Options Trading Excel Calculator – Algoji

Call option pricing excel

Call option pricing excel


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.

I went through the complete material on Options and you have really done a very good knowledge sharing on Options. You have really discussed in depth near about 85 strategies..Hats off. Thanks

Black Scholes Model Options Calculator: Excel Sheet

Cox, Ross, and Rubinstein (CRR) have shown that if we chose the parameter for a binomial tree and probability of up movement as follows, then the tree closely follows the mean and variance of the stock price over short intervals and we can use risk-neutral evaluation.

Calculating Call and Put Option Payoff in Excel - Macroption

To show how this single cell implementation of the B& S can be useful, I’ll go through a detailed example copying this single sheet and then modifying it to set up a two-dimensional simulation of option prices, varying both the value of the underlying and the time until expiration.

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.

Hi Zoran,

Margin and premium are different. A margin is a deposit that is required to cover any losses that may occur due to adverse price movements. For options, margins are required for net short positions in a portfolio. The amount of margin required can vary between broker and product but many exchanges and clearing brokers use the SPAN method for calculating option margins.

If your option position is long, then the amount of capital required is simply the total premium paid for the position - . margin will not be required for long option positions.

For futures, however, a margin (typically called initial margin ) is required by both long and short positions and is set by the exchange and subject to change depending on market volatility.

Hi B,

iVolatility have FTSE data but charge $65 a month to access European data. They have a free trial though so you can see if it is what you need.

Hi Ryan,

Not sure if I understand correctly. The current volatility is what is graphed - the volatility calculated each day for the time period specified.

To obtain a free downloaded version of my spreadsheet press the “Add to Cart” button at the bottom of this post, then press the purple “Proceed to Checkout”, “Place Order” (scroll down), and “Single Excel Black & Scholes” buttons on successive screens. The file should then download to your system.

CFI&rsquo s Black Scholes calculator uses the Black-Scholes option pricing method. Other option pricing methods include the binomial option pricing model and the Monte-Carlo simulation Monte Carlo Simulation Monte Carlo simulation is a statistical method applied in modeling the probability of different outcomes in a problem that cannot be simply solved, due to the interference of a random variable. .

Therefore, we should improve our calculations to also consider direction (long or short), position size (number of contracts) and contract size (number of shares represented by one option contract).

The Strategies tab allows you to create option/stock combinations of up to 65 components. Again, use the while areas for your user input while the shaded areas are for the model outputs.

I tried the spreadsheet in Openoffice, but it did not work. Does that use Macros or imbedded functions?

I was looking for something without macros, since my openoffice does not usually work with Excel macros.

Thanks for any possible help.

Hi Peter,

Just a simple question, I am wondering why ImpliedCallVolatility & ImpliedPutVolatility has a high = 5 the highest volatility I see is about 65%

Therefore wouldn t setting high = 7 make more sense. I know it doesn t make much difference to speed, but I tend to be pretty precise when it comes to programming.

On another note, I am having a hard time figuring out what Historical Volatility of the underlying assets. I know some people use close-to-close, average of high& low, also different moving averages like 65-day, 75-day, 55-day.

Hi Deepak,

You can use the spreadsheet on this page for any market - you just need to change the underlying/strike prices to the asset you want to analyze.


Leave a comment