Option Trading Workbook 5u162s
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Version 2.1
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 [email protected] 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 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 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 " row to calculate the P&L of the position after taking into 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.
ation in options trading.
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tions were previously displaying as Put options. r stocks in the strategies tab. a near perfect accuracy. d to price options on futures
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egy while referencing the the cell A17 in the OptionStrategies
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
100 100 3/26/2012 4/18/2012 20% 5.00% 0.00% 0.06
The current base price of the instrument, eg, the closing price of Microsft Stock The price at which the underlying instrument will be exchanged. Also called Strike Pric 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
Call Option Put Option 2.1608 1.8462 0.5350 -0.4650 The amount that the theoretical price will change if the market moves up 0.0792 0.0792 The amount that the Delta will change if the market moves up/down 1 po -0.0504 -0.0368 The amount that the theoretical price will change when 1 day es. 0.0998 0.0998 The amount that the theoretical price will change if the volatility of the as 0.0324 -0.0305 The amount that the theoretical price will change if interest rates move u
ent, eg, the closing price of Microsft Stock rument will be exchanged. Also called Strike Price
your return on cash held in the bank
oretical price will change if the market moves up/down 1 point lta will change if the market moves up/down 1 point oretical price will change when 1 day es. oretical price will change if the volatility of the asset moves up/down by 1 percentage point oretical price will change if interest rates move up/down by 1 percentage point
25.00 26-Mar-12 30.00% 20-Apr-12 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
Theoretical Market Price Price 2.59 2.16 1.75 1.38 1.06 0.79 0.58 0.40 0.27 0.18 0.12
<-- Yellow cells are for input <-- Blue cells are the calculated outputs This worksheet allows you to price multiple strikes for calls and puts with the same Underlying Price. , you can customise your you like by using the formulas provided.
Call Options Implied Option Greeks Volatility Delta Gamma Vega Theta Rho 0.00% 0.92 0.0769 0.0099 -0.0079 0.0139 0.00% 0.87 0.1092 0.0140 -0.0103 0.0134 0.00% 0.80 0.1428 0.0183 -0.0127 0.0125 0.00% 0.72 0.1725 0.0222 -0.0149 0.0113 0.00% 0.62 0.1937 0.0249 -0.0163 0.0099 0.00% 0.52 0.2030 0.0261 -0.0168 0.0084 0.19% 0.42 0.1992 0.0256 -0.0163 0.0068 0.39% 0.33 0.1839 0.0236 -0.0149 0.0053 0.58% 0.25 0.1602 0.0206 -0.0129 0.0040 0.77% 0.18 0.1322 0.0170 -0.0106 0.0029 0.96% 0.12 0.1035 0.0133 -0.0083 0.0020
rice multiple strikes for calls and puts for the same Expiry e. , 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
Theoretical Market Price Price 0.08 0.14 0.23 0.36 0.54 0.77 1.05 1.38 1.74 2.15 2.58
Put Options Implied Option Greeks Volatility Delta Gamma Vega Theta 1.09% -0.08 0.0769 0.0099 -0.0057 0.86% -0.13 0.1092 0.0140 -0.0081 0.64% -0.20 0.1428 0.0183 -0.0105 0.42% -0.28 0.1725 0.0222 -0.0126 0.22% -0.38 0.1937 0.0249 -0.0140 0.01% -0.48 0.2030 0.0261 -0.0144 0.00% -0.58 0.1992 0.0256 -0.0139 0.00% -0.67 0.1839 0.0236 -0.0124 0.00% -0.75 0.1602 0.0206 -0.0104 0.00% -0.82 0.1322 0.0170 -0.0080 0.00% -0.88 0.1035 0.0133 -0.0056
Rho -0.0014 -0.0024 -0.0036 -0.0051 -0.0068 -0.0087 -0.0106 -0.0124 -0.0141 -0.0156 -0.0168
Strat1 Contracts Type Strike Calculated Override Used Delta Gamma Theta Vega Rho
Strat2
Strat3
Strat4
Strat5
Strat6
Strat7
1 Stock 25 0.77
-1 Call 25 0.79
0.00
0.00
0.00
0.00
0.00
0.77 1.00 0.00 0.00 0.00 0.00
0.79 -0.52 -0.20 0.02 -0.03 -0.01
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
Graph Increment 1.00
Profit / Loss at Expiration 2.00 1.00 0.00 20
21
22
23
24
25
26
27
28
29
30
-1.00 -2.00 -3.00 -4.00 -5.00
P&L Payoff at Expiration Matrix Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 20 -5.00 0.79 0.00 0.00 0.00 0.00 0.00 21 -4.00 0.79 0.00 0.00 0.00 0.00 0.00 22 -3.00 0.79 0.00 0.00 0.00 0.00 0.00 23 -2.00 0.79 0.00 0.00 0.00 0.00 0.00 24 -1.00 0.79 0.00 0.00 0.00 0.00 0.00 25 0.00 0.79 0.00 0.00 0.00 0.00 0.00 26 1.00 -0.21 0.00 0.00 0.00 0.00 0.00 27 2.00 -1.21 0.00 0.00 0.00 0.00 0.00 28 3.00 -2.21 0.00 0.00 0.00 0.00 0.00 29 4.00 -3.21 0.00 0.00 0.00 0.00 0.00 30 5.00 -4.21 0.00 0.00 0.00 0.00 0.00 Current Theoretical P&L Relative to Underlying Price Changes Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 20 -5.00 0.79 0.00 0.00 0.00 0.00 0.00 21 -4.00 0.79 0.00 0.00 0.00 0.00 0.00 22 -3.00 0.75 0.00 0.00 0.00 0.00 0.00 23 -2.00 0.65 0.00 0.00 0.00 0.00 0.00 24 -1.00 0.42 0.00 0.00 0.00 0.00 0.00 25 0.00 0.00 0.00 0.00 0.00 0.00 0.00 26 1.00 -0.62 0.00 0.00 0.00 0.00 0.00
27 28 29 30
2.00 3.00 4.00 5.00
-1.40 -2.29 -3.25 -4.23
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
Current Position Delta Relative to Underlying Price Changes Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 20 1.00 0.00 0.00 0.00 0.00 0.00 0.00 21 1.00 -0.02 0.00 0.00 0.00 0.00 0.00 22 1.00 -0.06 0.00 0.00 0.00 0.00 0.00 23 1.00 -0.16 0.00 0.00 0.00 0.00 0.00 24 1.00 -0.32 0.00 0.00 0.00 0.00 0.00 25 1.00 -0.52 0.00 0.00 0.00 0.00 0.00 26 1.00 -0.71 0.00 0.00 0.00 0.00 0.00 27 1.00 -0.85 0.00 0.00 0.00 0.00 0.00 28 1.00 -0.93 0.00 0.00 0.00 0.00 0.00 29 1.00 -0.97 0.00 0.00 0.00 0.00 0.00 30 1.00 -0.99 0.00 0.00 0.00 0.00 0.00 Current Position Gamma Relative to Underlying Price Changes Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 20 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 21 0.00 -0.02 0.00 0.00 0.00 0.00 0.00 22 0.00 -0.07 0.00 0.00 0.00 0.00 0.00 23 0.00 -0.13 0.00 0.00 0.00 0.00 0.00 24 0.00 -0.19 0.00 0.00 0.00 0.00 0.00 25 0.00 -0.20 0.00 0.00 0.00 0.00 0.00 26 0.00 -0.17 0.00 0.00 0.00 0.00 0.00 27 0.00 -0.11 0.00 0.00 0.00 0.00 0.00 28 0.00 -0.06 0.00 0.00 0.00 0.00 0.00 29 0.00 -0.03 0.00 0.00 0.00 0.00 0.00 30 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 Current Position Theta Relative to Underlying Price Changes Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 21 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22 0.00 0.00 0.00 0.00 0.00 0.00 0.00 23 0.00 0.01 0.00 0.00 0.00 0.00 0.00 24 0.00 0.01 0.00 0.00 0.00 0.00 0.00 25 0.00 0.02 0.00 0.00 0.00 0.00 0.00 26 0.00 0.02 0.00 0.00 0.00 0.00 0.00 27 0.00 0.01 0.00 0.00 0.00 0.00 0.00 28 0.00 0.01 0.00 0.00 0.00 0.00 0.00 29 0.00 0.01 0.00 0.00 0.00 0.00 0.00 30 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Current Position Vega Relative to Underlying Price Changes Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 21 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 23 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 24 0.00 -0.02 0.00 0.00 0.00 0.00 0.00 25 0.00 -0.03 0.00 0.00 0.00 0.00 0.00 26 0.00 -0.02 0.00 0.00 0.00 0.00 0.00
27 28 29 30
0.00 0.00 0.00 0.00
-0.02 -0.01 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
Current Position Rho Relative to Underlying Price Changes Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 21 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22 0.00 0.00 0.00 0.00 0.00 0.00 0.00 23 0.00 0.00 0.00 0.00 0.00 0.00 0.00 24 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 26 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 27 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 28 0.00 -0.02 0.00 0.00 0.00 0.00 0.00 29 0.00 -0.02 0.00 0.00 0.00 0.00 0.00 30 0.00 -0.02 0.00 0.00 0.00 0.00 0.00
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
Strat8
Strat9 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Strat8
-0.03 0.48 -0.20 0.02 -0.03 -0.01
Total Cost Position Delta Position Gamma Position Theta Position Vega Position Rho
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Strat10 P&L Intercept 0.00 -4.21 0.00 0.00 -3.21 0.00 0.00 -2.21 0.00 0.00 -1.21 0.00 0.00 -0.21 24.21 0.00 0.79 0.00 0.00 0.79 0.00 0.00 0.79 0.00 0.00 0.79 0.00 0.00 0.79 0.00 0.00 0.79 #DIV/0!
0.00 0.00 0.00 0.00 0.00 0.00 0.00
Strat10 P&L 0.00 -4.21 0.00 -3.21 0.00 -2.25 0.00 -1.35 0.00 -0.58 0.00 0.00 0.00 0.38
Strat9 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Total
0.00 0.00 0.00 0.00
Strat8
0.00 0.00 0.00 0.00
Strat9 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Strat8
Strat8
Strat10 Total 0.00 1.00 0.00 0.98 0.00 0.94 0.00 0.84 0.00 0.68 0.00 0.48 0.00 0.29 0.00 0.15 0.00 0.07 0.00 0.03 0.00 0.01
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Strat10 Total 0.00 -0.01 0.00 -0.02 0.00 -0.07 0.00 -0.13 0.00 -0.19 0.00 -0.20 0.00 -0.17 0.00 -0.11 0.00 -0.06 0.00 -0.03 0.00 -0.01
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Strat10 Total 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.01 0.00 0.02 0.00 0.02 0.00 0.01 0.00 0.01 0.00 0.01 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
Strat10 Total 0.00 0.00 0.00 0.00 0.00 -0.01 0.00 -0.01 0.00 -0.02 0.00 -0.03 0.00 -0.02
Strat9 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Strat8
Strat9 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.60 0.71 0.75 0.77
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Strat9 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
0.00 0.00 0.00 0.00
Strat9 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
-0.02 -0.01 0.00 0.00
Strat10 Total 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -0.01 0.00 -0.01 0.00 -0.01 0.00 -0.02 0.00 -0.02 0.00 -0.02
P&L at Expiration
Delta
2.00
1.20
1.00
1.00
0.00 -1.00
0.80 20
21
22
23
24
25
26
27
28
29
30 0.60
-2.00
0.40
-3.00
0.20
-4.00
0.00 20
-5.00
21
22
23
Gamma
24
Theta
0.00
0.02 20
21
22
23
24
25
26
27
28
29
30
-0.05
0.02 0.01 0.01
-0.10
0.01 0.01
-0.15
0.01 0.00
-0.20
0.00 0.00 20
-0.25
21
22
23
Vega
Rho
0.00
0.00 20
-0.01 -0.01 -0.02 -0.02 -0.03 -0.03
24
21
22
23
24
25
26
27
28
29
30
0.00 0.00 -0.01 -0.01 -0.01 -0.01 -0.01 -0.02 -0.02
20
21
22
23
24
Delta
25
26
27
28
29
30
26
27
28
29
30
26
27
28
29
30
Theta
25
Rho
24
25
IMPLIED VOLATILITY Low
Bearish M A R K E T D I R E C T I O N
Neutral
Buy Naked Puts
Sell the
Bear Vertical Spreads:
Underlying
Buy ATM Call/Sell ITM Call Buy ATM Put/Sell OTM Put Sell OTM (ITM) Call (Put) Butterflies Buy ITM (OTM) Call (Put) Time Spreads Backspreads
Neutral
Do Nothing
Buy Straddles/Strangles Sell ATM Call Or Put Butterflies Buy ATM Call Or Put Time Spreads
Bullish
Buy Naked Calls
Buy the
Bull Vertical Spreads
Underlying
Buy ATM Call/Sell OTM Call Buy ATM Put/Sell ITM Put Sell ITM (OTM) Call (Put) Butterflies Buy OTM (ITM) Call (Put) Time Spreads
IMPLIED 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 26-Mar-12 25.00% ######## 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 0.011388 0.026531 0.04059 0.043676 0.034933 0.021726 0.010904 0.004554 100 0.001078 0.004869 0.013871 0.026822 0.03735 0.039308 0.032538 0.021898 110 5.04E-05 0.000414 0.00207 0.006803 0.015644 0.026496 0.034487 0.035735
Gamma vs Underlying Price 0.05 0.045 0.04 0.035 0.03
90
0.025
100
0.02
110
0.015 0.01 0.005 0 75
80
85
90
95
100
105
110
115
120
125
115 120 125 0.001624 0.000505 0.00014 0.012319 0.005931 0.002493 0.030365 0.021697 0.013318
100 100 26-Mar-12 25.00% ######## 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 0.026324 0.069781 0.12052 0.145386 0.129563 0.089285 0.049404 0.022646 100 0.002492 0.012806 0.041186 0.089285 0.138527 0.161541 0.147422 0.108888 110 0.000116 0.001089 0.006147 0.022646 0.05802 0.108888 0.156255 0.177695
Vega vs Underlying Price 0.2 0.18 0.16 0.14 0.12
90
0.1
100
0.08
110
0.06 0.04 0.02 0 75
80
85
90
95
100
105
110
115
120
125
115 120 125 0.008827 0.002991 0.000897 0.066954 0.035099 0.016008 0.16503 0.128396 0.085516
100 100 26-Mar-12 25.00% ######## 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
100 100
100 -0.02605 -0.02605 100.00%
90 -0.02746 -0.02746 100.00%
80 -0.02913 -0.02913 100.00%
70 -0.03115 -0.03115 100.00%
60 -0.03365 -0.03365 100.00%
50 -0.03687 -0.03687 100.00%
40 -0.04124 -0.04124 100.00%
Call Theta
Call Option Price
0 100
90
80
70
60
50
30 -0.04762 -0.04762 100.00%
40
30
20
10
1
0 100
-0.05
-0.05
-0.1
-0.1
-0.15
-0.15
-0.2
-0.2
-0.25
-0.25
-0.3
-0.3
90
80
70
60
50
DTE
20 -0.05834 -0.05834 100.00%
10 -0.08252 -0.08252 100.00%
1 -0.26101 -0.26101 100.00%
Call Option Price
50
40
30
20
10
1
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
Theta Theo % Diff -0.03 5.22 -0.50% -0.03 5.19 -0.50% -0.03 5.16 -0.51% -0.03 5.14 -0.51% -0.03 5.11 -0.52% -0.03 5.08 -0.53% -0.03 5.06 -0.53% -0.03 5.03 -0.54% -0.03 5.00 -0.54% -0.03 4.98 -0.55% -0.03 4.95 -0.55% -0.03 4.92 -0.56% -0.03 4.89 -0.57% -0.03 4.87 -0.57% -0.03 4.84 -0.58% -0.03 4.81 -0.59% -0.03 4.78 -0.59% -0.03 4.75 -0.60% -0.03 4.72 -0.61% -0.03 4.70 -0.62% -0.03 4.67 -0.62% -0.03 4.64 -0.63% -0.03 4.61 -0.64% -0.03 4.58 -0.65% -0.03 4.55 -0.66% -0.03 4.52 -0.67% -0.03 4.49 -0.67% -0.03 4.46 -0.68% -0.03 4.43 -0.69% -0.03 4.40 -0.70% -0.03 4.37 -0.71% -0.03 4.33 -0.72% -0.03 4.30 -0.73% -0.03 4.27 -0.75% -0.03 4.24 -0.76% -0.03 4.21 -0.77% -0.03 4.17 -0.78% -0.03 4.14 -0.79% -0.03 4.11 -0.81% -0.03 4.08 -0.82% -0.03 4.04 -0.83% -0.03 4.01 -0.85% -0.03 3.97 -0.86% -0.03 3.94 -0.88% -0.03 3.91 -0.89% -0.04 3.87 -0.91% -0.04 3.83 -0.93% -0.04 3.80 -0.94% -0.04 3.76 -0.96% -0.04 3.73 -0.98%
50 49 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
-0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.05 -0.05 -0.05 -0.05 -0.05 -0.05 -0.05 -0.05 -0.05 -0.05 -0.05 -0.06 -0.06 -0.06 -0.06 -0.06 -0.06 -0.07 -0.07 -0.07 -0.07 -0.08 -0.08 -0.08 -0.09 -0.09 -0.10 -0.11 -0.12 -0.13 -0.15 -0.18 -0.26
3.69 3.65 3.62 3.58 3.54 3.50 3.46 3.42 3.38 3.34 3.30 3.26 3.22 3.17 3.13 3.09 3.04 3.00 2.95 2.91 2.86 2.81 2.76 2.71 2.66 2.61 2.56 2.50 2.45 2.39 2.33 2.28 2.21 2.15 2.09 2.02 1.95 1.88 1.81 1.73 1.65 1.57 1.48 1.38 1.28 1.17 1.04 0.90 0.74 0.52
-1.00% -1.02% -1.04% -1.06% -1.09% -1.11% -1.14% -1.16% -1.19% -1.22% -1.25% -1.28% -1.32% -1.35% -1.39% -1.43% -1.47% -1.51% -1.56% -1.61% -1.67% -1.72% -1.79% -1.85% -1.92% -2.00% -2.08% -2.17% -2.27% -2.38% -2.50% -2.63% -2.78% -2.94% -3.12% -3.33% -3.57% -3.85% -4.17% -4.54% -5.00% -5.55% -6.25% -7.14% -8.33% -10.00% -12.50% -16.67% -25.00% -50.00%
1.01% 1.02% 1.03% 1.04% 1.05% 1.07% 1.08% 1.09% 1.10% 1.11% 1.13% 1.14% 1.15% 1.16% 1.18% 1.19% 1.21% 1.22% 1.24% 1.25% 1.27% 1.28% 1.30% 1.32% 1.33% 1.35% 1.37% 1.39% 1.41% 1.43% 1.45% 1.47% 1.49% 1.52% 1.54% 1.56% 1.59% 1.61% 1.64% 1.67% 1.70% 1.73% 1.76% 1.79% 1.82% 1.85% 1.89% 1.92% 1.96%
2.00% 2.04% 2.08% 2.13% 2.18% 2.22% 2.27% 2.33% 2.38% 2.44% 2.50% 2.57% 2.63% 2.70% 2.78% 2.86% 2.94% 3.03% 3.13% 3.23% 3.33% 3.45% 3.57% 3.71% 3.85% 4.00% 4.17% 4.35% 4.55% 4.76% 5.00% 5.26% 5.56% 5.88% 6.25% 6.67% 7.14% 7.69% 8.33% 9.09% 10.00% 11.11% 12.50% 14.29% 16.67% 20.00% 25.00% 33.34% 50.00% 100.00%
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 [email protected] 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 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 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 " row to calculate the P&L of the position after taking into 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.
ation in options trading.
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tions were previously displaying as Put options. r stocks in the strategies tab. a near perfect accuracy. d to price options on futures
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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
100 100 3/26/2012 4/18/2012 20% 5.00% 0.00% 0.06
The current base price of the instrument, eg, the closing price of Microsft Stock The price at which the underlying instrument will be exchanged. Also called Strike Pric 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
Call Option Put Option 2.1608 1.8462 0.5350 -0.4650 The amount that the theoretical price will change if the market moves up 0.0792 0.0792 The amount that the Delta will change if the market moves up/down 1 po -0.0504 -0.0368 The amount that the theoretical price will change when 1 day es. 0.0998 0.0998 The amount that the theoretical price will change if the volatility of the as 0.0324 -0.0305 The amount that the theoretical price will change if interest rates move u
ent, eg, the closing price of Microsft Stock rument will be exchanged. Also called Strike Price
your return on cash held in the bank
oretical price will change if the market moves up/down 1 point lta will change if the market moves up/down 1 point oretical price will change when 1 day es. oretical price will change if the volatility of the asset moves up/down by 1 percentage point oretical price will change if interest rates move up/down by 1 percentage point
25.00 26-Mar-12 30.00% 20-Apr-12 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
Theoretical Market Price Price 2.59 2.16 1.75 1.38 1.06 0.79 0.58 0.40 0.27 0.18 0.12
<-- Yellow cells are for input <-- Blue cells are the calculated outputs This worksheet allows you to price multiple strikes for calls and puts with the same Underlying Price. , you can customise your you like by using the formulas provided.
Call Options Implied Option Greeks Volatility Delta Gamma Vega Theta Rho 0.00% 0.92 0.0769 0.0099 -0.0079 0.0139 0.00% 0.87 0.1092 0.0140 -0.0103 0.0134 0.00% 0.80 0.1428 0.0183 -0.0127 0.0125 0.00% 0.72 0.1725 0.0222 -0.0149 0.0113 0.00% 0.62 0.1937 0.0249 -0.0163 0.0099 0.00% 0.52 0.2030 0.0261 -0.0168 0.0084 0.19% 0.42 0.1992 0.0256 -0.0163 0.0068 0.39% 0.33 0.1839 0.0236 -0.0149 0.0053 0.58% 0.25 0.1602 0.0206 -0.0129 0.0040 0.77% 0.18 0.1322 0.0170 -0.0106 0.0029 0.96% 0.12 0.1035 0.0133 -0.0083 0.0020
rice multiple strikes for calls and puts for the same Expiry e. , 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
Theoretical Market Price Price 0.08 0.14 0.23 0.36 0.54 0.77 1.05 1.38 1.74 2.15 2.58
Put Options Implied Option Greeks Volatility Delta Gamma Vega Theta 1.09% -0.08 0.0769 0.0099 -0.0057 0.86% -0.13 0.1092 0.0140 -0.0081 0.64% -0.20 0.1428 0.0183 -0.0105 0.42% -0.28 0.1725 0.0222 -0.0126 0.22% -0.38 0.1937 0.0249 -0.0140 0.01% -0.48 0.2030 0.0261 -0.0144 0.00% -0.58 0.1992 0.0256 -0.0139 0.00% -0.67 0.1839 0.0236 -0.0124 0.00% -0.75 0.1602 0.0206 -0.0104 0.00% -0.82 0.1322 0.0170 -0.0080 0.00% -0.88 0.1035 0.0133 -0.0056
Rho -0.0014 -0.0024 -0.0036 -0.0051 -0.0068 -0.0087 -0.0106 -0.0124 -0.0141 -0.0156 -0.0168
Strat1 Contracts Type Strike Calculated Override Used Delta Gamma Theta Vega Rho
Strat2
Strat3
Strat4
Strat5
Strat6
Strat7
1 Stock 25 0.77
-1 Call 25 0.79
0.00
0.00
0.00
0.00
0.00
0.77 1.00 0.00 0.00 0.00 0.00
0.79 -0.52 -0.20 0.02 -0.03 -0.01
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
Graph Increment 1.00
Profit / Loss at Expiration 2.00 1.00 0.00 20
21
22
23
24
25
26
27
28
29
30
-1.00 -2.00 -3.00 -4.00 -5.00
P&L Payoff at Expiration Matrix Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 20 -5.00 0.79 0.00 0.00 0.00 0.00 0.00 21 -4.00 0.79 0.00 0.00 0.00 0.00 0.00 22 -3.00 0.79 0.00 0.00 0.00 0.00 0.00 23 -2.00 0.79 0.00 0.00 0.00 0.00 0.00 24 -1.00 0.79 0.00 0.00 0.00 0.00 0.00 25 0.00 0.79 0.00 0.00 0.00 0.00 0.00 26 1.00 -0.21 0.00 0.00 0.00 0.00 0.00 27 2.00 -1.21 0.00 0.00 0.00 0.00 0.00 28 3.00 -2.21 0.00 0.00 0.00 0.00 0.00 29 4.00 -3.21 0.00 0.00 0.00 0.00 0.00 30 5.00 -4.21 0.00 0.00 0.00 0.00 0.00 Current Theoretical P&L Relative to Underlying Price Changes Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 20 -5.00 0.79 0.00 0.00 0.00 0.00 0.00 21 -4.00 0.79 0.00 0.00 0.00 0.00 0.00 22 -3.00 0.75 0.00 0.00 0.00 0.00 0.00 23 -2.00 0.65 0.00 0.00 0.00 0.00 0.00 24 -1.00 0.42 0.00 0.00 0.00 0.00 0.00 25 0.00 0.00 0.00 0.00 0.00 0.00 0.00 26 1.00 -0.62 0.00 0.00 0.00 0.00 0.00
27 28 29 30
2.00 3.00 4.00 5.00
-1.40 -2.29 -3.25 -4.23
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
Current Position Delta Relative to Underlying Price Changes Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 20 1.00 0.00 0.00 0.00 0.00 0.00 0.00 21 1.00 -0.02 0.00 0.00 0.00 0.00 0.00 22 1.00 -0.06 0.00 0.00 0.00 0.00 0.00 23 1.00 -0.16 0.00 0.00 0.00 0.00 0.00 24 1.00 -0.32 0.00 0.00 0.00 0.00 0.00 25 1.00 -0.52 0.00 0.00 0.00 0.00 0.00 26 1.00 -0.71 0.00 0.00 0.00 0.00 0.00 27 1.00 -0.85 0.00 0.00 0.00 0.00 0.00 28 1.00 -0.93 0.00 0.00 0.00 0.00 0.00 29 1.00 -0.97 0.00 0.00 0.00 0.00 0.00 30 1.00 -0.99 0.00 0.00 0.00 0.00 0.00 Current Position Gamma Relative to Underlying Price Changes Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 20 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 21 0.00 -0.02 0.00 0.00 0.00 0.00 0.00 22 0.00 -0.07 0.00 0.00 0.00 0.00 0.00 23 0.00 -0.13 0.00 0.00 0.00 0.00 0.00 24 0.00 -0.19 0.00 0.00 0.00 0.00 0.00 25 0.00 -0.20 0.00 0.00 0.00 0.00 0.00 26 0.00 -0.17 0.00 0.00 0.00 0.00 0.00 27 0.00 -0.11 0.00 0.00 0.00 0.00 0.00 28 0.00 -0.06 0.00 0.00 0.00 0.00 0.00 29 0.00 -0.03 0.00 0.00 0.00 0.00 0.00 30 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 Current Position Theta Relative to Underlying Price Changes Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 21 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22 0.00 0.00 0.00 0.00 0.00 0.00 0.00 23 0.00 0.01 0.00 0.00 0.00 0.00 0.00 24 0.00 0.01 0.00 0.00 0.00 0.00 0.00 25 0.00 0.02 0.00 0.00 0.00 0.00 0.00 26 0.00 0.02 0.00 0.00 0.00 0.00 0.00 27 0.00 0.01 0.00 0.00 0.00 0.00 0.00 28 0.00 0.01 0.00 0.00 0.00 0.00 0.00 29 0.00 0.01 0.00 0.00 0.00 0.00 0.00 30 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Current Position Vega Relative to Underlying Price Changes Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 21 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 23 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 24 0.00 -0.02 0.00 0.00 0.00 0.00 0.00 25 0.00 -0.03 0.00 0.00 0.00 0.00 0.00 26 0.00 -0.02 0.00 0.00 0.00 0.00 0.00
27 28 29 30
0.00 0.00 0.00 0.00
-0.02 -0.01 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
Current Position Rho Relative to Underlying Price Changes Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 21 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22 0.00 0.00 0.00 0.00 0.00 0.00 0.00 23 0.00 0.00 0.00 0.00 0.00 0.00 0.00 24 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 26 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 27 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 28 0.00 -0.02 0.00 0.00 0.00 0.00 0.00 29 0.00 -0.02 0.00 0.00 0.00 0.00 0.00 30 0.00 -0.02 0.00 0.00 0.00 0.00 0.00
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
Strat8
Strat9 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Strat8
-0.03 0.48 -0.20 0.02 -0.03 -0.01
Total Cost Position Delta Position Gamma Position Theta Position Vega Position Rho
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Strat10 P&L Intercept 0.00 -4.21 0.00 0.00 -3.21 0.00 0.00 -2.21 0.00 0.00 -1.21 0.00 0.00 -0.21 24.21 0.00 0.79 0.00 0.00 0.79 0.00 0.00 0.79 0.00 0.00 0.79 0.00 0.00 0.79 0.00 0.00 0.79 #DIV/0!
0.00 0.00 0.00 0.00 0.00 0.00 0.00
Strat10 P&L 0.00 -4.21 0.00 -3.21 0.00 -2.25 0.00 -1.35 0.00 -0.58 0.00 0.00 0.00 0.38
Strat9 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Total
0.00 0.00 0.00 0.00
Strat8
0.00 0.00 0.00 0.00
Strat9 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Strat8
Strat8
Strat10 Total 0.00 1.00 0.00 0.98 0.00 0.94 0.00 0.84 0.00 0.68 0.00 0.48 0.00 0.29 0.00 0.15 0.00 0.07 0.00 0.03 0.00 0.01
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Strat10 Total 0.00 -0.01 0.00 -0.02 0.00 -0.07 0.00 -0.13 0.00 -0.19 0.00 -0.20 0.00 -0.17 0.00 -0.11 0.00 -0.06 0.00 -0.03 0.00 -0.01
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Strat10 Total 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.01 0.00 0.02 0.00 0.02 0.00 0.01 0.00 0.01 0.00 0.01 0.00 0.00
0.00 0.00 0.00 0.00 0.00 0.00 0.00
Strat10 Total 0.00 0.00 0.00 0.00 0.00 -0.01 0.00 -0.01 0.00 -0.02 0.00 -0.03 0.00 -0.02
Strat9 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Strat8
Strat9 0.00 0.00 0.00 0.00 0.00 0.00 0.00
0.60 0.71 0.75 0.77
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Strat9 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
0.00 0.00 0.00 0.00
Strat9 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
-0.02 -0.01 0.00 0.00
Strat10 Total 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -0.01 0.00 -0.01 0.00 -0.01 0.00 -0.02 0.00 -0.02 0.00 -0.02
P&L at Expiration
Delta
2.00
1.20
1.00
1.00
0.00 -1.00
0.80 20
21
22
23
24
25
26
27
28
29
30 0.60
-2.00
0.40
-3.00
0.20
-4.00
0.00 20
-5.00
21
22
23
Gamma
24
Theta
0.00
0.02 20
21
22
23
24
25
26
27
28
29
30
-0.05
0.02 0.01 0.01
-0.10
0.01 0.01
-0.15
0.01 0.00
-0.20
0.00 0.00 20
-0.25
21
22
23
Vega
Rho
0.00
0.00 20
-0.01 -0.01 -0.02 -0.02 -0.03 -0.03
24
21
22
23
24
25
26
27
28
29
30
0.00 0.00 -0.01 -0.01 -0.01 -0.01 -0.01 -0.02 -0.02
20
21
22
23
24
Delta
25
26
27
28
29
30
26
27
28
29
30
26
27
28
29
30
Theta
25
Rho
24
25
IMPLIED VOLATILITY Low
Bearish M A R K E T D I R E C T I O N
Neutral
Buy Naked Puts
Sell the
Bear Vertical Spreads:
Underlying
Buy ATM Call/Sell ITM Call Buy ATM Put/Sell OTM Put Sell OTM (ITM) Call (Put) Butterflies Buy ITM (OTM) Call (Put) Time Spreads Backspreads
Neutral
Do Nothing
Buy Straddles/Strangles Sell ATM Call Or Put Butterflies Buy ATM Call Or Put Time Spreads
Bullish
Buy Naked Calls
Buy the
Bull Vertical Spreads
Underlying
Buy ATM Call/Sell OTM Call Buy ATM Put/Sell ITM Put Sell ITM (OTM) Call (Put) Butterflies Buy OTM (ITM) Call (Put) Time Spreads
IMPLIED 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 26-Mar-12 25.00% ######## 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 0.011388 0.026531 0.04059 0.043676 0.034933 0.021726 0.010904 0.004554 100 0.001078 0.004869 0.013871 0.026822 0.03735 0.039308 0.032538 0.021898 110 5.04E-05 0.000414 0.00207 0.006803 0.015644 0.026496 0.034487 0.035735
Gamma vs Underlying Price 0.05 0.045 0.04 0.035 0.03
90
0.025
100
0.02
110
0.015 0.01 0.005 0 75
80
85
90
95
100
105
110
115
120
125
115 120 125 0.001624 0.000505 0.00014 0.012319 0.005931 0.002493 0.030365 0.021697 0.013318
100 100 26-Mar-12 25.00% ######## 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 0.026324 0.069781 0.12052 0.145386 0.129563 0.089285 0.049404 0.022646 100 0.002492 0.012806 0.041186 0.089285 0.138527 0.161541 0.147422 0.108888 110 0.000116 0.001089 0.006147 0.022646 0.05802 0.108888 0.156255 0.177695
Vega vs Underlying Price 0.2 0.18 0.16 0.14 0.12
90
0.1
100
0.08
110
0.06 0.04 0.02 0 75
80
85
90
95
100
105
110
115
120
125
115 120 125 0.008827 0.002991 0.000897 0.066954 0.035099 0.016008 0.16503 0.128396 0.085516
100 100 26-Mar-12 25.00% ######## 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
100 100
100 -0.02605 -0.02605 100.00%
90 -0.02746 -0.02746 100.00%
80 -0.02913 -0.02913 100.00%
70 -0.03115 -0.03115 100.00%
60 -0.03365 -0.03365 100.00%
50 -0.03687 -0.03687 100.00%
40 -0.04124 -0.04124 100.00%
Call Theta
Call Option Price
0 100
90
80
70
60
50
30 -0.04762 -0.04762 100.00%
40
30
20
10
1
0 100
-0.05
-0.05
-0.1
-0.1
-0.15
-0.15
-0.2
-0.2
-0.25
-0.25
-0.3
-0.3
90
80
70
60
50
DTE
20 -0.05834 -0.05834 100.00%
10 -0.08252 -0.08252 100.00%
1 -0.26101 -0.26101 100.00%
Call Option Price
50
40
30
20
10
1
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
Theta Theo % Diff -0.03 5.22 -0.50% -0.03 5.19 -0.50% -0.03 5.16 -0.51% -0.03 5.14 -0.51% -0.03 5.11 -0.52% -0.03 5.08 -0.53% -0.03 5.06 -0.53% -0.03 5.03 -0.54% -0.03 5.00 -0.54% -0.03 4.98 -0.55% -0.03 4.95 -0.55% -0.03 4.92 -0.56% -0.03 4.89 -0.57% -0.03 4.87 -0.57% -0.03 4.84 -0.58% -0.03 4.81 -0.59% -0.03 4.78 -0.59% -0.03 4.75 -0.60% -0.03 4.72 -0.61% -0.03 4.70 -0.62% -0.03 4.67 -0.62% -0.03 4.64 -0.63% -0.03 4.61 -0.64% -0.03 4.58 -0.65% -0.03 4.55 -0.66% -0.03 4.52 -0.67% -0.03 4.49 -0.67% -0.03 4.46 -0.68% -0.03 4.43 -0.69% -0.03 4.40 -0.70% -0.03 4.37 -0.71% -0.03 4.33 -0.72% -0.03 4.30 -0.73% -0.03 4.27 -0.75% -0.03 4.24 -0.76% -0.03 4.21 -0.77% -0.03 4.17 -0.78% -0.03 4.14 -0.79% -0.03 4.11 -0.81% -0.03 4.08 -0.82% -0.03 4.04 -0.83% -0.03 4.01 -0.85% -0.03 3.97 -0.86% -0.03 3.94 -0.88% -0.03 3.91 -0.89% -0.04 3.87 -0.91% -0.04 3.83 -0.93% -0.04 3.80 -0.94% -0.04 3.76 -0.96% -0.04 3.73 -0.98%
50 49 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
-0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.04 -0.05 -0.05 -0.05 -0.05 -0.05 -0.05 -0.05 -0.05 -0.05 -0.05 -0.05 -0.06 -0.06 -0.06 -0.06 -0.06 -0.06 -0.07 -0.07 -0.07 -0.07 -0.08 -0.08 -0.08 -0.09 -0.09 -0.10 -0.11 -0.12 -0.13 -0.15 -0.18 -0.26
3.69 3.65 3.62 3.58 3.54 3.50 3.46 3.42 3.38 3.34 3.30 3.26 3.22 3.17 3.13 3.09 3.04 3.00 2.95 2.91 2.86 2.81 2.76 2.71 2.66 2.61 2.56 2.50 2.45 2.39 2.33 2.28 2.21 2.15 2.09 2.02 1.95 1.88 1.81 1.73 1.65 1.57 1.48 1.38 1.28 1.17 1.04 0.90 0.74 0.52
-1.00% -1.02% -1.04% -1.06% -1.09% -1.11% -1.14% -1.16% -1.19% -1.22% -1.25% -1.28% -1.32% -1.35% -1.39% -1.43% -1.47% -1.51% -1.56% -1.61% -1.67% -1.72% -1.79% -1.85% -1.92% -2.00% -2.08% -2.17% -2.27% -2.38% -2.50% -2.63% -2.78% -2.94% -3.12% -3.33% -3.57% -3.85% -4.17% -4.54% -5.00% -5.55% -6.25% -7.14% -8.33% -10.00% -12.50% -16.67% -25.00% -50.00%
1.01% 1.02% 1.03% 1.04% 1.05% 1.07% 1.08% 1.09% 1.10% 1.11% 1.13% 1.14% 1.15% 1.16% 1.18% 1.19% 1.21% 1.22% 1.24% 1.25% 1.27% 1.28% 1.30% 1.32% 1.33% 1.35% 1.37% 1.39% 1.41% 1.43% 1.45% 1.47% 1.49% 1.52% 1.54% 1.56% 1.59% 1.61% 1.64% 1.67% 1.70% 1.73% 1.76% 1.79% 1.82% 1.85% 1.89% 1.92% 1.96%
2.00% 2.04% 2.08% 2.13% 2.18% 2.22% 2.27% 2.33% 2.38% 2.44% 2.50% 2.57% 2.63% 2.70% 2.78% 2.86% 2.94% 3.03% 3.13% 3.23% 3.33% 3.45% 3.57% 3.71% 3.85% 4.00% 4.17% 4.35% 4.55% 4.76% 5.00% 5.26% 5.56% 5.88% 6.25% 6.67% 7.14% 7.69% 8.33% 9.09% 10.00% 11.11% 12.50% 14.29% 16.67% 20.00% 25.00% 33.34% 50.00% 100.00%
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