Joined: Mar 31, 2006
Posted: Sep 15, 2006 08:46 AM
Msg. 1 of 2
Has anyone had any success with creating a volatility surface for NYMEX natural gas options in Excel by linking the options quotes from ProphetX?
I have set up a spreadsheet with links to the ATM gas options contracts. The spreadsheet has the current premium, previous premium and the ATM volatility for a number of contracts. The problem is that the ATM options change every day which makes it difficult to manually update them all at the end of the day. With Bloomberg and Excel one is able to create a "dynamic" ATM contract using concatenation, etc. Is there a way to do that with ProphetX?
Joined: Sep 13, 2005
Posted: Sep 15, 2006 09:50 AM
Msg. 2 of 2
Other users may have been able to manipulate their spreadsheets with this information but we do not have currently have a spreadsheet available to do this. But you may still hear from other users who are willing to share their techniques with you....
We are, however, in the process of upgrading our options module to include various charting capabilities based on the volatility and directly from the options module, as well as linking directly from options. This should, in some cases, eliminate the need to do a lot of the current linking you're doing from the quote sheets. The plan is for implementation in version 3.4, scheduled for year end - hopefully sooner.