Options Calculator

Projects Update

Hello Everyone,

Life’s been somewhat busy recently and I couldn’t move on with my options-related projects. I am working on a rather interesting project whenever I get to it though.

My idea is to create a simple web-based application that takes a list of options as arguments and analyzes them. It simulates countless scenarios and returns you a report of best strategies that you could be following.

The problem is obviously the amount of data that you want to calculate. If you have a big set of data and you follow a brute-force simulation method, the machine would maybe take years to digest it. At this point I am trying to go a different way and pick out sets of options/stock that are most likely to offer arbitrage possibilities  (i.e. constellations of portfolios that are most likely to benefit from slight market inconsistencies). And only then simulate scenarios at probable points of interest.

The difficulty lies also in rather complex mathematical background of the whole story. Although I am pretty fit in math and especially statistics and probability, the underlying theory of mathematics of financial derivatives is still the cause of sleepless nights . This said, the development goes hand-in-hand with research.

I am confident that a first beta release will be available within a month.