JP2007328495A - Option transaction support system, option transaction support method, and option transaction support program - Google Patents

Abstract

<P>PROBLEM TO BE SOLVED: To provide an option transaction support system, method and program for supporting efficient and simple option transaction by improving the operability of a user. <P>SOLUTION: A calculation formula generation means 212 of an option transaction support system 20 generates a Black-Scholes equation. A matrix generation means 213 calculates an option price corresponding to the number of residual days and original asset by using parameters recorded in a parameter data storage part 221 for calculation and a parameter storage part 222 for display. Then, the calculated option price is recorded in a calculation result data storage part 223. A matrix display picture generation means 214 outputs the matrix display. The calculation processing of a logical price is repeated with respect to the number of residual days of all the calculation objects. A graph display picture generation means 218 performs the graph output of line data corresponding to the number of residual days recorded in the calculation result data storage part 223. <P>COPYRIGHT: (C)2008,JPO&INPIT

Description

  The present invention relates to a technique for supporting option trading.

  In recent years, various financial transactions have been actively performed, and option transactions are included in these financial transactions. Option trading refers to the right (option) to buy or sell a certain product (underlying asset) at a predetermined price (strike price) within a predetermined date (maturity date) or until that date. It is a transaction to buy and sell.

  In option trading, calls and puts are traded respectively. Here, buying and selling rights (call) and selling rights (put) are traded. Calls and puts are reserved by the option buyer by paying the option price (premium).

  This option price represents the value of the option, and is calculated as the sum of the value when the option is exercised (essential value) at the present time and the value for the expectation for the future price increase (time value). Intrinsic value is calculated by the difference between the strike price and the market price. The time value is calculated using “expected expectation” for future commodity price fluctuations, “length” of option validity period and interest rate as a scale. Option prices are affected by factors such as the current price of the underlying asset, the exercise price, the remaining period until maturity, the underlying asset's volatility (expected volatility), interest rates, and dividend yield. For example, in the case of a call option, the option price decreases when the exercise price increases, and increases when the exercise price decreases. Also, it rises when the remaining period becomes longer, and falls when the remaining period becomes shorter, and only has intrinsic value on the maturity date. In addition, option prices rise as interest rates rise and decline as interest rates fall. In addition, the option price increases as volatility increases and decreases as volatility decreases. In addition, the option price drops as the dividend yield increases and increases as the dividend yield decreases.

This option price is calculated using the Black-Scholes equation (see, for example, Non-Patent Document 1). The calculation of the Black-Scholes equation requires seven pieces of information: call / put category, strike price, period, underlying asset price, interest rate, dividend, and volatility. Of these, the call / put category, exercise price, period, interest rate, and dividend are information that is arbitrarily set by the parties, and the underlying asset price and volatility are information obtained from the market. is there.
Sumitomo Trust & Banking, Market Finance Department, “Derivative Keywords 280”, Financial and Financial Situation Study Group, p. 510-514

  Today, with the development of the Internet, option trading is also being carried out among individual investors. However, option trading, unlike stock trading, is complicated in its structure due to its special characteristics and may be difficult for individual investors to use.

If it is not possible to assume how such an option price will change, the timing of the transaction may be missed.
The present invention has been made to solve the above-described problems, and an object of the present invention is to provide an option transaction support system and option transaction support for improving user operability and supporting efficient and simple option transactions. It is to provide a method and option trading support program.

  In order to solve the above-mentioned problem, the invention described in claim 1 includes a control means for calculating an option transaction evaluation index comprising a theoretical price or a risk index for an option parameter, and a calculation result of the option transaction evaluation index. An option transaction support system comprising index storage means for recording and output means for outputting the calculation result, wherein the control means acquires parameter for calculating an option transaction evaluation index, A calculation formula generating means for generating a calculation formula for an option transaction evaluation index using the parameters acquired in the parameter setting means, and an option transaction evaluation index is calculated by sequentially changing the remaining option days and option parameters in the calculation formula. , The remaining days as the parameter of the first axis, the parameter of the second axis Matrix generating means for generating a matrix in which option transaction evaluation indices are arranged using option parameters and recording the matrix in the index storage means, and matrix output processing means for outputting the matrix to a matrix display area of the output means. This is the summary.

  The invention described in claim 2 is the option transaction support system according to claim 1, wherein the option transaction support system displays a graph indicating an option transaction evaluation index for an option parameter in a graph display area of the output means. Further comprising a graph output processing means for outputting, wherein the matrix output processing means generates a first axis variable selection icon for each remaining number of days, displays the first axis variable selection icon on the first axis of the matrix, and When the first axis variable selection icon is selected, the graph output processing means obtains an option transaction evaluation index on the second axis corresponding to the remaining days, and a graph showing the option transaction evaluation index is displayed in the graph The gist is to output to the area.

  The invention according to claim 3 is the option transaction support system according to claim 2, wherein the graph output processing means is the option transaction evaluation on the second axis corresponding to the maximum remaining days and the minimum remaining days in the matrix. The gist is that an index is acquired and further output to the graph display area of the option transaction evaluation index.

  The invention according to claim 4 is the option transaction support system according to claim 2 or 3, wherein the matrix output processing means generates a second axis variable selection icon for each option parameter, and the second axis of the matrix. When the second axis variable selection icon is displayed and the second axis variable selection icon is selected, the graph output processing means obtains an option transaction evaluation index on the first axis corresponding to the option parameter. Then, the gist is to output a graph showing the option transaction evaluation index to the graph display area.

  The invention according to claim 5 is a control means for calculating an option transaction evaluation index comprising a theoretical price or a risk index for an option parameter, an index storage means for recording a calculation result of the option transaction evaluation index, and the calculation A method for supporting option transactions using an option transaction support system comprising an output means for outputting a result, wherein the control means acquires a parameter for calculating an option transaction evaluation index; and A calculation formula generation stage for generating a calculation formula for an option trading evaluation index using the parameters acquired in the parameter acquisition stage, and an option trading evaluation index is calculated by sequentially changing the remaining option days and option parameters in the calculation formula. The remaining days as a parameter for the first axis A matrix generation step of generating a matrix in which an option transaction evaluation index is arranged using an option parameter as a meter and recording the matrix in the index storage means; and a matrix output processing step of outputting the matrix to a matrix display area of the output means The gist is to do it.

  The invention according to claim 6 is a control means for calculating an option transaction evaluation index comprising a theoretical price or a risk index for an option parameter, an index storage means for recording a calculation result of the option transaction evaluation index, and the calculation A program for supporting option trading using an option trading support system including an output means for outputting a result, wherein the control means is a parameter setting means for obtaining a parameter for calculating an option trading evaluation index; A calculation formula generating means for generating a calculation formula for an option trading evaluation index using the parameters acquired by the parameter setting means; and calculating an option trading evaluation index by sequentially changing the remaining option days and option parameters in the calculation formula The remaining days as the parameter of the first axis, Matrix generating means for generating and recording a matrix in which option transaction evaluation indices are arranged using option parameters as parameters of the index and storing the matrix in the index storage means; and matrix output processing means for outputting the matrix to a matrix display area of the output means The gist is to make it function.

(Function)
According to the first, fifth, or sixth aspect of the present invention, a matrix in which option transaction evaluation indices are arranged using the remaining days as the first axis parameter and the option parameters as the second axis parameter is generated and stored as an index. Record on means. Thereby, the time change of the option transaction evaluation index can be grasped using the remaining days as a parameter, and can be referred to when determining the transaction of the option transaction.

  According to the invention described in claim 2, the first axis variable selection icon is generated for each remaining days, and the first axis variable selection icon is displayed on the first axis of the matrix. When the first axis variable selection icon is selected, the graph output processing means acquires the option transaction evaluation index on the second axis corresponding to the remaining days, and displays a graph indicating the option transaction evaluation index in the graph display area. Output to. Thereby, the time value of the option transaction evaluation index can be grasped graphically with respect to the desired remaining days, and can be referred to when determining the transaction of the option transaction.

  According to the third aspect of the present invention, the option transaction evaluation index on the second axis corresponding to the maximum remaining days and the minimum remaining days is further acquired, and a graph indicating the option transaction evaluation index is output to the graph display area. . As a result, the position of the option transaction evaluation index can be grasped in the relationship between the option reference date and the final date.

  According to the fourth aspect of the present invention, the second axis variable selection icon is generated for each option parameter, and the second axis variable selection icon is displayed on the second axis of the matrix. When the second axis variable selection icon is selected, the graph output processing means acquires the option transaction evaluation index on the first axis corresponding to the option parameter and outputs it to the graph display area of this option transaction evaluation index. . Thereby, it is possible to grasp the temporal change of the option transaction evaluation index with respect to a predetermined option parameter.

  According to the present invention, user operability can be improved, and efficient and simple option transactions can be supported.

Hereinafter, an embodiment embodying the present invention will be described with reference to FIGS. In the present embodiment, an option transaction support system, an option transaction support method, and an option transaction support method used for calculating an option price (premium) and a risk index as an option transaction evaluation index when a user performs an option transaction using a client terminal, and This will be explained as an option trading support program. In the present embodiment, an optional theoretical price and a risk index are calculated using parameters specified by the user. The calculation results are displayed as a list in a matrix format designated by the user.

  The option transaction support system 20 is a computer system that provides various information regarding options to the user. The option transaction support system 20 includes a control unit configured by a CPU, a RAM, a ROM, and the like, various data storage units, a communication unit that acquires various types of financial information via a network, and the like. Further, the option transaction support system 20 includes an input device 31 and a display 32 as shown in FIG. The input device 31 includes a keyboard and a pointing device, and implements a graphical user interface (GUI) for operating icons and pointers displayed on the display 32.

  The control means of the option trading support system 20 performs management processing of various data for displaying the option theoretical price and the risk index. This control means performs processing (parameter acquisition stage, calculation formula generation stage, matrix generation stage, matrix output processing stage, etc.) described later. By executing the option transaction support program for that purpose, the control unit functions as a parameter setting unit 211, a calculation formula generation unit 212, a matrix generation unit 213, and a matrix display screen generation unit 214 as shown in FIG. Further, the control unit has functions as a row designation unit 215, a column designation unit 216, a display designation unit 217, and a graph display screen generation unit 218 for graph display.

  The parameter setting unit 211 acquires various parameters for display via the input device 31. In this embodiment, as will be described later, each parameter is set using a GUI displayed on the display 32 as an output unit. The parameter setting means 211 may be configured to acquire the latest financial information available from the market such as the underlying asset price and volatility via the network and set each parameter.

Then, the parameter setting unit 211 records the acquired parameter data in the calculation parameter data storage unit 221 and the display parameter data storage unit 222.
The calculation parameter data storage unit 221 records data related to parameters for calculating the theoretical price of an option. In the present embodiment, “call / put category”, “contract month”, “exercise price”, “interest rate”, “dividend”, “cost”, “filter”, etc., set by the GUI in the parameter setting area 101 described later. Parameter data relating to financial information (underlying asset price, volatility) is recorded.

  In the display parameter data storage unit 222, data relating to parameters for calculating a theoretical price of an option and displaying a matrix or a graph is recorded. In this embodiment, “horizontal axis designation”, “underlying asset”, “increment of underlying asset”, “volatility”, “increment of volatility”, “reference date”, set by GUI in the parameter setting area 101 described later, Parameter data relating to “last date” and “remaining days” is recorded.

  Here, the parameter “horizontal axis designation” is data for designating a horizontal axis (second axis) parameter (“underlying asset” or “volatility” as an optional parameter). The parameter “underlying asset” is the value of the underlying underlying asset, and is a value for determining the central column of the underlying asset display matrix. The parameter “increment of the underlying asset” is the interval between the underlying assets displayed on the left and right of the underlying underlying asset.

The parameter “volatility” is a reference volatility value, and is a value for determining the central column of the matrix of the volatility display. The parameter “volatility step” is the volatility interval displayed to the left and right of the reference volatility.

  The parameters “reference date” and “last date” on the vertical axis (first axis) are the date displayed on the top row and the day before the date displayed on the bottom row, respectively. “Remaining days” is the number of display days from the reference date, and is used when the display range is not specified as the last day but is displayed in days.

  The calculation formula generation means 212 generates an optional theoretical price calculation formula using each parameter stored in the parameter data storage unit. In this embodiment, the Black-Scholes equation is generated.

  The matrix generation unit 213 calculates an option price using the calculation formula generated by the calculation formula generation unit 212 and the parameters stored in the parameter data storage unit. Specifically, a matrix composed of option prices calculated by changing the first parameter as the underlying asset or volatility and the second parameter as the remaining days is generated. The matrix generation unit 213 stores the generated matrix data in the calculation result data storage unit 223 serving as an exponent storage unit.

  The matrix display screen generation unit 214 functions as a matrix output processing unit, and generates a display screen using the matrix data stored in the calculation result data storage unit 223. In this case, the matrix display screen generation unit 214 generates a display screen using the parameters stored in the display parameter data storage unit 222. In the present embodiment, as a matrix, the first parameter set according to the user's selection is represented as a variable on the horizontal axis, and the second parameter “remaining days” is represented as a variable on the vertical axis.

  Further, the graph display screen generation unit 218 functions as a graph output processing unit, and displays a graph using the data stored in the calculation result data storage unit 223. The control unit includes a row designation unit 215, a column designation unit 216, and a display designation unit 217. These designation means change the contents of the graph display based on the designation input via the GUI.

(Display screen)
Next, a display screen 100 for outputting the calculated option price will be described with reference to FIG. The display screen 100 includes a parameter setting area 101, a matrix display area 102, and a graph display area 103. Further, the display screen 100 includes a control area 111 and a display designation area 112.

  The parameter setting area 101 includes a calculation parameter input area and a display parameter input area. This parameter input area for calculation includes setting fields for “call / put (C / P) category”, “contract month”, “exercise price”, “interest rate”, “dividend”, “cost”, and “filter”. I have. The display parameter input area includes a selection button for specifying the horizontal axis specification, “Underlying asset”, “Underlying asset notation”, “Volatility”, “Increasing volatility”, and “Base date for setting vertical axis” ”,“ Last day ”, and“ Remaining days ”setting fields. The parameters set in each input field are recorded in the calculation parameter data storage unit 221 and the display parameter data storage unit 222, respectively. The display format of the matrix displayed in the matrix display area 102 is determined by this display parameter.

The control area 111 includes selection buttons for “parameter setting”, “calculation”, “output”, and “graph”.
When the “parameter setting” button is clicked, the parameter setting unit 211 names the parameter set and registers it in the calculation parameter data storage unit 221 and the display parameter data storage unit 222. As a result, parameters can be saved and recalled.

  When the “Calculate” button is clicked, the calculation formula generation unit 212 generates a calculation formula for calculating the option price and the risk index using the data recorded in the parameter data storage unit.

When the “Output” button is clicked, the contents of the matrix display area 102 are output as a CSV file together with the parameters used for the calculation.
The “graph” button includes “graph >>” and “<< graph”, and when “graph >>” is clicked, the graph display screen generation unit 218 expands the graph display area 103 and displays “<<”. When “Graph” is clicked, the graph display area 103 is closed.

  The calculation data items displayed in the matrix display area 102 are “theoretical price” and optional risk indicators (here, “delta”, “gamma”, “setter”, “vega”), and these are switched and displayed by tabs. be able to.

Here, “delta” represents the rate of change of the option price relative to the price change of the underlying asset, and is calculated by “delta (Δ) = change amount of option price / change amount of underlying asset price”.
“Gamma” represents the rate of change of delta with respect to the price change of the underlying asset, and is calculated by “gamma (γ) = change width of delta value / change amount of underlying asset price”.

“Theta” represents the rate of change of the option price with respect to the time change, and is calculated by “theta (θ) = change amount of option price / decrease in remaining days”.
“Vega” represents the rate of change of the option price relative to the change in the volatility of the underlying asset, and is calculated by “Vega (ν) = amount of change in option price / range of change in volatility”.

  In the matrix display area 102 of the display screen 100, the results are displayed in the following two matrix patterns. As a first pattern, the horizontal axis is “underlying asset” and the vertical axis is “remaining days”. As a second pattern, the horizontal axis is “volatility” and the vertical axis is “remaining days”.

  The matrix display area 102 includes a remaining days display area 121 and a horizontal axis parameter display area 122. In the remaining days display area 121, a selection icon (first axis variable selection icon) obtained by expanding the remaining days for each date is output. By clicking this selection icon, a “row” can be designated. On the other hand, the horizontal axis parameter display area 122 outputs a selection icon (second axis variable selection icon) in which the selected horizontal axis parameter (here, the underlying asset or volatility) is expanded for each “step”. By clicking this selection icon, a “column” can be designated.

  In the matrix display area 102, theoretical prices and risk indices for the parameters displayed in the remaining days display area 121 and the horizontal axis parameter display area 122 are output in a matrix format.

  The graph display area 103 is displayed when the “>> graph” button in the control area 111 is clicked. This graph display has a row designation mode and a column designation mode.

In the row designation mode, the horizontal axis represents values corresponding to the columns of the matrix display area 102 (underlying assets or volatility), and the vertical axis represents calculated data items (theoretical price and risk index) displayed in the matrix display area 102. Then, in addition to the data on the selected row, the drawn lines based on the data on the top row and the bottom row are displayed.

  On the other hand, in the column designation mode, the horizontal axis is the remaining days (the number of days from the value in the top row to “0”), and the vertical axis is the calculation data items (theoretical price and risk index) displayed in the matrix display area 102. In this case, a drawn line is displayed based on the data of the selected column.

  The display designation area 112 also includes “cross”, “enlarge”, and “numerical value” buttons for assisting display. When the “cross” button is clicked, the display designation means 217 outputs a cross cursor and displays the numerical value of the intersection. When the “enlarge” button is clicked, the display designation means 217 enlarges and displays the area designated using the GUI. When the “numerical value” button is clicked, the display designation means 217 acquires and displays the numerical data of the neighboring plot selected by the cursor.

(Display processing)
Next, a processing procedure for displaying a matrix or a graph using the set parameters will be described. First, matrix display processing will be described with reference to FIG.

(Matrix display processing)
Here, it is assumed that the theoretical price of the option is calculated. When a desired numerical value is set in the parameter setting area 101, the parameter setting unit 211 records each parameter set in the parameter setting area 101 in the calculation parameter data storage unit 221 and the display parameter data storage unit 222.

  When the “Calculate” button is clicked, the control means of the option trading support system 20 generates a Black-Scholes equation (step S1-1). Specifically, the calculation formula generation unit 212 generates an optional theoretical price calculation formula using data recorded in the calculation parameter data storage unit 221 and the display parameter data storage unit 222.

  Then, the control means of the option transaction support system 20 performs initial setting of the remaining number of days to be calculated (step S1-2). Specifically, the matrix generation unit 213 calculates the remaining number of days as an initial value from the difference between the reference date and the last date recorded in the parameter data storage unit.

  Next, the control means of the option transaction support system 20 executes a theoretical price calculation / recording process (step S1-3). Specifically, the matrix generation unit 213 provides the calculation formula generation unit 212 with the value of the “increment” for the underlying asset recorded in the parameter data storage unit and the remaining number of days to be calculated, to the calculation formula generation unit 212. The option price corresponding to the asset is calculated. Then, the matrix generation unit 213 records the calculated option price in the calculation result data storage unit 223 in correspondence with the remaining number of days to be calculated.

Here, the control means of the option transaction support system 20 outputs a matrix display (step S1-4). Specifically, the matrix display screen generation unit 214 acquires the data recorded in the calculation result data storage unit 223 and records the data in the display parameter data storage unit 222 in the matrix display area 102 of the display screen 100. Perform output processing in the format. In this case, the matrix display screen generation unit 214 generates and outputs a selection icon in which the selected horizontal axis parameter (in this case, the underlying asset or volatility) is expanded for each “step” in the horizontal axis parameter display area 122. . Further, the matrix display screen generating means 21
4. In the remaining days display area 121, a selection icon in which the remaining days are expanded for each date is generated and output.

  Next, the control means of the option transaction support system 20 executes a confirmation process for the remaining number of days to be calculated (step S1-5). When the remaining number of days to be calculated is not “0” (in the case of “NO” in step S1-5), the matrix generation unit 213 subtracts “1” from the remaining days and sets this as a new calculation target. The remaining days are calculated (step S1-6). Then, the control means of the option transaction support system 20 repeats the above theoretical price calculation process.

  On the other hand, when the remaining days become “0” (“YES” in step S1-5), the matrix display process is terminated. As described above, by executing the matrix display processing, the calculation result of the optional theoretical price is output to the matrix display area 102 shown in FIG.

(Graph display processing)
Next, the graph display process will be described with reference to FIG.
First, the control means of the option transaction support system 20 acquires the top row data (step S2-1). Specifically, the graph display screen generation unit 218 acquires row data (data related to the theoretical price using the underlying asset as a parameter) for the largest remaining days (maximum remaining days) in the calculation result data storage unit 223.

  Furthermore, the control means of the option transaction support system 20 acquires the bottom row data (step S2-2). Specifically, the graph display screen generation unit 218 acquires row data (data related to the theoretical price using the underlying asset as a parameter) for the remaining days “0” (minimum remaining days) in the calculation result data storage unit 223.

  Then, the control means of the option transaction support system 20 generates a graph for displaying the theoretical prices of the options recorded on the top row and the bottom row (step S2-3). Specifically, the graph display screen generation unit 218 sets the horizontal axis variable using “steps” with the underlying asset as the center of the horizontal axis. Furthermore, the graph display screen generation means 218 sets the vertical axis using the maximum value and the minimum value of the top row and the bottom row.

  Then, the graph display screen generation unit 218 plots the theoretical prices included in the uppermost row and the lowermost row on the graph and draws them using a smoothed curve. Thereby, the calculation results of the top row and the bottom row are drawn in the graph display area 103 shown in FIG.

(Row selection process)
Next, a process when an arbitrary row is selected will be described. This process is executed when the remaining number of days is selected using the GUI, as shown in FIG.

  Specifically, when the selection icon representing the remaining days in the remaining days display area 121 is clicked, the row designation unit 215 provides the graph display screen generation unit 218 with data specifying the remaining days in the clicked row. Then, the graph display screen generation unit 218 obtains row data for the selected remaining days from the calculation result data storage unit 223. The graph display screen generation means 218 plots this theoretical price in the graph display area 103 and draws it using a smoothed curve.

(Column selection process)
Next, processing when an arbitrary column is selected will be described. As shown in FIG.
This is executed when the horizontal axis parameter is selected using the GUI.

  Specifically, when a selection icon representing a parameter in the horizontal axis parameter display area 122 is selected, the column specifying unit 216 provides the graph display screen generating unit 218 with data specifying the parameter of the clicked column. Then, the graph display screen generation unit 218 acquires column data corresponding to the selected parameter from the calculation result data storage unit 223.

  The graph display screen generation means 218 sets the remaining days from the number of days in the top row to “0” as a horizontal axis variable. Further, the graph display screen generation means 218 sets the vertical axis variable using the theoretical price included in the top row and the bottom row. Then, the graph display screen generation unit 218 plots the graph on the graph display area 103 and draws it using a smoothed curve.

As described above, according to the present embodiment, the following effects can be obtained.
In the above embodiment, the control unit of the option transaction support system 20 generates the Black-Scholes equation (Step S1-1). Then, for each remaining number of days to be calculated, a theoretical price calculation / recording process is executed (step S1-3), and a matrix display is output (step S1-4). Thereby, the time change of the option transaction evaluation index can be grasped using the matrix. Since the theoretical price of an option is calculated from the intrinsic value and the temporal value, a matrix with the remaining days as a parameter is used to obtain the desired profit while predicting the temporal change in the theoretical price. The timing of option trading can be planned.

  In the above embodiment, the control unit of the option transaction support system 20 executes the acquisition process for the top row data (step S2-1) and the acquisition process for the bottom row data (step S2-2). Then, a graph for displaying the theoretical prices of the options recorded in the uppermost line and the lowermost line is generated (step S2-3). Thereby, the change of the option transaction evaluation index can be grasped graphically.

  Further, in this case, the matrix display screen generation unit 214 generates and outputs a selection icon in which the remaining days are expanded for each date in the remaining days display area 121. When the selection icon representing the remaining days in the remaining days display area 121 is clicked, the row designating unit 215 specifies the remaining days in the clicked row. Then, the graph display screen generation unit 218 acquires line data for the selected remaining days from the calculation result data storage unit 223 and draws a graph corresponding to the remaining days in the graph display area 103. Thereby, the theoretical price of the option in the desired remaining days can be grasped in relation to the underlying asset, and can be referred to when making a transaction decision.

  In the above embodiment, the matrix display screen generation unit 214 generates a selection icon in which the selected horizontal axis parameter (in this case, the underlying asset or volatility) is expanded for each “step” in the horizontal axis parameter display area 122. Output. When a selection icon representing a parameter in the horizontal axis parameter display area 122 is selected, the column designation unit 216 identifies the parameter of the clicked column, and the graph display screen generation unit 218 reads the calculation result data storage unit 223 from The column data corresponding to the selected parameter is acquired. Then, the graph display screen generation unit 218 outputs the relationship between the remaining days and the theoretical price to the graph display area 103. Thereby, it is possible to grasp a change in the option transaction evaluation index using a desired parameter and refer to it when making a transaction determination.

In addition, you may change the said embodiment into the following aspects.
In the above embodiment, the theoretical price is output to the matrix display area 102 and the graph display area 103 of the display screen 100. However, the present invention is not limited to this, and risk indicators (delta, gamma, theta, vega, etc.) Can be output in correspondence with the remaining days. Thereby, the time change of a risk parameter | index can be grasped | ascertained and it can refer at the time of transaction judgment.

  In the above embodiment, various parameters are set using the parameter setting area 101. The parameter setting method is not limited to this, and may be linked to another system. For example, by designating an option issue, the information (call / put category, contract month, exercise price, underlying asset value, volatility) of the option issue at that time may be taken over as a parameter. This makes it possible to set parameters efficiently.

  In the above embodiment, the option transaction support system 20 is assumed to be a computer system that provides various information about options to the user. The option transaction support system 20 is not limited to a single computer terminal, and can be realized by using a client terminal and an option transaction support server connected via the Internet. In this case, the client terminal can function as an input unit or an output unit.

1 is a schematic diagram of a system according to an embodiment of the present invention. Explanatory drawing of the display screen output to a display. Explanatory drawing of the process sequence of one Embodiment of this invention. Explanatory drawing of the process sequence of one Embodiment of this invention. Explanatory drawing of the display screen output to a display. Explanatory drawing of the display screen output to a display. Explanatory drawing of the display screen output to a display.

Explanation of symbols

DESCRIPTION OF SYMBOLS 100 ... Display screen, 101 ... Parameter setting area, 102 ... Matrix display area, 103 ... Graph display area, 20 ... Option transaction support system, 211 ... Parameter setting means, 212 ... Calculation formula generation means, 213 ... Matrix generation means, 214 ... matrix display screen generation means, 215 ... row designation means, 216 ... column designation means, 217 ... display designation means, 218 ... graph display screen generation means, 31 ... input device, 32 ... display.

Claims (6)

Control means for calculating an option transaction evaluation index composed of a theoretical price or a risk index for an option parameter, index storage means for recording the calculation result of the option transaction evaluation index, and output means for outputting the calculation result Option trading support system,
The control means is
Parameter setting means for obtaining a parameter for calculating an option transaction evaluation index;
A calculation formula generating means for generating a calculation formula of an option transaction evaluation index using the parameter acquired in the parameter setting means;
In the above formula, the option transaction evaluation index is calculated by sequentially changing the option remaining days and option parameters,
Matrix generating means for generating a matrix in which an option transaction evaluation index is arranged using the remaining days as a parameter of the first axis and an option parameter as a parameter of the second axis, and recording the matrix in the index storage means;
An option transaction support system comprising matrix output processing means for outputting the matrix to a matrix display area of the output means. The option transaction support system further includes a graph output processing unit that outputs a graph indicating an option transaction evaluation index with respect to an option parameter in a graph display area of the output unit,
The matrix output processing means generates a first axis variable selection icon for each remaining number of days, displays the first axis variable selection icon on the first axis of the matrix,
When the first axis variable selection icon is selected, the graph output processing means obtains an option transaction evaluation index on the second axis corresponding to the remaining days, and a graph showing the option transaction evaluation index is displayed in the graph. The option transaction support system according to claim 1, wherein the option transaction support system outputs to a display area.   The graph output processing means acquires an option transaction evaluation index on the second axis corresponding to the maximum remaining days and the minimum remaining days in the matrix, and further outputs the option transaction evaluation index to the graph display area of the option transaction evaluation index. The option transaction support system according to claim 2, wherein: The matrix output processing means generates a second axis variable selection icon for each option parameter, displays the second axis variable selection icon on the second axis of the matrix,
When the second axis variable selection icon is selected, the graph output processing unit obtains an option transaction evaluation index on the first axis corresponding to the option parameter, and displays a graph indicating the option transaction evaluation index. The option transaction support system according to claim 2, wherein the option transaction support system outputs to a display area. Control means for calculating an option transaction evaluation index composed of a theoretical price or a risk index for an option parameter, index storage means for recording the calculation result of the option transaction evaluation index, and output means for outputting the calculation result A method for supporting option trading using the option trading support system,
The control means is
A parameter acquisition stage for acquiring parameters for calculating an option transaction evaluation index;
A calculation formula generation step of generating a calculation formula of an option transaction evaluation index using the parameter acquired in the parameter acquisition step;
In the above formula, the option transaction evaluation index is calculated by sequentially changing the option remaining days and option parameters,
A matrix generation step of generating a matrix in which an option transaction evaluation index is arranged using the remaining days as a parameter of the first axis and an option parameter as a parameter of the second axis and recording the index storage means;
An option transaction support method, comprising: executing a matrix output processing step of outputting the matrix to a matrix display area of the output means. Control means for calculating an option transaction evaluation index composed of a theoretical price or a risk index for an option parameter, index storage means for recording the calculation result of the option transaction evaluation index, and output means for outputting the calculation result A program that supports option trading using the option trading support system,
The control means;
Parameter setting means for obtaining a parameter for calculating an option transaction evaluation index;
A calculation formula generating means for generating a calculation formula of an option transaction evaluation index using the parameter acquired in the parameter setting means;
In the above formula, the option transaction evaluation index is calculated by sequentially changing the option remaining days and option parameters,
Matrix generating means for generating a matrix in which an option transaction evaluation index is arranged using the remaining days as a parameter of the first axis and an option parameter as a parameter of the second axis, and recording the matrix in the index storage means;
An option transaction support program which causes the matrix to function as matrix output processing means for outputting the matrix to a matrix display area of the output means.

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