Method for predicting option performance
AssigneeChartbender, LLC
InventorsBrian Sloyer, William Faassen
Life of this patent
Estimating the term…
Abstract
A method for predicting an option's performance includes calculating three components of the set of components including decay profit and loss, implied volatility profit and loss, directional profit and loss and total option profit and loss. Once the three components are calculate, simple addition and subtraction is used to derive the fourth component and all four components are displayed to help manage profit and loss positions.
Claims39
A method for predicting option performance comprising:
- calculating a total option profit and loss;
- calculating a decay profit and loss;
- calculating an implied volatility profit and loss;
- and
- deriving a directional profit and loss by subtracting the implied volatility profit and loss and the decay profit and loss from the total option profit and loss.
A method for predicting option performance comprising:
- calculating a total option profit and loss;
- calculating a decay profit and loss;
- calculating a directional profit and loss;
- and
- deriving an implied volatility profit and loss by subtracting the directional profit and loss and the decay profit and loss from the total option profit and loss.
A method for predicting option performance comprising:
- calculating a total option profit and loss;
- calculating a implied volatility profit and loss;
- calculating a directional profit and loss;
- and
- deriving a decay profit and loss by subtracting the implied volatility profit and loss and the directional profit and loss from the total option profit and loss.
A method for predicting option performance comprising:
- calculating an implied volatility profit and loss;
- calculating a decay profit and loss;
- calculating a directional profit and loss;
- and
- deriving a total option profit and loss by adding the implied volatility profit and loss and the decay profit and loss and the directional profit and loss.
A method for predicting option performance comprising:
- calculating an implied volatility profit and loss;
- calculating a decay profit and loss;
- calculating a directional profit and loss;
- and
- calculating a total option profit and loss.
Dependencies are inferred from the claim text.