NOTE: This document is a modified description of our legacy Options Level 1 Fair Value to Market Value Hedge Ratio solution still featured with Level 2's Price Analyzer charts. It is an alternative method of determining an option pair's forward value. However, the recomended method to forward value an option is implied pricing using implied volatility's in combination with sticky decay processes that are the central feature of Options Level 2's Implied Pricing Model. The recommended method to model forward spot values is to send market straddles from the CBOE Parser View to Options Level 2's Implied Pricing Model. The American and European Models (closed form) best forcast near the money options from 2 to 2 1/2 weeks out from the market date. Deep position prices can only be serviced by the American and European Models. The 3rd week out from the market chain's date, the convergence model delivers the most reliable forecast. After 4 weeks, near the moneys spots are better serviced by Level 2's [sticky] decay (theta/delta). However, you may find utility in the hedge ratio approximations. They are suprisingly close to backtested outcomes, but they are not the generally accepted method to value options.

Although this description is useful, it does not include all the features or items available on the right click popup menu. For example, Level 2's CBOE Parser features implied volatility's, conversion and reverse conversion yields. Level 2 syncs the last bid ask for the option with the corresponding stock quote. The Level 2 CBOE Parser right click menu offers a few more services, including a service to send a selected straddle to the Implied Price Model for price / time forward spot matrix resolutions. For more information you can download the Options Level 2 User Documentation on the main page.

IMPORTANT: Add new feature has been added to the CBOE Pricing Viewer. A column for the strike / stock ratio (X:M) as been added and is described on this page, and columns for a market / fair value, or market hedge ratio described on this page.

Options Level 1's CBOE Option Chain Parse and Price interface helps you efficiently shop free CBOE option chains. Downloaded options can be forwarded to Option Level 1's Portfolio or Option Level 1's Price Analyzer and made available to the VOHS and High Definition Chart Pricing Surfaces to stress test "forward", exercise and close to sell liqidity based on your market assumptions.

Options held in Option Level 1's Portfolio can be marked to current (free) CBOE data to assess both close and exercise profitability. CBOE Chains are consumed quickly for efficient "option shopping". The CBOE Parser is more a routing console than a viewer. It makes reliable option analysis easy.

Portfolio MarkUp reports color code for profit and loss, for both exercise and closing liquidity. MarkUp is presented in dollars, as well as percentages. It allows Exchange Filtering and views can be saved in CSV format. The Parser will also attach (free) CBOE Historical Volatilities. We must note that as helpful as CBOE's volatilities are, they can be a quarter, or more, behind the market. Considering the market's behavior as of late it might be a good idea to get a "second opinion" regarding the underlying stock's historical volatility. Volatility has a significant affect on the fair price of an option.

Heres a quick flashy snag of some of the features we packed into Options Level 1's CBOE Parser: