TradeStation Help

Position Search Wizard/Format Search - Pricing Models

Pricing models are used to perform the theoretical and pricing calculations within OptionStation. OptionStation uses three types of models: Pricing Models, Volatility Models, and Bid-Ask Models. 

 Access from the Position Search Wizard/Format Search - Volatility, or Format > Search and select the Pricing Models tab.

Select Option Pricing Models  

Select one of the following settings:

• Use the default models ... - Select this setting to keep the settings for the default models for the underlying asset type.

Those inexperienced with models or unsure of which model or models to use, may choose to have the Search Wizard automatically select the appropriate models. The Position Search automatically selects appropriate default options models based on the underlying asset selected in the Search Wizard, and the other assumptions you defined in the wizard

• Select the models to use ... - Select this setting for the position search to select a Pricing, Volatility, and Smart Bid/Ask model from the corresponding drop-down list. For detailed information on each available model, see the Pricing Model Library, Bid/Ask Model Library, and Volatility Model Library. For information on formatting models, see Formatting Properties for OptionStation Models.

 The Pricing models include the following calculation methods: Black-Scholes, Black Model, Black-Scholes Annual Dividend, Black-Scholes Periodic Dividend, or Binomial. The pricing model itself is used to calculate theoretical option prices plus the raw implied volatility and the Greeks. The Binomial Pricing Model is computationally intensive compared to Black-Scholes. The Volatility model determines the volatility used by the pricing model for an option's theoretical value and its Greeks. The Smart Bid/Ask model determines the Smart Bid/Ask prices used in the pricing model and analysis.

• Format Model - Allows you to edit the inputs for the selected models. Modifying the inputs enables you to change the way the model is calculated to suit your specific preferences. For more information, see Working with Model Inputs. To view or modify the overall rules and calculations for any model, you will need to open the model in the TradeStation Development Environment.

It is recommended that only experienced options traders modify the EasyLanguage instructions for models.

 From the wizard, click Next to proceed, Back to display the previous dialog, or Cancel to exit without changes.

 From the Format > Search menu sequence, click OK to apply changes or Cancel to exit without changes.