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If you have any suggestions for this workbook or even have a bug to report, please feel free to email:

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VBA
The formulas used for this spreadsheet were based on the call and put price functions by Simon Benninga
in his book Financial Modelling.

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.

## You can also visiti the Trouble Shooting page:

Basic
The worksheet labelled Basic is a simple option pricer.
Enter the pricing inputs into the white cells, C3 to C9.
The model will generate theoretical values for a call and put option.

PayoffGraphs
This table shows you the payoff profile for basic long/short call and put options.
You change the selection from the dropdown menu under the inputs table.
The P&L is calculated assuming the contract size of the option is 100.

OptionStrategies
The Strategies tab lets you enter combinations of option positions so you can view the payoff/risk graphs.
The underlying data is to be entered into the white cells in column P.
Enter the option/stock legs in columns B through to K.
For Type, just enter "c" for call options, "p" for put options and "s" for stock/futures position.
You don't need to enter a market price; you can use your own input volatility in row 9.
However, if you do enter a market price the sheet will calculate the Implied Volatility from those prices.
If you are going to do simulations on the date by using the Toggle arrows, then you will need to copy over
the implied vols into the model vols by using the CopyVols button.
feel free to email:

Simon Benninga
the payoff/risk graphs.

## ty from those prices.

will need to copy over

Underlying Price 1000 The current base price of the instrument, eg, the closing price of
Exercise Price 1000 The price at which the underlying instrument will be exchanged.
Today's Date 1/29/2019
Expiry Date 3/24/2019 The Date which the contract expires
Historical Volatility 25% The Historical Volatility of the asset's returns
Risk Free Rate 5.00% The current risk free interest rate i.e. your return on cash held in
Dividened Yield 0.00% The Annualized Dividend Growth Rate of the Stock

## Call Option Put Option

Theoretical Price #VALUE! #VALUE!
Delta #VALUE! #VALUE! The amount that the theoretical price will chan
Gamma #VALUE! #VALUE! The amount that the Delta will change if the m
Theta #VALUE! #VALUE! The amount that the theoretical price will chan
Vega #VALUE! #VALUE! The amount that the theoretical price will chan
Rho #VALUE! #VALUE! The amount that the theoretical price will chan

## Call Option Put Option

Market Price 42.00 38.00
Implied Volatility #VALUE! #VALUE! The volatility that is implied by the market price
ent, eg, the closing price of Microsft Stock
trument will be exchanged. Also called Strike Price

e of the Stock

## e theoretical price will change if the market moves up/down 1 point

e Delta will change if the market moves up/down 1 point
e theoretical price will change when 1 day passes.
e theoretical price will change if the volatility of the asset moves up/down by 1 percentage point
e theoretical price will change if interest rates move up/down by 1 percentage point

## implied by the market prices of the options

Underlying Price 25.00
Long Call
Exercise Price 25.00
12.00
Today's Date 1/29/2019
Expiry Date 2/28/2019
10.00
Historical Volatility 25%
Risk Free Rate 5.00%
8.00
Dividened Yield 0.00%
Long Call
6.00

4.00

2.00

0.00
23.8 24.0 24.3 24.5 24.8 25.0 25.3
Payoff Theoretica l

## Payoff #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!

Theoretical #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Stock Price 23.8 24.0 24.3 24.5 24.8 25.0
Long Call

## 24.8 25.0 25.3 25.5 25.8 26.0 26.3

Payoff Theoretica l

## #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!

#VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
25.3 25.5 25.8 26.0 26.3
Pos1 Pos2 Pos3 Pos4 Pos5 Pos6 Pos7
Expiry Date 28-Feb 28-Feb
Contracts -1 1
Type Call Call
Strike 35 36
Market Price
Implied Volatility #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Model Volatility 25.00% 35.00% 25.00% 25.00% 25.00% 25.00% 25.00%
Theoretical Price #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Premium Used #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Delta #VALUE! #VALUE! 0.00 0.00 0.00 0.00 0.00
Gamma #VALUE! #VALUE! 0.00 0.00 0.00 0.00 0.00
Theta #VALUE! #VALUE! 0.00 0.00 0.00 0.00 0.00
Vega #VALUE! #VALUE! 0.00 0.00 0.00 0.00 0.00
Rho #VALUE! #VALUE! 0.00 0.00 0.00 0.00 0.00

## Payoff at Expiration P&L (Theoretical)

12.0 12.0

10.0 10.0

8.0 8.0

6.0 6.0

4.0 4.0

2.0 2.0

0.0 0.0
32.0 33.0 34.0 35.0 36.0 37.0 38.0 39.0 40.0 41.0 42.0 32.00 33.00 34.00 35.00 36.00 37.00 38.00

Payoff at Expiration
Underlying Price 32.0 33.0 34.0 35.0 36.0 37.0 38.0
Pos1 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Pos2 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Pos3 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Pos4 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Pos5 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Pos6 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Pos7 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Pos8 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Pos9 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Pos10 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Total #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!

P&L (Theoretical)
Underlying Price 32.00 33.00 34.00 35.00 36.00 37.00 38.00
Pos1 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Pos2 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Pos3 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Pos4 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Pos5 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Pos6 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Pos7 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Pos8 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Pos9 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Pos10 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Total #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!

Lookup Table
1 P&L (Theoretical)
1 P&L (Theoretical)
2 Delta
3 Gamma
4 Theta
5 Vega
6 Rho
Pos8 Pos9 Pos10 Total Underlying Price 37.00
Date Offset 0
Option Multiplier 100
Risk Free Rate 3.50%
Dividend Yield 0.00%
Graph Increment 1.00
#VALUE! #VALUE! #VALUE! Calculation Date 29-Jan-19
25.00% 25.00% 25.00%
#VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE! Total Cost
0.00 0.00 0.00 #VALUE! Position Delta
0.00 0.00 0.00 #VALUE! Position Gamma
0.00 0.00 0.00 #VALUE! Position Theta
0.00 0.00 0.00 #VALUE! Position Vega
0.00 0.00 0.00 #VALUE! Position Rho

P&L (Theoretical)
P&L (Theoretical)

## 39.0 40.0 41.0 42.0

#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
#VALUE! #VALUE! #VALUE! #VALUE!

## 39.00 40.00 41.00 42.00

#VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! #VALUE! #VALUE!

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