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The Options module calculations are based on the Black model formula and volatility calculated from the underlying futures prices.
When the Options module is switched on, Agiblocks will calculate and display:
| o | The primary interest in volatility of futures is because it is needed for option valuation using the Black model. |
| o | Since Agiblocks has the values, it is also available as a column in Mark to Market for all assets: |
| ▪ | for futures assets users can see the volatility of their own price |
| ▪ | for physical assets users can see the volatility of the futures used for their valuation |
| ▪ | for options users can see the volatility of the underlying futures |
| o | The volatility of the futures prices is also displayed in Market data: under every futures price for every market date users can see the calculated volatility. |
| o | The theoretical value of options is displayed in Mark to Market in the Market screen price column. From there it is included in the calculation of market value and P&L. |
| o | Agiblocks will populate the Greeks values (Delta, Gamma, Theta and Vega) using the Black model formula. |
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