Open Positions Manager
On-line
demo of key features
Open options positions need to be valued and monitored frequently (eg daily) to take advantage of opportunities presented by
both movements in the price of the underlying assets and the passage of
time. Frequent monitoring of exposures is also critical to avoid expensive
disasters. Not only do you need to revalue your positions
but you need to be able to understand your exposure to events such as the
market dropping by 10%.
Another, often neglected, area is
early
exercise of American options: to maximise your profit potential it's
important to gain a clear understanding of when (if ever) your long positions
should be exercised early, and the risks of your short positions being assigned before
expiration.
The Open Positions Manager software can be used "out of the
box" to value and monitor a portfolio of open positions, and to
perform "what ifs" and other analyses on the entire portfolio
for an individual (private) investor.
In its unamended form it should satisfy the requirements of all but the
most sophisticated investors.
However, in recognition of the fact that every investor is different the
application is provided without password protection so it can be tailored to meet
the specific requirements of individual investors if required.
The Open Positions Manager will let you do the
following:
A portfolio
of
all option trades and relevant trades in the underlying assets is
maintained by the Open Positions Manager.
Individual trades can be grouped into deals by using a deal ID. So,
for example with a covered call, the written call option and the
underlying asset purchase would be assigned the same deal ID so a
pay-off diagram could be produced for the deal by using the 'select by
deal number' option.
View sample portfolio (consisting of three deals: a strangle; a
long call; a covered call)
The portfolio can be
revalued
using end of day (or as often as required) underlying asset prices.
One button click will retrieve on-line underlying asset quotes from
Yahoo (most exchanges supported, free of charge) and revalue the portfolio.
For real-time pricing (streaming or snapshot equities or
options) for you can register or subscribe to the
data providers
supported by the Finance Add-in for Excel and use the add-in's
streaming quotes
functions to bring real-time quotes into the Open Positions Manager. Note that no guarantee can be given that stock or other
asset price
data will be available from the Yahoo site or
that Yahoo will not change the format of their data without notice in the
future.
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Position & other information |
Position/exposure
information is provided for each trade, deal and in total:
 |
Cost to close today at
today's prices. |
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Profit/loss if closed
today |
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Profit/loss at expiry
if underlying asset prices remain unchanged from today's prices. |
Other information provided
includes breakeven points, time value remaining, probability of
closing in-the-money, delta and more.
"What if" analysis can be
performed on the entire portfolio for changes in overall market prices
(eg "what would be the effect on my overall exposure if the market
were to fall by 10%) and changes in time ("what will my exposure be in
two month's time?")
Pay-off
diagrams are produced showing profit at expiration and at "time
now".
The Pay-off diagrams can be produced by selecting one deal (eg
a strangle), by selecting all deals for a specified underlying asset,
or by selecting all deals for a specified expiration date.
The time to
expiration on the pay-off diagram can be varied in small increments to
enable the effects of time decay to be observed. Information can be viewed in tabular form,
including position totals, as well
as graphically.
View sample pay-off diagram
Position
"Greeks", or hedge parameters, can also optionally be superimposed on the
pay-off diagram. For example the delta of the entire position --
the equivalent stock position, or ESP -- can be displayed on the pay-off
diagram along with the profit data. Traders wishing to hedge
their positions can then see the number of shares they would have to
buy/short to achieve neutrality -- for the range of underlying
asset prices shown on the pay-off diagram, and for all dates to
expiration -- in the context of the profit
information. Similarly for the other "Greeks".
View sample pay-off diagram with positon
delta (ESP)
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Portfolio & position hedging |
The Open Positions
Manager includes a powerful hedging facility for traders wishing to hedge
their total positions using either static or dynamic hedging schemes.
All trades for a specified underlying asset -- which could
include one or many "strategies" -- are collated to produce net position
values and hedge ratios. Traders can then select the type of hedging
required (delta, delta-gamma, vega, delta-vega, or delta-gamma-vega) and
whether the hedging trades should include only the underlying (for delta
hedging) , only nominated options, or a combination of trades in the
underlying and options trades.
The Open Positions Manager will then automatically calculate
the trades in the nominated options and/or underlying required to achieve
the target position "greeks".
The original position, the suggested hedging trades, and the
new position are brought together to provide a complete before and after
picture of position quantities, values and hedge parameters.
On-line demo of
position hedging
An analysis of optimal
early exercise points can be produced, showing for all American options in the portfolio
the underlying asset price/date combinations where
early
exercise is optimal (the "early exercise
threshold"). The analysis also shows the probability of each
early exercise threshold being reached.
The range of underlying asset prices
considered and the number of days into the future can be specified by
the user. The analysis is produced using the early exercise object
from the Excel add-in.
View sample optimal early exercise report
Microsoft Excel 2000 - 2007 running under Window.
The
Finance Add-in for Excel ,
version 6.1 or later,
must be installed before using the Open Positions Manager.
Download Open
Positions Manager.
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