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Introduction
This spreadsheet is provided free of charge for you to use to further your education in options trading.
The formulas used were taken from two great books on option trading
Option Volatility and Pricing by Sheldon Natenberg
Financial Models using Excel by Simon Benninga
You can read more about these books from the www.OptionTradingTips.com website
http://www.optiontradingtips.com
If you have any suggestions for this workbook or even have a bug to report, please feel free to email
me at admin@optiontradingtips.com
To stay up to date with changes to this workbook and other modifications to the website, please feel free
to subscribe:
http://www.optiontradingtips.com/subscribe.html
I have written all the formulas in Visual Basic using modules and are freely disclosed, so you may examine
the logic, edit and change the calculations as you like.
Troubleshooting
You will need to have Macros enabled for the calculations to work.
Follow the steps below to enable Macros:
Excel 97 - 2003
Go to Tools/Options
Click on the Security tab
Go to Macro Security
Change the setting to Medium
Close and reopen the workbook. It will ask you if you want to enable Macros, click Yes
Excel 2007
First, make sure that you can see the Developer tab
If there is no Developer tab, click on the Office icon to the top left of the application
and choose Excel Options, which is located at the bottom right of the popup.
Now click on Popular at the top left. Check the box titled "Show developer tab in the ribbon".
Now, click on the Developer tab.
Click on Macro Security.
Select "Disable all macros with notification" and press ok.
Close and reopen spreadsheet.
Now you should see a Security Warning appear in the toolbar
that reads "Macros have been disabled". Click on the options button.
Select "Enable this content" and press ok.
Release Updates
11/06/07 - Fixed a bug on the OptionStrategies tab. The greeks for Stock positions were previously displaying
27/04/06 - Fixed a bug that failed to calculate the theoretical change in P&L for stocks in the strategies tab.
28/08/06 - Fixed a small calculation bug for the Option Theta, which now has a near perfect accuracy.
1/10/06 - Added support for Dividend Yield, which can be used as a workaround to price options on futures
by making the Dividend Yield the same as the Interest Rate.
Basic
The worksheet labelled Basic is a simple option pricer.
You simply enter the option details into the yellow shaded areas and
the output values will be displayed underneath in the blue shaded cells.
OptionPage
OptionPage is a worksheet that allows you to price a string of calls and puts for the same expiration
date. Again, you enter the option details into the yellow cells and the output values are in the blue
shaded cells.
You can calculate the market implied volatility for each option by simply typing in the market price of
the option in the column labelled "Market Price" and the volatility implied by the option's market value
will show in the column "Implied Volatility".
Column's A and L are where you can change the strike prices used for the calculations. Or you can just
have the values derive straight from the Underlying Price by default.
OptionStrategies
This worksheet lets you enter combinations of options positions so you can view the payoff/risk graphs.
The underlying data for the options is taken from the information entered into the OptionPage worksheet.
Then just enter the number of contracts for each position and remember to put a negative number for sell
positions.
For Type, just enter "c" for call options, "p" for put options and "s" for stock/futures position.
If you know what the option is trading at, you can enter the market price in the "override premium"
row to calculate the P&L of the position after taking into account the actual price of the option.
StrategyGraphs
This worksheet will show the current Greek position values of your option strategy while referencing the
a range of underlying prices. You can change the range of values by changing the cell A17 in the OptionStrateg
worksheet.
nTradingTips.com website
n the ribbon".
ures position.
"override premium"
e of the option.
http://www.OptionTradingTips.com
Underlying Price
Exercise Price
Today's Date
Expiry Date
Historical Volatility
Risk Free Rate
Dividened Yield
DTE (Years)
Theoretical Price
Delta
Gamma
Theta
Vega
Rho
1000
1000
8/14/2015
9/6/2015
20%
5.00%
0.00%
0.06
The current base price of the instrument, eg, the closing price of Microsft Sto
The price at which the underlying instrument will be exchanged. Also called S
The Date which the contract expires
The Historical Volatility of the asset's returns
The current risk free interest rate i.e. your return on cash held in the bank
The Annualized Dividend Growth Rate of the Stock
The amount that the theoretical price will change if the market m
The amount that the Delta will change if the market moves up/d
The amount that the theoretical price will change when 1 day p
The amount that the theoretical price will change if the volatility
The amount that the theoretical price will change if interest rate
25.00
14-Aug-15
30.00%
8-Sep-15
3.50%
2.00%
25
0.07
Strike Prices
22.50
23.00
23.50
24.00
24.50
25.00
25.50
26.00
26.50
27.00
27.50
Underlying Price
Today's Date
Historical Volatility
Expiry Date
Risk Free Rate
Dividend Yield
DTE
DTE in Years
ITM
ITM
ITM
ITM
ITM
ATM
OTM
OTM
OTM
OTM
OTM
TheoretiMarket
Price Price
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Call Options
Implied
Option Greeks
Volatility Delta
Gamma Vega
Theta
Rho
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rice multiple strikes for calls and puts for the same Expiry
. Remember, you can customise your own workbook any way
Strike Prices
22.50
23.00
23.50
24.00
24.50
25.00
25.50
26.00
26.50
27.00
27.50
OTM
OTM
OTM
OTM
OTM
ATM
ITM
ITM
ITM
ITM
ITM
TheoretiMarket
Price Price
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Put Options
Implied
Option Greeks
Volatility Delta
Gamma Vega
Theta
Rho
###
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Strat1
Contracts
Type
Strike
Calculated Premium
Override Premium
Premium Used
Delta
Gamma
Theta
Vega
Rho
Strat2
Strat3
Strat4
Strat5
Strat6
Strat7
1
-1
Stock
Call
25
25
#VALUE! #VALUE!
0.00
0.00
0.00
0.00
0.00
#VALUE!
1.00
0.00
0.00
0.00
0.00
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0.00
0.00
0.00
0.00
0.00
0.00
Graph Increment
1.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
10.00
8.00
6.00
4.00
2.00
0.00
20
21
22
23
24
25
26
27
28
29
30
25
26
27
28
29
30
0.00
1.00
2.00
3.00
4.00
5.00
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Underlying Price
20
21
22
23
24
25
26
27
28
29
30
23
24
25
26
27
28
29
30
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat8
Strat9
Strat10
Total
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Strat8
Strat9
Strat10
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
P&L
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Strat8
Strat9
Strat10
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
P&L
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Total Cost
Position Delta
Position Gamma
Position Theta
Position Vega
Position Rho
Intercept
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Strat8
Strat9
Strat10
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Total
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Strat8
Strat9
Strat10
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Total
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Strat8
Strat9
Strat10
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Total
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Strat8
Strat9
Strat10
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Total
#VALUE!
#VALUE!
#VALUE!
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Strat8
Strat9
Strat10
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Total
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
Delta
P&L at Expiration
12.00
12.00
10.00
10.00
8.00
8.00
6.00
6.00
4.00
4.00
2.00
2.00
0.00
0.00
20
21
22
23
24
25
26
27
28
29
30
20
21
22
23
Gamma
24
25
26
27
25
26
27
25
26
27
Theta
12.00
12.00
10.00
10.00
8.00
8.00
6.00
6.00
4.00
4.00
2.00
2.00
0.00
0.00
20
21
22
23
24
25
26
27
28
29
30
20
21
22
23
Vega
24
Rho
12.00
12.00
10.00
10.00
8.00
8.00
6.00
6.00
4.00
4.00
2.00
2.00
0.00
0.00
20
21
22
23
24
25
26
27
28
29
30
20
21
22
23
24
Delta
23
24
25
26
27
28
29
30
25
26
27
28
29
30
25
26
27
28
29
30
Theta
23
24
Rho
23
24
IMPLIED VOLATILITY
Low
Bearish
Neutral
Sell the
Underlying
M
A
R
K
E
T
D
I
R
E
C
T
I
O
N
Do Nothing
Buy Straddles/Strangles
Sell ATM Call Or Put Butterflies
Buy ATM Call Or Put Time Spreads
Bullish
Buy the
Underlying
VOLATILITY
High
Sell Naked Calls
Bear Vertical Spreads:
Buy OTM Call/Sell ATM Call
Buy OTM (ITM) Call (Put) Time Spreads
Buy ITM (OTM) Call (Put) Butterflies
Sell OTM (ITM) Call (Put) Time Spreads
Ratio Vertical Spreads
Sell Straddles/Strangles
Buy ATM Call Or Put Butterflies
Sell ATM Call Or Put Time Spreads
Sell Naked Puts
Bull Vertical Spreads
Buy ITM Call/Sell ATM Call
Buy OTM Put/Sell ATM Put
Buy OTM (ITM) Call (Put) Butterflies
Sell ITM (OTM) Call (Put) Time Spreads
100
100
###
25.00%
13-Oct-15
0%
0%
60
0.16
Underlying Price
Exercise Price
Today's Date
Historical Volatility
Expiry Date
Risk Free Rate
Dividend Yield
DTE
DTE in Years
75
80
85
90
95
100
105
110
90 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
100 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
110 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
6
4
2
0
75
80
85
90
95
100
105
110
115
120
125
115
120
125
#VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE!
100
100
###
25.00%
13-Oct-15
0%
0%
60
0.16
Underlying Price
Exercise Price
Today's Date
Historical Volatility
Expiry Date
Risk Free Rate
Dividend Yield
DTE
DTE in Years
75
80
85
90
95
100
105
110
90 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
100 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
110 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
6
4
2
0
75
80
85
90
95
100
105
110
115
120
125
115
120
125
#VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE!
100
100
###
25.00%
13-Oct-15
0%
0%
60
0.16
Underlying Price
Exercise Price
Today's Date
Historical Volatility
Expiry Date
Risk Free Rate
Dividend Yield
DTE
DTE in Years
100
90
80
70
60
50
40
30
100 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
100 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Call Theta
12
12
10
10
2
0
0
100
90
80
70
60
50
40
30
20
10
100
90
80
70
60
50
40
30
20
DTE
20
10
1
#VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE!
70
60
50
40
30
20
10
100
99
98
97
96
95
94
93
92
91
90
89
88
87
86
85
84
83
82
81
80
79
78
77
76
75
74
73
72
71
70
69
68
67
66
65
64
63
62
61
60
59
58
57
56
55
54
53
52
51
50
49
Theta
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
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Theo
#VALUE!
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48
47
46
45
44
43
42
41
40
39
38
37
36
35
34
33
32
31
30
29
28
27
26
25
24
23
22
21
20
19
18
17
16
15
14
13
12
11
10
9
8
7
6
5
4
3
2
1
#VALUE!
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