5/19/2020 Learning Center — OptionPrice

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Study Filters

OptionPrice
Profile: Studies and Strategies

Syntax

OptionPrice(IDataHolder strike, IDataHolder isPut, IDataHolder daysToExpiration, IDataHolder underlyingPrice, IDataHolder Volatility,
double isEuropean, double yield, double interestRate);

Default values:

strike: getStrike()
isPut: isPut()
daysToExpiration: getDaysToExpiration()
underlyingPrice: close(getUnderlyingSymbol())
Volatility: imp_volatility(getUnderlyingSymbol())
isEuropean: isEuropean()
yield: getYield()
interestRate: getInterestRate()

Description

Calculates the theoretical option price. By default, this function uses implied volatility averaged over different options for the underlying, so the returned
result is approximate.

Input parameters

Parameter Default value Description

strike - Defines the strike price for the option.
isPut - Defines whether or not the current is Put.
daysToExpiration - Defines the number of days till the expiration of the option.
underlyingPrice close(getUnderlyingSymbol()) Defines the price of underlying symbol.
Volatility imp_volatility(getUnderlyingSymbol()) Defines the volatility with which the theoretical price is calculated.
isEuropean - Defines whether or not the oprion is European.
yield - Defines the yield of the underlying symbol for the option.
interestRate - Defines the global interest rate.

Example

input underlying = "GOOG";

input strike = 700.0;
input expiration_date = 20140118;
input is_put = no;
input interest_rate = 0.06;
input yield = 0.0;
input is_european = no;

def iv;
if GetAggregationPeriod() < AggregationPeriod.DAY {
iv = imp_volatility(underlying, AggregationPeriod.DAY);
} else {
iv = imp_volatility(underlying);
}

plot TheoOptPrice = OptionPrice(strike, is_put, DaysTillDate(expiration_date), close(underlying), iv, is_european, yield, interest_rate);

This script plots the theoretical price of Google January 2014 call option with $700 strike and interest rate of 6%.

Usage in:

TheoreticalOptionPrice.

Market volatility, volume and system availability may delay account access and trade executions.

Past performance of a security or strategy is no guarantee of future results or investing success.

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Options are not suitable for all investors as the special risks inherent to options trading may expose investors to potentially rapid and substantial losses.
Prior to trading options, you should carefully read Characteristics and Risks of Standardized Options. Spreads, Straddles, and other multiple-leg option
strategies can entail substantial transaction costs, including multiple commissions, which may impact any potential return. Trading stocks, options,
futures and forex involves speculation, and the risk of loss can be substantial. Clients must consider all relevant risk factors, including their own
personal financial situation, before trading.

Trading foreign exchange on margin carries a high level of risk, as well as its own unique risk factors. Forex investments are subject to counter-party
risk, as there is no central clearing organization for these transactions. Please read the following risk disclosure before considering the trading of this
product: Forex Risk Disclosure

Access to real-time market data is conditioned on acceptance of the exchange agreements. Professional access differs and subscription fees may apply.
For details, see our Professional Rates & Fees.

Supporting documentation for any claims, comparison, statistics, or other technical data will be supplied upon request.

TD Ameritrade Institutional does not make recommendations or determine the suitability of any security, strategy or course of action for you through
your use of our trading tools. Any investment decision you make in your self-directed account is solely your responsibility.

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TD Ameritrade is a trademark jointly owned by TD Ameritrade IP Company, Inc. and The Toronto-Dominion Bank. © 2014 TD Ameritrade IP
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