Options chain for an underlying lists prices, deltas, open interest for contracts that are ITM (in the market), OTM (out of the market) or ATM (at the market).
There is very little information or data available for FTSE options. As an Options investor in United Kingdom, one has to either calculate deltas, volatility, premiums using customised Excel sheets or consider investing in US markets.
At the moment, we are still beta testing the feed for FTSE100 Options chain. We strive to update this data (along with deltas), at least once every week. We are in the process of automating, so keep watching this space.
Below table is for FTSE100 contracts expiring 18th Nov 2016. Following parameters were used to generate the data:
Last Updated: 8th October 2016
| Underlying Price | 7044 | Expiration days | 41 |
| Implied Volatility | 12% | Risk free Interest Rate | 0.50% |
| Theta | Delta | Theo Price | Contract | Strike | Contract | Theo Price | Delta | Theta | Vega |
|---|---|---|---|---|---|---|---|---|---|
| -0.11 | -0.01 | 1.3 | PUT | 6450 | CALL | 598.92 | 0.98 | -0.2 | 0.79 |
| -0.17 | -0.02 | 2.23 | PUT | 6500 | CALL | 549.88 | 0.97 | -0.26 | 1.19 |
| -0.24 | -0.03 | 3.68 | PUT | 6550 | CALL | 501.36 | 0.96 | -0.33 | 1.72 |
| -0.34 | -0.04 | 5.89 | PUT | 6600 | CALL | 453.6 | 0.95 | -0.43 | 2.4 |
| -0.46 | -0.07 | 9.12 | PUT | 6650 | CALL | 406.86 | 0.92 | -0.55 | 3.21 |
| -0.59 | -0.1 | 13.71 | PUT | 6700 | CALL | 361.47 | 0.89 | -0.69 | 4.15 |
| -0.74 | -0.13 | 20.01 | PUT | 6750 | CALL | 317.8 | 0.86 | -0.83 | 5.17 |
| -0.89 | -0.18 | 28.43 | PUT | 6800 | CALL | 276.25 | 0.81 | -0.98 | 6.22 |
| -1.03 | -0.23 | 39.33 | PUT | 6850 | CALL | 237.18 | 0.76 | -1.12 | 7.22 |
| -1.15 | -0.29 | 53.09 | PUT | 6900 | CALL | 200.96 | 0.7 | -1.25 | 8.1 |
| -1.25 | -0.35 | 70 | PUT | 6950 | CALL | 167.9 | 0.64 | -1.34 | 8.8 |
| -1.31 | -0.42 | 90.28 | PUT | 7000 | CALL | 138.21 | 0.57 | -1.4 | 9.25 |
| -1.3 | -0.56 | 141.32 | PUT | 7100 | CALL | 89.31 | 0.43 | -1.4 | 9.29 |
| -1.23 | -0.63 | 172.01 | PUT | 7150 | CALL | 70.03 | 0.36 | -1.33 | 8.89 |
| -1.13 | -0.69 | 205.92 | PUT | 7200 | CALL | 53.96 | 0.3 | -1.23 | 8.26 |
| -1.01 | -0.75 | 242.78 | PUT | 7250 | CALL | 40.85 | 0.24 | -1.11 | 7.46 |
| -0.87 | -0.8 | 282.27 | PUT | 7300 | CALL | 30.37 | 0.19 | -0.97 | 6.54 |
| -0.73 | -0.84 | 324.04 | PUT | 7350 | CALL | 22.17 | 0.15 | -0.83 | 5.57 |
| -0.58 | -0.88 | 367.73 | PUT | 7400 | CALL | 15.88 | 0.11 | -0.68 | 4.62 |
| -0.45 | -0.91 | 412.99 | PUT | 7450 | CALL | 11.17 | 0.08 | -0.55 | 3.73 |
| -0.33 | -0.93 | 459.49 | PUT | 7500 | CALL | 7.71 | 0.06 | -0.43 | 2.94 |
| -0.23 | -0.95 | 506.98 | PUT | 7550 | CALL | 5.22 | 0.04 | -0.33 | 2.25 |
| -0.14 | -0.96 | 555.2 | PUT | 7600 | CALL | 3.46 | 0.03 | -0.24 | 1.68 |
| -0.07 | -0.97 | 603.96 | PUT | 7650 | CALL | 2.26 | 0.02 | -0.18 | 1.22 |