Listed Option SABR Model Enhancement | Weekly Release 8/14/20

Enhanced the Strategy section with an added Total Cost column, and added $Delta Neutral, zero cost call and put tabs

The “Strategy” section of the Listed SABR Option Strategy sheet has now been split into five tabs for easier use and organization. The five tabs are: Call ($Delta Neutral), Call (0 Cost), Put ($Delta Neutral), Put (0 Cost), and Straddle.

  • The $Delta Neutral tabs show the required long and short options and the number of contracts for the $Delta to be 0

  • The 0 Cost tabs show the required long and short options and the number of contracts for the sum of the total premium to be 0.

  • Lastly, the Straddle tab is for strategies created using straddles only, and thus an equal number of long and short contracts.

The example is for the option series for the TYZ0 USD Bond Future.

Additionally, a “Total Cost” field has been added to show traders the total cost of all the long and short options at the shown number of contracts and current price.


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