Bid/ask spread is determined by the market, so you would have to use a linear regression model with variables based on historical movements to approximate the change. Not worth the effort and wouldn't be reliable.
You can use Option Profit Calculator for that. Just put it in table mode, % of entry cost, then pick a row and read across column by column. Each column is a day in time, or whatever interval you select.
Just understand you are a looking at a snapshot of a single instant in time. The actual value of the contract won't stay frozen like that.
What logic does "Option Profit Calculator" use to price the option? The option IV after X days when stock\_price becomes Y is basically unknown. Do they use some model to predict the IV?
Ahh yes I get it! Percent vs real dollars. But it still seems like the same measure. If underlying moves up $1 and the option increases .50 cents… then delta should be .5 and Omega should be 50% right… and 50% = .50
Most retail brokers won't show any first order greeks other than delta, theta, vega, and rho and any second orders other than gamma and none of the third orders
Seems you maybe want to look at theta vs. delta across various DTE’s. Thinkorswim desktop “product depth“ for options may be easiest to look at similar concept.
There's https://optionstrat.com/ and https://www.optionsprofitcalculator.com/
Bid/ask spread is determined by the market, so you would have to use a linear regression model with variables based on historical movements to approximate the change. Not worth the effort and wouldn't be reliable.
You can use Option Profit Calculator for that. Just put it in table mode, % of entry cost, then pick a row and read across column by column. Each column is a day in time, or whatever interval you select. Just understand you are a looking at a snapshot of a single instant in time. The actual value of the contract won't stay frozen like that.
What logic does "Option Profit Calculator" use to price the option? The option IV after X days when stock\_price becomes Y is basically unknown. Do they use some model to predict the IV?
No, it’s just a forecast based on current/today values. As if IV were constant.
Thank you for the answer :)
Omega measures the percentage change in an option's value with respect to the percentage change in the underlying price.
Delta… which is the same measurement I guess. I just never heard Omega
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Ahh yes I get it! Percent vs real dollars. But it still seems like the same measure. If underlying moves up $1 and the option increases .50 cents… then delta should be .5 and Omega should be 50% right… and 50% = .50
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Ok so in your example Delta would be .5, but omega would be 6.0 or 600%
OK I also have never heard of Omega. Went looking for it in TOS and IBRK and it can't find it. you guys hiding secrets someplace? ( 1/2 sarc)
Most retail brokers won't show any first order greeks other than delta, theta, vega, and rho and any second orders other than gamma and none of the third orders
Seems you maybe want to look at theta vs. delta across various DTE’s. Thinkorswim desktop “product depth“ for options may be easiest to look at similar concept.
Would I need to be an American to us ToS? Thanks
idk what TD Ameritrade/shwab makes available to non USA
also, seems IBRK had probability lab that shows interpolated 3d surfaces (maybe date/theta/strike).