主权项 |
1. A computerized method of determining an edge on an option strategy comprising:
receiving an option strategy for processing by a processor, said option strategy including at least the following data stored in a memory: data for an underlying asset in the option strategy, user data, customer data, asset data, and time parameter associated with a trade of the underlying asset in the option strategy is transacted; determining, by the processor, a time edge based on the option strategy, said time edge being an estimated premium value, over a calculated value, as a function of time for the option strategy; determining, by the processor, a delta value wherein the delta value reflects acceptance of risk related to an underlying security in the option strategy; determining, by the processor, a vega value wherein the vega value reflects acceptance of risk related to volatility of the underlying security in the option strategy; accepting a delta percentage to be applied to delta risk; accepting a vega percentage to be applied to vega risk wherein the delta percentage and the vega percentage add up to 1; determining, by the processor, a delta edge comprising multiplying the time edge by the delta percentage multiplied by the delta value; determining, by the processor, a vega edge comprising multiplying the time edge by the vega percentage multiplied by the vega value; and determining, by the processor, the edge for the options strategy based on a sum of the delta edge to the vega edge. |