Binary option delta calculator excel

Excel Spreadsheets for Binary Options. This article introduces binary options and provides several pricing spreadsheets. Binary options give the owner a fixed payout (which does not vary with the price of the underlying instrument) or nothing at all. Most Binary options are European-style these are priced with closed-form equations derived from a Black-Scholes analysis, with the payoff determined at expiry. Cash or Nothing & Asset or Nothing Options. Binary options can either be Cash or Nothing, or Asset or Nothing. A cash or nothing call has a fixed payoff if the stock price is above the strike price at expiry. A cash or nothing put has a fixed payoff if the stock price is below the strike price. If the asset trades above the strike at expiry, the payoff of an asset or or nothing call is equal to the asset price. Conversely, an asset or nothing has a payoff equal to the asset price if the asset trades below the strike price. Two-Asset Cash-or-Nothing Options. These binary options are priced across two assets. They have four variants, based upon the relationship between spot and strike prices.

up and up : These only pay if the strike price of both assets is below the spot price of both assets up and down : These only pay if the spot price of one asset is above its strike price, and the spot price of the other asset is below its strike price cash or nothing call : These pay a predetermined amount of the spot price of both assets is above their strike price cash or nothing put : These pay a predetermined amount if the spot price of both assets is below the strike prie. Supershare options are based on a portfolio of assets with shares issued against their value. Supershares pay a predetermined amount if the underlying asset is priced between an upper and lower value at expiry. The amount is usually a fixed proportion of the portfolio. Supershares were introduced by Hakansson (1976), and are priced with the following equations. A Gap option has a trigger price that determines if the option will payout. The strike price, however, determines the size of the payout. The payout of a Gap option is determined by difference between the asset price and a gap, as long as the asset price is above or below the strike price. The price and payout of a European style Gap option are given by these equations. where X 2 is the strike price and X 1 is the trigger price. Consider an call option with a strike price of 30, and a gap strike of 40. The option can be exercised when the asset price is above 30, but pays nothing until the asset price is above 40. Binary Call Option Delta. Binary call option delta measures the change in the price of a binary call option owing to a change in the underlying asset price and is the gradient of the slope of the binary options price profile versus the underlying asset price (the ‘underlying’). Of all the Greeks, the binary call option delta could probably be considered the most useful in that it can also be interpreted as the equivalent position in the underlying, i. e. the delta translates options, whether individual options or a portfolio of options, into an equivalent position of the underlying.

A binary call option with a delta of 0.5 means that if the underlying share price goes up 1¢ then the binary call will increase in value by ½¢. Another interpretation would be a short 400 contract position in S&P500 binary calls with a delta of 0.25 which would be equivalent to being short 100 S&P500 futures. It is important to realise that the delta is dynamically changing as a function of many variables, including a change in the underlying price, and that a change in any of those variables will most likely cause a change in the delta. Therefore, if any or all of the variables, including the underlying price, time to expiry and implied volatility, change then the above option will not necessarily have a delta of 0.5 and increase in value by ½¢ or the equivalent S&P position be short 100 S&P500 futures. This practicality and simplicity of concept contributes to deltas, out of all the Greeks, being the most utilised amongst traders, especially market-makers. The following provides an analysis of: the finite difference method to evaluate deltas, examples of using the delta to hedge with, comparisons of conventional call options delta with binary call option delta, and finally a closed-form formula for the binary call option delta. Binary Call Option Delta and Finite Delta. The delta Δ of any option is defined by: P = price of the option. S = price of the underlying. δP = a change in the value of P. δS = a change in the value of S. Figure 1 shows the 1 day price profile of a binary call with Figure 2 showing (in black) the same price profile between the underlying prices of 99.78 and 99.99. Fig.1 – Binary Call Option Price Profile. Fig.2 – Fair Value & Delta Gradients.

The blue ’18 tick chord’ travels between the point on the call profile 9 ticks below the price of 99.90 to 9 ticks above. The fair value of the binary call option at 99.81 is 3.4592 and at 99.99 is 46.1739 as provided in the bottom row of Table 1.. The gradient of this chord is defined by: SInc = Minimum Underlying Asset Price Change. i. e. Gradient = (46.1739-3.4592) (99.99-99.81) x 0.01. as indicated in the bottom row of the central column of Table 1. The gradients of the ‘12 tick chord’ and ‘6 tick chord’ are calculated in the same manner and are also presented in the central column of Table 1. As the price difference narrows, i. e. as δS → 0 (as reflected by δS = 0.06 and δS = 0.03) the gradient tends to the delta of 2.4149 at 99.90. The binary call option delta is therefore the first differential of the binary call option fair value with respect to the underlying and can be stated mathematically as: δS → 0, Δ = dP dS. which means that as δS falls to zero the gradient of the price profile approaches the gradient of the tangent (delta) at the underlying asset price. Binary Call Option Delta and Implied Volatility. Figure 3 illustrates 5-day binary call profiles with Figure 4 providing the associated deltas over a range of implied volatilities as in the legends. In Figure 3 the 9% fair value profile is fairly shallow in comparison to the other four profiles which is reflected in Figure 4 where the 9% delta profile fluctuates just 0.16 from a delta of 0.22 at the wings to 0.38 when at-the-money and is the flattest of the five delta profiles. In Figure 3, with the volatility at 1% and underlying below $100, there is little chance of the binary call being a winning bet until the underlying gets close to the strike where the price profile steepens sharply to travel up through 0.5 before levelling out short of the binary call price of 100. Fig.3 – Binary Call Option Fair Value w. r.t. Volatility. The 1% delta in Figure 4 reflects this dramatic change of binary call price with the 1% delta profile showing zero delta followed by a sharply increasing delta as the binary call price changes dramatically over a small change in the underlying, followed by a sharply decreasing delta as the binary call option delta reverts to zero as the binary call levels off at the higher price. For the same volatility the delta of the binary call which is 50 ticks in-the-money is the same as the delta of the binary call 50 ticks out-of-the-money. In other words the deltas are horizontally symmetric about the underlying when at-the-money, i. e. when the underlying is at $100. Fig.4 – Binary Call Option Delta w. r.t. Implied Volatility. This feature of the binary call option delta when at the money is that of the Dirac delta function, or δ function, where the area below the profile is 1. This means that the binary call option delta when at-the-money and with time to expiry or implied volatility approaching zero can become infinitely high with a total area of one under the spike. This feature obviously renders delta-neutral hedging as impractical when the binary call option is at-the-money with very little time to expiry or extremely low implied volatility.

In practice these conditions and a short at-the-money binary call position in Apple Inc would require the delta-neutral trader to bid for the company in order to get ‘flat’! Binary Call Option Delta and Time to Expiry. In the above illustration (Fig.4) the 1.00% delta peaks off the scale at 3.41 but this value increases sharply as the time to expiry decreases from 5 days. Figures 3 & 5 illustrate binary call price profiles which always have a positive slope so the binary call options delta is always positive. Fig.5 – Binary Call Option Fair Value w. r.t. Time to Expiry. The 25-day price profile in Figure 5 has the longest time to expiry and subsequently has the lowest gearing which is illustrated in Figure 6 by the lowest value delta profile. Fig.6 – Binary Call Option Delta w. r.t. Time to Expiry. Short time to expiry binary call (and put) options provide the greatest gearing of any financial instrument as illustrated by the extremely steep price profile of Figure 5 and its associated delta in Figure 6. The 0.1-day delta peaks at 4.82 which basically offers gearing of 482% compared to the 100% gearing of a long future position. Decreasing volatility and decreasing time to expiry have a similar impact on the price of a binary option which is borne out by the similar delta profiles of Figures 4 & 6. Table 2 shows 10 day, 5% volatility binary call option prices with deltas. At $99.87 the binary call is worth 43.5921 and has a delta of 0.4764. Therefore, if the underlying rises three ticks from $99.87 to $99.90 the binary call will rise in value to: 43.5921 + 3 x 0.4764 = 45.0213. If the underlying fell 3 ticks from $99.93 to $99.90 the binary call would be worth: 46.4641 + (-3) x 0.4805 = 45.0226.

At $99.90 the binary call value in Table 2 is 45.0250 so there is a slight discrepancy between the values calculated above and true value in the table. This is because the deltas of 0.4764 and 0.4805 are the deltas for just the two underlying levels of $99.87 and $99.93 respectively, i. e. the deltas change with the underlying. At $99.90 the delta is 0.4788 so the value of 0.4764 is too low when assessing the upward move from $99.87 to $99.90, while similarly the delta of 0.4805 is too high when evaluating the change in binary call price when the underlying falls from $99.93 to $99.90. The average of the two deltas at $99.87 and $99.90 is: ( 0.4764 + 0.4788 ) 2 = 0.4772. and should this number be used in the first calculation above then the binary call at $99.90 would be estimated as: 43.5921 + 3 x 0.4772 = 45.0237. an error of 0.0013. The average delta between $99.90 and $99.93 is: ( 0.4788 + 0.4805 ) 2 = 0.47965. The second calculation above would now generate a price at $99.90 of: 46.4641 + (-3) x 0.47965 = 45.02515. an error of just 0.00015. The section on binary call option gamma will provide the answers as to why this discrepancy still exists. Hedging with Binary Call Option Delta. If the numbers in Table 2 related to a bond future then it might not be unreasonable to offer a binary option on that future with a settlement value of $1000 equating to $10 per point.

Example : a binary options trader buys 100 contracts of the $100 strike binary with 10 days to expiry with the future trading at $99.87 at a price of 43.5921, costing a total of: 43.5921 x $10 x 100 contracts = $43,592.10. How does the trader hedge away the immediate directional exposure? 100 contracts of the option with delta of 0.4764 equates to a position of 47.64 futures at the futures price of $99.87 so the trader sells 48 futures to hedge (just not possible to sell 0.64 of a future…….the option price of 43.5921 was arrived at by ‘averaging in’!) 1) the future falls to $99.81 where the option is worth 40.7518 so the position P&L is now: Binary Call Option loses: 40.7518 – 43.5921 = -2.8403. which equates to a loss of: -2.8403 x $10 x 100 contracts = -$2,840.3. which equates to a profit of: -0.060.01 x $10 x -48 = +$2,880. an overall profit of $39.70. 2) the future rises to $99.93 where the option is worth 46.4641 so the position P&L is now: Binary Call Option gains: 46.4641 – 43.5921 = 2.8720. which equates to a profit of: 2.8720 x $10 x 100 contracts = +$2,872.00. which equates to a loss of: 0.060.01 x $10 x -48 = -$2,880. an overall loss of $8.00. This loss on the upside can be explained away by the over-hedging of 48 futures as opposed to 47.64 futures. If 47.64 futures were used (a spreadbet maybe?) then the overall downside profit would be reduced to +$18.10 while the upside loss of $8.00 would turn into a profit of $13.60. The constant use of deltas for hedging in this manner is vital for an options market-maker. That using a hedge of 47.64 produces a profit on both the upside and downside is the impact of the gamma, in this case positive gamma. Binary Call Option Delta v Conventional Call Option Delta. Figures 7a-e illustrate the difference over time to expiry between the binary call option deltas and their conventional cousins for those already familiar with conventionals. Fig.7a – 25-Day Binary & Conventional Call Delta. Fig.7b – 10-Day Binary & Conventional Call Option Delta.

Fig.7c – 4-Day Binary & Conventional Call Option Delta. Fig.7d – 1-Day Binary & Conventional Call Option Delta. Fig.7e – 0.1 Day Binary & Conventional Call Option Delta. Points of note are: 1) Whereas the conventional call deltas are constrained to a value of 0.5 when the option is at-the-money, the binary call is at its highest when at-the-money and has no constraint being able to approach infinity as time to expiry approaches 0. 2) When time to expiry is greater than 1 day (Figs.7a-c) the gearing of the binary call option is lower than the conventional call option, but when time to expiry is reduced (Figs.7d-e) the delta of the binary call becomes higher than the maximum value of 1.0 of the conventional call option. 3) The conventional call option delta profile resembles the price of the binary call. 4) Substituting a range of implied volatilities instead of the times to expiry would provide a similar set of illustrations to Figs.7a-e. Summary. Binary call option delta provides instant and easily understood information on the behaviour of the price of a binary call in relation to a change in the underlying. Binary calls always have positive deltas so an increase in the underlying causes an increase in the value of the binary call. When a trader takes a position in any binary call they are immediately exposed to possible adverse movements in time, volatility and the underlying. The risk of the latter can be immediately negated by taking an opposite position in the underlying equivalent to the delta of the position. For book-runners and market-makers hedging against an adverse movement in the underlying is of prime importance and hence the delta is the most widely used of the greeks. Nevertheless, as expiry approaches the delta can reach ludicrously high numbers so one should always observe the tenet: “Beware Greeks bearing silly analysis numbers…”. Option Greeks Excel Formulas. Black-Scholes Greeks Excel Formulas.

This is the second part of the Black-Scholes Excel guide covering Excel calculations of option Greeks (delta, gamma, theta, vega, and rho) under the Black-Scholes model. I will continue in the example from the first part to demonstrate the exact Excel formulas. See the first part for details on parameters and Excel formulas for d1, d2, call price, and put price. Here you can find detailed explanations of all the Black-Scholes formulas. Here you can see how everything works together in Excel in the Black-Scholes Calculator. Delta is different for call and put options. The formulas for delta are relatively simple and so is the calculation in Excel. I calculate call delta in cell V44, continuing in the example from the first part, where I have already calculated the two individual terms in cells M44 and S44: The calculation of put delta is almost the same, using the same cells. Just add minus one and don’t forget the brackets: The formula for gamma is the same for calls and puts. It is slightly more complicated than the delta formulas above: Notice especially the second part of the formula: You will find this term in the calculation of theta and vega too. It is the standard normal probability density function for - d1. In Excel the formula looks like this: … where K44 is the cell where you have calculated d1 (see first part). Alternatively, you can use the NORM. DIST Excel function, which I have also explained in the first part. The only difference from the first part is that the last parameter (cumulative) is now FALSE.

Don’t forget the minus sign before K44: These two formulas must return the same result. In the example from the Black-Scholes Calculator I use the first formula. The whole formula for gamma (same for calls and puts) is: Theta has the longest formulas of all the five most common option Greeks. It is different for calls and puts, but the differences are again just a few minus signs here and there and you must be very careful. Theta is very small for many options, which makes it often hard to detect a possible error in your calculations. Although it looks complicated, all the symbols and terms in the formulas should be already familiar from the calculations of option prices and delta and gamma above. One exception is the T at the beginning of the formulas. T is the number of days per year. You can choose either calendar days (T=365 or 365.25) or trading days (T=252 or something similar, depending on where you trade). Based on your selection, the interpretation of theta will then be either option price change in one calendar day or option price change in one trading day. The whole formula for call theta in our example is in cell X44. It is long and uses several (10) other cells, but there is no high mathematics: The last line of the formula in the screenshot above is the T. Cell C20 in the calculator contains a combo where users select calendar days or trading days. Cells D3 and D4 in the sheet Time Units contain the number of calendar and trading days per year. If you want to keep it simple, you can replace the whole last line of the formula with a fixed number, such as 365.

You can again find the explanation of all the individual cells in the first part or see all these Excel calculations directly in the calculator. Analogically to call theta, the formula for put theta in cell AD44 is: The formula for vega is the same for calls and puts: There is nothing new. You can again see the familiar term at the end. In the calculator example I calculate vega in cell Y44: Rho is again different for calls and puts. There are two more minus signs in the put rho formula. In the calculator example I calculate call rho in cell Z44. It is simply a product of two parameters (strike price and time to expiration) and cells that I have already calculated in previous steps: I calculate put rho in cell AF44, again as product of 4 other cells, divided by 100. Make sure to put the minus sign to the beginning: More about Option Greeks in Excel. You can also use Excel and the calculations above (with some modifications and improvements) to model behaviour of individual option Greeks and option prices in different market situations (changes in the Black-Scholes model parameters). That is beyond the scope of this guide, but you can find it in the Black-Scholes Calculator and PDF Guide. By remaining on this website andor using Macroption content, you confirm that you have read and agree with the Terms of Use Agreement just as if you have signed it. The Agreement also includes Privacy Policy and Cookie Policy. If you don't agree with any part of this Agreement, please leave the website now. All information is for educational purposes only and may be inaccurate, incomplete, outdated or plain wrong. Macroption is not liable for any damages resulting from using the content.

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pro signals youtube gratis, black mar 2011 also calculates. Notional if there is generally accepted and calls. Option Pricing Spreadsheet. My option pricing spreadsheet will allow you to price European call and put options using the Black and Scholes model. Understanding the behavior of option prices in relation to other variables such as underlying price, volatility, time to expiration etc is best done by simulation. When I was first learning about options I began building a spreadsheet to help me understand the payoff profiles of calls and puts and also what the profiles look like of different combinations. I've uploaded my workbook here and you're welcome to it. On the "basic" worksheet tab you will find a simple option calculator that generates fair values and option Greeks for a single call and put according to the underlying inputs you select. The white areas are for your user input while the shaded green areas are the model outputs. Underneath the main pricing outputs is a section for calculating the implied volatility for the same call and put option. Here, you enter the market prices for the options, either last paid or bidask into the white Market Price cell and the spreadsheet will calculate the volatility that the model would have used to generate a theoretical price that is in-line with the market price i. e. the "implied" volatility. The PayoffGraphs tab gives you the profit and loss profile of basic option legs buy call, sell call, buy put and sell put. You can change the underlying inputs to see how your changes effect the profit profile of each option.

The Strategies tab allows you to create optionstock combinations of up to 10 components. Again, use the while areas for your user input while the shaded areas are for the model outputs. Theoretical and Greek Prices. Use this Excel formula for generating theoretical prices for either call or put as well as the option Greeks: A Sample formula would look like =OTW_BlackScholes(c, p, 25, 26, 0.25, 0.05, 0.21, 0.015) . Same inputs as above except: Market Price The current market last, bidask of the option. Example: =OTW_IV(p, 100, 100, 0.74, 0.05, 8.2, 0.01) If you're having troubles getting the formulas to work, please check out the support page or send me an email. If you're after an online version of an option calculator then you should visit Option-Price. com. Just to note that much of what I have learnt that made this spreadsheet possible was taken from the highly acclaimed book on financial modeling by Simon Benninga - Financial Modeling - 3rd Edition. If you're an Excel junkie, you'll love this book.

There are loads of real world problems that Simon solves using Excel. The book also comes with a disk that contains all the exercises Simon illustrates. You can find a copy of Financial Modeling at Amazon of course. Option Pricing Option Workbook XLS Black and Scholes Binomial Model Quick Pricing Formula Option Greeks Greeks Overview Option Delta Option Gamma Option Theta Option Vega Option Rho Option Charm. Peter February 19th, 2017 at 4:47pm. Luciano February 19th, 2017 at 11:27am. 2) How do I calculate the greeks of a multiple legs method? E. g.Is the "total" delta the sum of the single legs deltas? Peter January 12th, 2017 at 5:23pm. Mike C January 12th, 2017 at 6:26am.

Peter December 14th, 2016 at 4:57pm. Clark December 14th, 2016 at 4:12am. What are the updown arrows supposed to do on strategies page? Peter October 7th, 2014 at 6:21am. Denis October 7th, 2014 at 3:07am. Peter June 10th, 2014 at 1:09am. Jack Ford June 9th, 2014 at 5:32am. In the Option Trading Workbook. xls OptionPage. I changed the underling price and strike price to calculate the IV, 24-Nov-11 Today's Date. 30.00% Historical Volatility.

19-Dec-11 Expiry Date. 3.50% Risk Free Rate. 2.00% Dividend Yield. 0.07 DTE in Years. Strike Prices Price Price Volatility. 6,100.00 ITM 912.98 999.00 57.3540% 6,100.00 ITM 912.98 912.98 30.0026% 6,100.00 ITM 912.98 910.00 27.6299% 6,100.00 ITM 912.98 909.00 26.6380% 6,100.00 ITM 912.98 0.0038% 6,100.00 ITM 912.98 907.00 24.0288% 6,100.00 ITM 912.98 906.00 21.9460% 6,100.00 ITM 912.98 905.00 0.0038% 6,100.00 ITM 912.98 904.00 0.0038% 6,100.00 ITM 912.98 903.00 0.0038% 6,100.00 ITM 912.98 902.00 0.0038% the IV was changed so dramatically? I like your web and excel workbook very much, they are the best in the. Thank you very much! Peter January 10th, 2014 at 1:14am. cdt January 9th, 2014 at 10:19pm.

I tried the spreadsheet in Openoffice, but it did not work. Does that use Macros or imbedded functions? Ravi June 3rd, 2013 at 6:40am. Can you please let me know how we can calculate Risk Free Rate in case of USDINR Currency Pair or any other pair in general. Peter May 28th, 2013 at 7:54pm. max May 24th, 2013 at 8:51am. Hello, what a great file! Peter April 30th, 2013 at 9:38pm. wong April 28th, 2013 at 9:05pm. hi, thanks for the worksheet. However, I am troubled by the calculated PL on expiration.

It should be made of two straight lines, joined at the strike price, right? but I did not get that. For example, for a put with strike $9, premium used is $0.91, the PL for underlying price of 7, 8, 9, 10 were 1.19, 0.19, -0.81, -0.91, when they should be 1.09, 0.09, -0.91, -0,91, isn't that correct? Peter April 15th, 2013 at 7:06pm. Mmm. the average volatility is mentioned in cell B7 but not graphed. I didn't want to graph it as it would just be a flat line across the graph. Ryan April 12th, 2013 at 9:11am. Sorry, I reread my question and it was confusing.. I'm just wondering if there is a way to also throw in Avg Volatility into the graph? Peter April 12th, 2013 at 12:35am.

Ryan April 10th, 2013 at 6:52pm. Peter March 21st, 2013 at 6:35am. Desmond March 21st, 2013 at 3:16am. can i know the formular in deriving the Theoretical Price in the basic tab. Peter December 27th, 2012 at 5:19am. Steve December 16th, 2012 at 1:22pm. Terrific spreadsheets - thanks much! Peter October 29th, 2012 at 11:05pm. Vlad October 29th, 2012 at 9:43pm. Stock Price $40.0. Interest Rate 3.0% Expiration in 1.0 month(s) 0.1. Theta -2.06 -0.0056.

Peter June 4th, 2012 at 12:34am. zoran June 1st, 2012 at 11:26pm. Hello, as I am new in trading options on futures please explain to me how to calculate margin, or daily premium, on Dollar Index, as I saw on the ICE Futures US web page, that the margin for the straddle is only 100 Dollars. It is so cheap that if I bought call and put options with the same strike, and form the straddle, it is look profitable to exercise early one leg of the position? I have in my account 3000 dollars. Peter May 21st, 2012 at 5:32am. Peter April 3rd, 2012 at 7:08pm. Darong April 3rd, 2012 at 3:41am. I have a quick question as I just started to study Options. For VWAP, normally, do option traders calculate it by themselves or tend to refer to calculated value by information vendors, or etc.? I want to know about market convention from traders' perspectives as a whole for option trading. Appreciate if you revert to me. pintoo yadav March 29th, 2012 at 11:49am. this is program in well mannered but required macros to be enabled for its work.

Peter March 26th, 2012 at 7:42pm. Amitabh March 15th, 2012 at 10:02am. madhavan March 13th, 2012 at 7:07am. First time I am going through any useful write up on option trading. Liked very much. But have to make an indepth study to enter into trading. Jean charles February 10th, 2012 at 9:53am. Peter January 31st, 2012 at 4:28pm. Do you mean an example of the code? You can see the code in the spreadsheet. It is also written on the Black Scholes page. dilip kumar January 31st, 2012 at 3:05am.

Peter January 31st, 2012 at 2:06am. You can open the VBA editor to see the code used to generate the values. Alternatively you can look at the examples on the black scholes model page. iqbal January 30th, 2012 at 6:22am. Peter January 26th, 2012 at 5:25pm. Hi Amit, is there an error that you can provide? What OS are you using? Have you seen the Support Page? amit January 25th, 2012 at 5:56am. The workbook is not opening. sanjeev December 29th, 2011 at 10:22pm. thanks for the workbook. P December 2nd, 2011 at 10:04pm.

Good day. Indian man trading today Found spreadsheet but does work? Look at it and needs fix to fix problem? akshay November 29th, 2011 at 11:35am. Deepak November 17th, 2011 at 10:13am. Peter November 16th, 2011 at 5:12pm. Deepak November 16th, 2011 at 9:34am. Peter October 30th, 2011 at 6:11am. NEEL 0512 October 30th, 2011 at 12:36am. HI PETER GOOD MORNING. Peter October 5th, 2011 at 10:39pm.

Ok, I see now. In Open Office you must first have JRE installed - Download Latest JRE. Peter October 5th, 2011 at 5:47pm. After you have enabled Macros, save the document and re-open it. Kyle October 5th, 2011 at 3:24am. Yes, was receiving a $MARCOS? and $NAME? error. I have enabled the marcos, but still getting the $NAME? error. Thanks for your time.

Peter October 4th, 2011 at 5:04pm. Yes, it should work. Are you having troubles with Open Office? Kyle October 4th, 2011 at 1:39pm. I was wondering if this spreadsheet can be opened with open office? If so how would i go about this? Peter October 3rd, 2011 at 11:11pm. NK October 1st, 2011 at 11:59am. Hi, i'm new to options. I'm calculating the Call and Put premiums for TATASTEEL(I used American Style options calculator).

Date - 30 Sept, 2011. Strike price - 400. Interest rate - 9.00% Volatility - 37.28%(I got this from Khelostocks. com) Expiration Date - 25 Oct. Also plz tell me what to put for Interest rate and from where to get the volatility for particular stocks in calculation. CALL - 27 PUT - 17.40. Why is there such a difference and what should be my trading method in these? Peter September 8th, 2011 at 1:49am. Yes, it is for European options so it will suit the Indian NIFTY index options but not the stock options. Mehul Nakar September 8th, 2011 at 1:23am. is this File Made in European style or American style option. as Indian OPTIONS are trading in American style. can u make it American style model for Indian market user. Mahajan September 3rd, 2011 at 12:34pm. Peter September 3rd, 2011 at 6:05am.

Peter September 3rd, 2011 at 6:03am. Gina September 2nd, 2011 at 3:04pm. If you look at Dec 2011 PUTs for netflix - I have a put spread - short 245 and long 260 - why doesn't this reflect a profit of 15 instead of 10? Mahajan September 2nd, 2011 at 6:58am. Peter August 26th, 2011 at 1:41am. Edwin CHU (HK) August 26th, 2011 at 12:59am. I am an active options trader with my own trade boob, I find your worksheet "Options Strategies quite helpful, BUT, can it cater for calendar spreads, I caanot find a clue to insert my positions when faced with options and fut contracts of different months? Look forward to hearing from you soon. Peter June 28th, 2011 at 6:28pm. Sunil June 28th, 2011 at 11:42am. on which mail id should i send ? Peter June 27th, 2011 at 7:07pm. Hi Sunil, send me an email and we can take it the conversation offline.

Sunil June 27th, 2011 at 12:06pm. Hi Peter, many thanks. I had gone through the VB functions but they use many inbuild excel functions for calculations. I wanted to write the program in Foxpro (old time language) which does not have the inbuild functions in it and hence was looking for basic logic in it. Never the less, the excel is also very useful, which i don't think anyone else has also shared on any site. Peter June 27th, 2011 at 6:06am. Hi Sunil, for Delta and Implied Volatility the formulas are included in the Visual Basic provided with the spreadsheet at the top of this page. For Historical Volatility you can refer to the page on this site on calculating volatility. However, I am not sure on the profit probability - do you mean the probability that the option will expire in the money? Sunil June 26th, 2011 at 2:24am. How do i calculate the following.

I want to write a program to run it on various stocks at a time and do first level scanning. 2. Implied volatility. 3. Historical Volatility. 4. Profit Probability. Peter June 18th, 2011 at 2:11am. Pop up? What do you mean? shark June 17th, 2011 at 2:25am. where is the pop up. Peter June 4th, 2011 at 6:46am. DevRaj June 4th, 2011 at 5:55am. Very useful nice article and the excel is very good. Still one question.

How to calculate volatility using (option price, spot price, time ) Satya May 10th, 2011 at 6:55am. Peter March 28th, 2011 at 4:43pm. It works for any European option - irrespective of the country where the options are traded. Emma March 28th, 2011 at 7:45am. Do you have it for Irish stocks. Peter March 9th, 2011 at 9:29pm. Hi Karen, those are some great points! Karen Oates March 9th, 2011 at 8:51pm. Is your option trading not working because you haven't found that right system yet or because you won't stick to one system? Peter January 20th, 2011 at 5:18pm. Sure, you can use implied volatility if you like.

But the point of using a pricing model is for you have your own idea of volatility so you know when the market is "implying" a value different to your own. Then, you are in a better position to determine if the option is cheap or expensive based on historical levels. t castle January 20th, 2011 at 12:50pm. The Greeks that are calculated on the OptionPage tab of OptionTradingWorkbook. xls appear to be dependent on Historical Volatility. Should not the Greeks be determined by Implied Volatility? Comparing the values of the Greeks calculated by this workbook produces values that agree with, e. g., the values at TDAmeritrade or ThinkOrSwim only if the formulas are edited to replace HV with IV. Peter January 20th, 2011 at 5:40am. Not yet - do you have any examples you can suggest? What pricing model do they use? r January 20th, 2011 at 5:14am. anything available for interest rate options? Peter January 19th, 2011 at 8:48pm. It is the expected volatility that the underlying will realize from now until the expiration date.

general question January 19th, 2011 at 5:13pm. hi, is the historical volatility input annualized vol, or vol for the period from today to expiration date? thanks. imlak January 19th, 2011 at 4:48am. very good, it solved my proble. SojaTrader January 18th, 2011 at 8:50am. very happy with the spreadsheet. thanks and regards from Argentina. Peter December 19th, 2010 at 9:30pm. Hi Madhuri, do you have Macros enabled? Please see the support page for details.

madhuri December 18th, 2010 at 3:27am. same opinion i have about the spread sheet that. "this model doesn't work, no matter what you put in on the basic page for values, it has an invalid name error (#name?) for all the results cells. Even when you first open the thing, the default values the creator put in don't even work" MD November 25th, 2010 at 9:29am. Is these formulas will work for indian market? Please answer. rick November 6th, 2010 at 6:23am. Do you have it for US stocks. egress63 November 2nd, 2010 at 7:19am. Excellent stuff. Finally a good site with a simple and easy to use spreadsheet!

Dinesh October 4th, 2010 at 7:55am. Guys, this works and it is pretty easy. Just enable macros in excel. The way it has been put is very simple and with little understnading of Options any one can use it. Great work specially Option Strategies & Option Page. Peter January 3rd, 2010 at 5:44am. The shape of the graphs is the same but the values are different. robert January 2nd, 2010 at 7:05am. All graph in Theta sheet are identic. Are Call Oprion Price graph data correct? thx. daveM January 1st, 2010 at 9:51am. The thing opened immediately for me, works like a charm. and the Benninga book.

I am so pleased that you referenced it. Peter December 23rd, 2009 at 4:35pm. Hi Song, do you have the actual formula for Asian options? Song December 18th, 2009 at 10:30pm. I need your help about the Asian option pricing using excel vba. I don't know how to write the code. Peter November 12th, 2009 at 6:01pm. Does the spreadsheet not work with OpenOffice? Wondering November 11th, 2009 at 8:09am. Any solutions that will work with OpenOffice? rknox April 24th, 2009 at 10:55am. Very Cool! Very nicely done. You sir, are an artist.

One old hacker (76 years old - started on the PDP 8) to another. Peter April 6th, 2009 at 7:37am. Ken April 6th, 2009 at 5:21am. Hi, What if i am using the Office on Mac? it has an invalid name error (#name?) for all the results cells. thx. giggs April 5th, 2009 at 12:14pm. Ok, it's working now. I saved & closed the excel file, opened again, and the results were there, in the blue areas! FYI, I had enabled all the macros in "Security of the macros" . Can't wait to play with the file now. giggs April 5th, 2009 at 12:06pm.

I don't see the popup. I use Excel 2007 under Vista. The presentation is quite different from the previous versions. I enabled all macros. But I still get the #name error. Any idea? giggs April 5th, 2009 at 12:00pm. I don't see the popup. I use Excel 2007 under Vista. The presentation is quite different from the previous versions. Any idea? Admin March 23rd, 2009 at 4:17am. disappointed March 22nd, 2009 at 4:25pm. this model doesn't work, no matter what you put in on the basic page for values, it has an invalid name error (#name?

) for all the results cells. Even when you first open the thing, the default values the creator put in don't even work.