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FutureS Derivatives

Black FTSE 100 Future Option. Commodities Derivatives

Black American Future Option.

This contract uses a Black model on a Future with a BAW American approximation.

Black Equity Share Future Option.

This contract uses a Black model on a Future to compensate for the dividend payment.

Black Brent Oil Future Option.

This contract uses a Brent Future option to provide the monthly oil Futures.

Black FTSE 100 Future Option.

This contract uses a Brent Future option to provide the FTSE 100  Futures.

Black Dow Jones 30 Future Option.

This contract uses a Brent Future option to provide the Dow Jones 30  Futures.

 

Notice the large number of regular derivatives:

  1. Pricing per bid / ask;

  2. Delta per bid / ask (first derivative per asset price);

  3. Gamma per bid / ask (second derivative per asset price);

  4. Theta per bid / ask (time derivative for option);

  5. Vega per bid / ask (volatility derivative per asset price);

  6. Rho per bid / ask (interest rate derivative per asset price);

  7. Phi per bid / ask (strike derivative per asset price);

Notice also the unusual derivatives: -

  1. Volga per bid / ask (second volatility derivative);

  2. Veta per bid / ask (mixed time / volatility derivative);

  3. Vanna per bid / ask (mixed spot / volatility derivative);

  4. Charm per bid / ask (mixed time / asset price derivative);

Also: -

  1. The USD, EUR, JPY and GBP nodes translate the positions into currency equivalence;

  2. All columns and decimal places can be changed;

  3. Positions of contract sizes can be calculated;

  4. The actually dates are calculated;

  5. For interest rates and volatility the data is in percentages whereas for strike and spot the data is in currency;

  6. The Futures are specified privately and publicly;

The left hand properties allow: -

  1. Specific deal information;

  2. A document showing the analytical expressions;

  3. Saving this option in Excel or into the private database;

  4. FX data in general or as specified;

  5. Public and private Futures;

  6. General or specific FX data;

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