theoretical changes tremendously with the smallest change in volatility and the floor traders jack that number around so much that I couldn't keep up. Matt