SpotGamma’s Options Calculator allows you to create new trades, save your positions, or access and adjust previously saved positions.

1. New Positions: Build and save new trades to display on the PnL Chart.
2. Saved Positions: Access previously constructed trades to display on the PnL Chart, and adjust your existing positions.
3. Expiration Slider: View your projected PnL across future dates using the slider to show how the time-to-expiration impacts your position.
4. Implied Volatility Settings: Shift implied volatility up or down, or manipulate skew by expiration to show how IV can affect your trade.

Position Adjustments

Within the Position Manager, you have the ability to add puts and calls, adjust the dimensions of each option leg, and add underlying stock to the total position.

Option Inputs: Switch between BTO (buy-to-open) or STO (sell-to-open), change the quantity of the option, transition between Calls and Puts, and change the strike, expiration, or price for each specific leg.

Options Data: See the Implied Volatility, Gamma, Vega, Delta, and Theta associated with each leg of your options position. This can be used to remain delta neutral in your trades, or to create unique exposures.

Underlying: Add underlying stock to the position, in addition to options.

Saved Positions

Within the Saved Positions tab, you can view trades that you have previously set up within SpotGamma’s Options Calculator.

Clicking on a position will immediately expand the Position Manager so you can easily adjust your trade inputs.

When Display PnL is selected, then that position is rendered in the above PnL Chart.

When Display PnL is grayed out, at least one leg of the position has expired, and there is no future PnL to display. However, you can still edit the position to change the expiration.

Expiration Slider

You can manipulate the time-to-expiration slider to visualize how changing time-to-expiration affects the return profile of your position. This can help visualize the impact of time decay on the trade, and how zones of profitability change as the expiration date of the option approaches.

Implied Volatility Settings

When you select IV Settings within the Position Manager, a pop-up window appears allowing you to change the Implied Volatility. This will affect the position value for all options with the expiration date you have chosen.

When an adjustment is made using IV Shift, Call Skew, or Put Skew, the change will appear as a red line on the volatility skew chart to the right. The static green line shows the current market implied volatility for the chosen expiration, and the dashed green line provides a reference level of IV for comparison.

Once you click Save, any adjustments made in the IV Settings window will be reflected on the PnL Chart, so you can visualize the impact of the new IV values on your position’s value.

Select a Reference Line: View what implied volatility by strike looks like in various scenarios for the selected expiration as a dashed green line in the volatility skew chart on the right, from the potential options listed below.

• Current IV: The current market implied volatility, shown by default in a thick green line on the volatility skew chart.
• Min: The minimum IV across strikes observed in the past 90 days for the selected expiration.
• Max: The maximum IV across strikes observed in the past 90 days for the selected expiration.
• Average: The arithmetic mean of IVs across all strikes for the past 90 days, for the listed expiration.
• Median: The median IV across all strikes for the past 90 days, for the listed expiration (50% of IV values higher than the median, and 50% of IV values lower than the median, for each strike).
• P10: The 10th percentile of IVs across all strikes in the past 90 days, for the selected expiration.
• P25: The 25th percentile of IVs across all strikes in the past 90 days, for the selected expiration.
• P75: The 75th percentile of IVs across all strikes in the past 90 days, for the selected  expiration.
• P90: The 90th percentile of IVs across all strikes in the past 90 days, for the selected expiration.

IV Shift: You can manipulate the implied volatility (IV) for the chosen expiration across all strike prices. Options become more expensive as IV increases, and less expensive as IV decreases. This changes based on vol points (e.g., an IV shift of -3 vol points can change IV from 35.5% to 32.5% for a given strike).

Call Skew: Adjust the implied volatility for options with strike prices higher than 50 delta, meaning out-of-the-money calls and in-the-money puts become more expensive.

Put Skew: Adjust the implied volatility for options with strike prices lower than 50 delta, meaning in-the-money calls and out-of-the-money puts become more expensive.

Reset: You can restore the values back to the current implied volatility measurement

When IV Settings are adjusted, a yellow gear icon will appear next to the button, as shown in the image on the left. 

Access the Options Calculator User Guide here. 

SpotGamma subscribers can access the Options Calculator here.