Granted Patent B1

US 8,315,938 · App. 12/905,009 · Granted Nov 20, 2012

Abstract

Claims (30)

1. A system for option analysis, comprising:

a processor configured to:

receive a selection of a strategy to analyze for an underlying security;

calculate a spectral map data for the strategy for the underlying security; and

provide the spectral map data for the strategy to a display;

cause the display to display a spectral map using the spectral map data, wherein the spectral map comprises a map of a value of the strategy at a plurality of times at a plurality of values of the underlying security, wherein the spectral map is superimposed over an underlying price chart, wherein the spectral map shows a potential future underlying investment price and one or more of the following: a profit or a loss, a delta, a gamma, a theta, a vega, or a rho for the strategy, wherein the delta comprises a delta-amount a price of the strategy moves given a $1 move in the underlying security, wherein gamma comprises a gamma-amount the delta moves given a $1 move in the underlying security, wherein the theta comprises a theta-amount the price of the strategy moves given 1 day of time elapsing, wherein the vega comprises a vega-amount the price of the strategy moves given a 1% move in a volatility, wherein a rho comprises a rho-amount price moves given a 1% move in a risk-free interest rate; and

a memory coupled to the processor and configured to provide the processor with instructions.

2. A system as in claim 1 , wherein a detailed information display shows detailed information regarding a point of the spectral map.

3. A system as in claim 2 , wherein the point is selected by a user control.

4. A system as in claim 3 , wherein the user control comprises one of the following: a movable crosshair, a single axis arrow control, a spinner control, a 52 week low price, a 52 week high price, or a text entry box for a time or a price.

5. A system as in claim 1 , wherein a spectral slice display is selectable by dragging a line control over the spectral map.

6. A system as in claim 5 , wherein the spectral slice display indicates a performance and a probability of the performance of the underlying security.

7. A system as in claim 6 , wherein the spectral slice display indicates a probability that the underlying security is in a range of prices.

8. A system as in claim 1 , wherein the processor is further configured to adjust a volatility for the spectral map.

9. A system as in claim 1 , wherein the processor is further configured to display trend lines on the spectral map.

10. A system as in claim 1 , wherein the processor is further configured to display an earnings overlay, a dividends overlay, or an earnings and dividends overlay.

11. A system as in claim 1 , wherein the processor is further configured to display a change to the spectral map as a result of a change in a price of the strategy.

12. A system as in claim 1 , wherein the processor is further configured to display a change to the spectral map as a result of a change of the strategy.

13. A system as in claim 1 , wherein the spectral map displays bands that represent a predicted level of profitability of the strategy for the underlying.

14. A system as in claim 13 , wherein the band is indicated using one or more of the following: a color, a hue, an intensity, a texture, or a crosshatching.

15. A method for option analysis, comprising:

receiving a selection of a strategy to analyze for an underlying security;

calculating, using a processor, a spectral map data for the strategy for the underlying security;

providing the spectral map data for the strategy to a display; and

causing the display to display a spectral map using the spectral map data, wherein the spectral map comprises a map of a value of the strategy at a plurality of times at a plurality of values of the underlying security, wherein the spectral map is superimposed over an underlying price chart, wherein the spectral map shows a potential future underlying investment price and one or more of the following: a profit or a loss, a delta, a gamma, a theta, a vega, or a rho for the strategy, wherein the delta comprises a delta-amount a price of the strategy moves given a $1 move in the underlying security, wherein gamma comprises a gamma-amount the delta moves given a $1 move in the underlying security, wherein the theta comprises a theta-amount the price of the strategy moves given 1 day of time elapsing, wherein the vega comprises a vega-amount the price of the strategy moves given a 1% move in a volatility, wherein a rho comprises a rho-amount price moves given a 1% move in a risk-free interest rate.

16. A computer program product for option analysis, the computer program product being embodied in a non-transitory computer readable storage medium and comprising computer instructions for:

receiving a selection of a strategy to analyze for an underlying security;

calculating a spectral map data for the strategy for the underlying security;

providing the spectral map data for the strategy to a display; and

causing the display to display a spectral map using the spectral map data, wherein the spectral map comprises a map of a value of the strategy at a plurality of times at a plurality of values of the underlying security, wherein the spectral map is superimposed over an underlying price chart, wherein the spectral map shows a potential future underlying investment price and one or more of the following: a profit or a loss, a delta, a gamma, a theta, a vega, or a rho for the strategy, wherein the delta comprises a delta-amount a price of the strategy moves given a $1 move in the underlying security, wherein gamma comprises a gamma-amount the delta moves given a $1 move in the underlying security, wherein the theta comprises a theta-amount the price of the strategy moves given 1 day of time elapsing, wherein the vega comprises a vega-amount the price of the strategy moves given a 1% move in a volatility, wherein a rho comprises a rho-amount price moves given a 1% move in a risk-free interest rate.

Assignments (10)