Sheet trading

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Sheet trading refers to the use of printed pricing tables derived from a software program as a guide to gauging fair value of options, spreads, delta, gamma, vega, and other information. Tables are generated at varying prices of an underlying commodity, and may also be run at varying volatility levels. Such tables are commonly used in delta neutral trading strategies.

Most sheet traders use the Black-Scholes option pricing model, or a variation of it, as a model for the pricing.

Technological improvements in valuation software and the migration of trading from the open outcry to electronic trading has rendered most sheet trading obsolete. Newer options software applications combine dynamic valuation, trade execution, and risk management into a single screen, eliminating the need for printed pricing tables. By 2011, very sheet traders were few in number.