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Options Analysis

For options contracts with over 15 strike prices Barchart.com calculates in-depth options analysis and options delta sheets.

The Options Analysis file contains the number of days to expiration, the interest rate, implied volatility, as well as the delta, gamma, 7 day theta, vega, prem, iv-skew on all the strike prices for the contract.

The Options Delta Sheets or cheat sheets display the Theoretical value and delta of futures options for next trading session. This will give you the fair value of the option for tomorrows market. Delta sheets are common place in the trading pit.

We also list the value of the option in US Dollars next to the Options Daily Prices.

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