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Strike and Rate History

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The Options Tab defaults to the Date View, which shows a list of all strike prices available for that day. To view the history for a particular strike price, click on the Strike button and select the specific Put/Call Strike price from the dropdown menu. Once this value is selected, the history for that price is generated.



To view the historical interest rate data, click on the Rate button to the right of the Strike button. The rate displayed is the average monthly interest rate of the three month Treasury Bill secondary market rates. Interest rates are used by the Black & Scholes options formulas to determine the theoretical options price (more information on Black & Scholes at the end of this chapter).



Note: Because most futures contracts expire in under a year, we have not noticed the interest rate to make a large difference on the dollar value of an options price.

Adding an Interest Rate

Interest rates are updated by Gecko Software, Inc., on a regular basis. If you want to add a new interest rate manually, click on the Add Interest Rate button and the Add Interest Rate window will open. Choose the date for the effective date dropdown menu and type the new interest rate in the input box. Click OK to save or Cancel to exit from the window.

Deleting an Existing Interest Rate

To delete an existing interest rate, select the interest rate that you would like to delete by clicking on it. Click the Delete Interest Rate button and a window will open asking you to verify that you would like to delete this interest rate. Click YES to continue or NO to cancel.