OptionsComplex (Function)

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The OptionsComplex function calculates the theoretical value of an option and its Greek risk values based on the Black-Scholes option pricing model.

Syntax

OptionsComplex(MyAssetType, DaysLeft, StrikePr, AssetPr, Rate100, Yield100, ForeignRate100, Volty100, PutCall, EuroAmer01, oOptPrice, oDelta, oGamma, oVega, oTheta, oRho)

Returns (Double)

The oOptPrice, oDelta, oGamma, oVega, oTheta, and oRho output parameters return the theoretical option price and its related Greek risk values. The OptionComplex function itself returns a value of 1.

Parameters

Name	Type	Description
MyAssetType	Numeric	Sets the underlying asset type to: 1 = Non Dividend-Paying Stock 2 = Dividend-Paying Stock 3 = Futures 4 = Currencies
DaysLeft	Numeric	Sets the number of calendar days left for the option.
StrikePr	Numeric	Specifies the strike price of the option.
AssetPr	Numeric	Specifies the price of the underlying asset.
Rate100	Numeric	Sets the short-term risk free interest rate, usually the 90-day T-Bill, as a percentage (enter 4.9% as 4.9).
Yield100	Numeric	Sets the dividend yield rate as a percentage (enter 1% as 1).
ForeignRate100	Numeric	Sets the foreign risk free interest rate as a percentage (enter 3% as 3).
Volty100	Numeric	Sets the volatility of the underlying asset as a percentage (enter 22.5% as 22.5).
PutCall	Numeric	Specifies if it is a Put or Call option. Put or 2 = Puts; Call or 3 = Calls.
EuroAmer01	Numeric	Specifies if the option is a European or American option. 0 = European; 1 = American.
oOptPrice	Numeric	Outputs the option theoretical price.
oDelta	Numeric	Outputs Delta, which measures the option’s price sensitivity to a change in the price of the underlying asset.
oGamma	Numeric	Outputs Gamma, which measures the acceleration of Delta for every one dollar price movement of the underlying security.
oVega	Numeric	Outputs Vega, which measures the option’s price sensitivity to the volatility of the underlying security.
oTheta	Numeric	Outputs Theta, which measures the option’s price sensitivity to its expiration date.
oRho	Numeric	Outputs Rho, which measures the option’s price sensitivity to the applicable interest rate.

Remarks

The input parameter DaysLeft can also be a numeric function such as DaystoExpiration or Next3rdFriday.
The input parameter Volty100 can also use a reserved word value such as IVolatility *100.
The input parameter ForeignRate100 will only be considered when pricing for a currency option.

See Multiple Output Function for more information on using output parameters to return values.

Example

Assigns to Value2 the theoretical price of a European Call option using the oOptPrice output parameter. Value1 is assigned a value of 1:

Vars: oOptPrice(0),oDelta(0),oGamma(0),oVega(0),oTheta(0),oRho(0);

Value1 = OptionsComplex(1, DaystoExpiration(1, 107), Strike, Close, 4.9, 0, 0, 22.5, Call, 0, oOptPrice, oDelta, oGamma, oVega, oTheta, oRho);

Value2 = oOptPrice;