Options Simulator USERS designed

for: Private Investors Professional

investors in Brokercompanies

Timing Mode: Day-to-Day and

intra-day continuous time

Technical Specifications Written in Visual

Basic (VBA) Access Excel The software was

running in the environment of a broker company for 2 years

Code Size: 14,000 lines,287

pages, 194 procedures.

All real time in excel, all daily saves in Access

MAIN OBJECTIVES Calculate 9 Greeks Calculate 47 more

other indicators (Including RIVA margin) for Options

Calculate Optimal Combination-Portfolio of call-Putts on all strike prices and different expirations

Provide Historic and Monte-Carlo simulation of combinations-portfolio and trading on Options

Calculate in Intra-day continuous time Arbitrage Opportunities

Outline of Inputs Day-to-Closes and

Intra-day continuous time last prices of all underlying assets

Day-to-Day and Intra-day forecasting of the underlying assets

Historic Volatilities

Risk-free rates Transaction costs Other setup

parameters

Outline of Setup Parameters Historic rates,

volatilities, forecasting and other risk metrics of the underlying assets

Transaction costs Ranges of Risk

metrics

Time range of historic simulation

Market-makers usual Bid-Ask spreads for the simulation

Ranges of the strike prices

Outline of Outputs 56 Greeks and other

indicators, risk metrics (like RIVA margins) and fields

Implied Volatilities and rates

Optimal Portfolio of put and calls of the same or different expirations and strike prices

Neutral Hedge portfolio of options and futures

Forecasted prices of the underlying assets, and the premiums

Charts of the premium, the Greeks , volatilities and required liquidities, till expiration

Charts of historic data of simulation

Portfolio percentages, risk metrics, liquidity, and performance during simulation

MAIN FUNCTIONALITIES

Calculates in real time the correlations structure of the options, and other risk metrics for all the assets

Calculates in real time optimal portfolio of the market in many time scales, strike prices, and expiration months.

Performs automatic or interactive virtual trading based on the above all or selected options.

Makes real time clearance of the virtual trading and saves final daily clearance.

Provide time-evolution charts and not only PnL charts of most of the 56, Greeks, fields and indicators

4-Color Market Risk-Code In actual prices or

forecasting and at various time scales:

Red: The asset is going down (D<0)

Green: Asset is going up (D>0)

Yellow: The asset has decreasing increase (D2 <0)

Orange:The asset has decreasing decrease (D2 >0)

Simulation Functionalities Calculates forecasting

of next day and Monte-Carlo simulation of a number of next days

Calculates Historic simulation of all the Greeks, indicators, and position portfolio risk metric and clearance, for a number of days

Permits Day-to-Day Interactive manual

simulation , with calculation of all the Greeks, indicators, and position portfolio risk metric and clearance for a number of past or future days