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The Option Matrix Analyzer packs an incredible amount of information into three easy to read reports.

Data is presented in a manner familiar to all traders, through standard option chain style reporting. By adding unique information on trade Probabilities, Option Matrix Analyzer adds a completely new twist - Expected P/L, and Implied Volatility Percentile analysis.

The reports are amazingly easy to use, making the highly sophisticated analysis available and useful to both professional and institutional traders alike. What used to take a great deal of time and money for the advanced trader to discern is instantly delivered in three reports: "Probability Analysis," "Expected P/L Analysis" and "Percentile Analysis."
EZ Probability Analysis - Report 1
This report allows you to pick a specific underlying, range of days to expiration, and minimum option premium, as well as a specific strategy; short put, short call, covered call and covered (or married) put. The matrix will then give you a report showing you how frequently (as a percentage, or probability) the trade would have profited over a 1, 2, 3, 4 and 5 year period. All strikes are individually analyzed in two different ways.
  • First, the trade is assessed against historical movement of the underlying for the period of time being reported (again, one through five years.) Since over that period of time the underlying's price varies, each period of time is analyzed in such a way as to normalize the movement before being reported, so you get a true picture of how your trade would have performed in past markets.

  • The trade is then assessed against Eztrade's unique "Stress Test" indicator. Rather than assume a particular movement being tested is in one direction, the stress test assumes the magnitude of the movement could have been in either direction, and calculates the probability of profit under these difficult conditions. For example, if you are testing a short put strategy and during the testing period your underlying moved up five percent in one cycle, the stress test would also include a data point assuming the underlying moved down five percent. Thus, your probability of profit in a stress test will always be equal to or lower than the actual historical probability of profit.
The matrix will then present the theoretical probability of profit with the current underlying's implied volatility, as well as a second column with the theoretical probability of profit using the implied volatility skew. Utilizing the skewed column, the probabilities are then color coded on the matrix. If the historical probability of profit is higher than the theoretical (in other words, actual results are better than predicted by the option's pricing), the column will have a red background for each strike in which the condition holds. If the stress test probability of profit exceeds the skewed probability of profit, the background is green for each applicable strike. This provides an exceedingly strong trade cue for the experienced trader.
EZ Expected Profit / Loss Analysis - Report 2
The Expected P/L Analysis report provides the trader with a clear view of how their strategy and strike selection would have performed over the period of time they choose, ranging from 1 to 5 years. Traders should apply their view on a market by selecting 1 or 2 years history, if they think market will move like it did in a last year or two. Contrary if you anticipate some potential events that could cause big moves on a market then 4 or 5 year history would be more prudent to use, as it will incorporated big moves of the market that happened 5 years ago.

The Expected P/L report differs from the probability analysis in that it lends clarity to the size of the drawdowns compared to the size of the winning trades. If you know the probabilities are favorable and the Expected P/L is near the price of the option bid, your drawdowns are small as you have captured most of the premium available in the trade. But if the probabilities are favorable and the Expected P/L is far lower than the bid price of the option, the drawdowns are significant. This is important information to have prior to making a trade, yet even most professional traders forge ahead without it, due to the difficulty in acquiring the data. Option Matrix Analyzer provides it in a simple to use format.

As in the Probability Analysis Report, the Expected P/L Analysis also puts all the data under a stress test in which the report shows the survival level if the market completely turns against you.

If the Historical Expected P/L is close to the option's bid price, but the Stress Test value is much lower, it is a clear indication that the underlying was historically moving in the direction favorable to your current trade. But the Stress Test value being low indicates that the underlying had large moves in a favorable direction since the Stress Test mirrors those large moves in the opposite direction, but with the same magnitude.

Stress Test values are a far better indicator of what you can anticipate in the future from the trade. Armed with this information, professional and institutional traders can carefully weigh the risk to which they are subjecting themselves with far more accuracy than ever before. Once you have used the report, you will realize this is "must have" information that every trader should use in their daily operation.

EZ Percentile Analysis - Report 3
This report allows trader to understand how cheap or expensive each option is. Implied volatility skew that is usually available in other tools cannot provide this information, as IV by itself reflects option price information. Only relative position of the current price point vs. historical values can illustrate how cheap or expensive option price is now.

Using sophisticated mathematical analysis this report provides for each option IV skew, and based on different historical periods, ranged from 1 to 5 years, min and max value of IV as well as it percentile.

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