My Workbook 1

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.
the same expiration
lues are in the blue
in the market price of

e option's market value
ulations. Or you can just
w the payoff/risk graphs.

the OptionPage worksheet.
a negative number for sell
tures position.
e "override premium"
e of the option.
egy while referencing the

he cell A17 in the OptionStrategies
Underlying Price 4250 The current base price of the instrument, eg, the closing price of Microsft Sto
Exercise Price 5000 The price at which the underlying instrument will be exchanged. Also called S
Today's Date 6/12/2010
Expiry Date 12/11/2010 The Date which the contract expires
Historical Volatility 34% The Historical Volatility of the asset's returns
Risk Free Rate 8.75% The current risk free interest rate i.e. your return on cash held in the bank
Dividened Yield 0.90% The Annualized Dividend Growth Rate of the Stock
DTE (Years) 0.50
Call Option Put Option

Theoretical Price #VALUE! #VALUE!
Delta #VALUE! #VALUE! The amount that the theoretical price will change if the market m
Gamma #VALUE! #VALUE! The amount that the Delta will change if the market moves up/d
Theta #VALUE! #VALUE! The amount that the theoretical price will change when 1 day pa
Vega #VALUE! #VALUE! The amount that the theoretical price will change if the volatility
Rho #VALUE! #VALUE! The amount that the theoretical price will change if interest rates
he closing price of Microsft Stock
will be exchanged. Also called Strike Price
rn on cash held in the bank
price will change if the market moves up/down 1 point

hange if the market moves up/down 1 point
price will change when 1 day passes.
price will change if the volatility of the asset moves up/down by 1 percentage point
price will change if interest rates move up/down by 1 percentage point
5,000.00 Underlying Price <-- Yellow cells are for user input
12-Jun-10 Today's Date <-- Blue cells are the calculated outputs
17.00% Historical Volatility This worksheet allows you to price multiple strikes for c
17-Jul-10 Expiry Date with the same Underlying Price. Remember, you can cu
5.00% Risk Free Rate you like by using the formulas provided.
0.90% Dividend Yield
35 DTE
0.10 DTE in Years
Call Options
TheoreticalMarket Implied Option Greeks
Strike Prices Price Price Volatility Delta Gamma Vega Theta
4,750.00 ITM #VALUE! 326.00 ### ### ### ### ###
4,800.00 ITM #VALUE! 312.25 ### ### ### ### ###
4,850.00 ITM #VALUE! 266.50 ### ### ### ### ###
4,900.00 ITM #VALUE! 208.00 ### ### ### ### ###
4,950.00 ITM #VALUE! 210.00 ### ### ### ### ###
5,000.00 ATM #VALUE! 172.00 ### ### ### ### ###
5,050.00 OTM #VALUE! 161.00 ### ### ### ### ###
5,100.00 OTM #VALUE! 121.00 ### ### ### ### ###
5,150.00 OTM #VALUE! 112.00 ### ### ### ### ###
5,200.00 OTM #VALUE! 98.00 ### ### ### ### ###
5,250.00 OTM #VALUE! 76.00 ### ### ### ### ###
underlyingdelta volatilitytime
OPEN INTEREST
STRIKE PRICE OI CA OI PA
4000 66K 15L
4050 100
4100 4L 18L
4150 150 450
4200 15L 16L
4250 2K 500
4300 19L 11L
4350 3K 26K
4400 7L 4L
4450 4K
4500 8L 5L
for user input
he calculated outputs
ws you to price multiple strikes for calls and puts for the same Expiry
rlying Price. Remember, you can customise your own workbook any way
e formulas provided.
Put Options
Theoretical Market Implied Option Greeks
Rho Strike Prices Price Price Volatility Delta Gamma Vega Theta
### 4,750.00 OTM #VALUE! 128 ### ### ### ### ###
### 4,800.00 OTM #VALUE! 165 ### ### ### ### ###
### 4,850.00 OTM #VALUE! 159 ### ### ### ### ###
### 4,900.00 OTM #VALUE! 210 ### ### ### ### ###
### 4,950.00 OTM #VALUE! 196 ### ### ### ### ###
### 5,000.00 ATM #VALUE! 250 ### ### ### ### ###
### 5,050.00 ITM #VALUE! 247 ### ### ### ### ###
### 5,100.00 ITM #VALUE! 251 ### ### ### ### ###
### 5,150.00 ITM #VALUE! 301 ### ### ### ### ###
### 5,200.00 ITM #VALUE! 277 ### ### ### ### ###
### 5,250.00 ITM #VALUE! 366 ### ### ### ### ###
intrest
Rho
###
###
###
###
###
###
###
###
###
###
###
Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7
Contracts 1 -1 -1
Type PUT PUT PUT
Strike 4900 4800 4500
Calculated Premium #VALUE! #VALUE! #VALUE! 0.00 0.00 0.00 0.00
Override Premium 138.00 105.00 35.00
Premium Used 138.00 105.00 35.00 0.00 0.00 0.00 0.00
Delta #VALUE! #VALUE! #VALUE! 0.00 0.00 0.00 0.00
Gamma #VALUE! #VALUE! #VALUE! 0.00 0.00 0.00 0.00
Theta #VALUE! #VALUE! #VALUE! 0.00 0.00 0.00 0.00
Vega #VALUE! #VALUE! #VALUE! 0.00 0.00 0.00 0.00
Rho #VALUE! #VALUE! #VALUE! 0.00 0.00 0.00 0.00
Graph Increment Profit / Loss at Expiration

25.00 30.00
25.00
20.00
15.00
10.00
5.00
0.00
4,875 4,900 4,925 4,950 4,975 5,000 5,025 5,050 5,075 5,100 5,125
P&L Payoff at Expiration Matrix

Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7
4,875 -113.00 105.00 35.00 0.00 0.00 0.00 0.00
4,900 -138.00 105.00 35.00 0.00 0.00 0.00 0.00
4,925 -138.00 105.00 35.00 0.00 0.00 0.00 0.00
4,950 -138.00 105.00 35.00 0.00 0.00 0.00 0.00
4,975 -138.00 105.00 35.00 0.00 0.00 0.00 0.00
5,000 -138.00 105.00 35.00 0.00 0.00 0.00 0.00
5,025 -138.00 105.00 35.00 0.00 0.00 0.00 0.00
5,050 -138.00 105.00 35.00 0.00 0.00 0.00 0.00
5,075 -138.00 105.00 35.00 0.00 0.00 0.00 0.00
5,100 -138.00 105.00 35.00 0.00 0.00 0.00 0.00
5,125 -138.00 105.00 35.00 0.00 0.00 0.00 0.00
Current Theoretical P&L Relative to Underlying Price Changes

4,875 #VALUE! #VALUE! #VALUE! 0.00 0.00 0.00 0.00
Current Position Delta Relative to Underlying Price Changes

Current Position Gamma Relative to Underlying Price Changes

Current Position Theta Relative to Underlying Price Changes

Current Position Vega Relative to Underlying Price Changes

Current Position Rho Relative to Underlying Price Changes

Strat8 Strat9 Strat10 Total
0.00 0.00 0.00
0.00 0.00 0.00 -2.00 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
Strat8 Strat9 Strat10 P&L Intercept

0.00 0.00 0.00 27.00 0.00
0.00 0.00 0.00 2.00 0.00
0.00 0.00 0.00 2.00 0.00
0.00 0.00 0.00 2.00 0.00
0.00 0.00 0.00 2.00 0.00
0.00 0.00 0.00 2.00 0.00
0.00 0.00 0.00 2.00 0.00
0.00 0.00 0.00 2.00 0.00
0.00 0.00 0.00 2.00 0.00
0.00 0.00 0.00 2.00 0.00
0.00 0.00 0.00 2.00 #DIV/0!
Strat8 Strat9 Strat10 P&L

0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!

0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!

0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!

0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!

0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!

0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
0.00 0.00 0.00 #VALUE!
P&L at Expiration Delta
30.00 12.00
25.00 10.00
20.00 8.00
15.00 6.00
10.00 4.00
5.00 2.00
0.00 0.00
4,875 4,900 4,925 4,950 4,975 5,000 5,025 5,050 5,075 5,100 5,125 4,875 4,900 4,925 4,950 4,975 5,000 5,025 5,050 5,075 5,1
Gamma 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
4,875 4,900 4,925 4,950 4,975 5,000 5,025 5,050 5,075 5,100 5,125 4,875 4,900 4,925 4,950 4,975 5,000 5,025 5,050 5,075 5,1
Vega 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
4,875 4,900 4,925 4,950 4,975 5,000 5,025 5,050 5,075 5,100 5,125 4,875 4,900 4,925 4,950 4,975 5,000 5,025 5,050 5,075 5,1
elta
5,000 5,025 5,050 5,075 5,100 5,125
heta
5,000 5,025 5,050 5,075 5,100 5,125
Rho
5,000 5,025 5,050 5,075 5,100 5,125

IMPLIED VOLATILITY
Low Neutral High
Buy Naked Puts Sell the Sell Naked Calls
Bear Vertical Spreads: Underlying Bear Vertical Spreads:
Buy ATM Call/Sell ITM Call Buy OTM Call/Sell ATM Call
Bearish
Buy ATM Put/Sell OTM Put Buy OTM (ITM) Call (Put) Time Spreads
Sell OTM (ITM) Call (Put) Butterflies Buy ITM (OTM) Call (Put) Butterflies
Buy ITM (OTM) Call (Put) Time Spreads Sell OTM (ITM) Call (Put) Time Spreads
M
A
R Backspreads Do Nothing Ratio Vertical Spreads
K Buy Straddles/Strangles Sell Straddles/Strangles
E Neutral
Sell ATM Call Or Put Butterflies Buy ATM Call Or Put Butterflies
T
Buy ATM Call Or Put Time Spreads Sell ATM Call Or Put Time Spreads
D
I Buy Naked Calls Buy the Sell Naked Puts
R
E Bull Vertical Spreads Underlying Bull Vertical Spreads
C Buy ATM Call/Sell OTM Call Buy ITM Call/Sell ATM Call
T Bullish
Buy ATM Put/Sell ITM Put Buy OTM Put/Sell ATM Put
I
O Sell ITM (OTM) Call (Put) Butterflies Buy OTM (ITM) Call (Put) Butterflies
N Buy OTM (ITM) Call (Put) Time Spreads Sell ITM (OTM) Call (Put) Time Spreads
100 Underlying Price
100 Exercise Price
12-Jun-10 Today's Date
25.00% Historical Volatility
11-Aug-10 Expiry Date
0% Risk Free Rate
0% Dividend Yield
60 DTE
0.16 DTE in Years
75 80 85 90 95 100 105 110 115

90 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Gamma vs Underlying Price

12
10
90
6 100
110
0
75 80 85 90 95 100 105 110 115 120 125
120 125
#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!
100 Exercise Price
0% Risk Free Rate
0% Dividend Yield
60 DTE
0.16 DTE in Years
75 80 85 90 95 100 105 110 115

Vega vs Underlying Price

12
10
90
6 100
110
0
75 80 85 90 95 100 105 110 115 120 125
120 125
#VALUE! #VALUE!
#VALUE! #VALUE!
#VALUE! #VALUE!
100 Exercise Price
0% Risk Free Rate
0% Dividend Yield
60 DTE
0.16 DTE in Years
100 90 80 70 60 50 40 30 20
#VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
Call Theta Call Option Price

12 12
10 10
8 8
6 6
4 4
2 2
0 0
100 90 80 70 60 50 40 30 20 10 1 100 90 80 70 60 50 40 30 20 10
DTE Theta Theo % Diff
100 #VALUE! #VALUE! #VALUE!
99 #VALUE! #VALUE! #VALUE! #VALUE!
10 1 92 #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE! 91 #VALUE! #VALUE! #VALUE! #VALUE!
on Price 87 #VALUE! #VALUE! #VALUE! #VALUE!
50 40 30 20 10 1 74 #VALUE! #VALUE! #VALUE! #VALUE!

My Workbook 1

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My Workbook 1

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Basic

The worksheet labelled Basic is a simple option pricer.

in the market price of

ulations. Or you can just

w the payoff/risk graphs.

egy while referencing the

Call Option Put Option

rn on cash held in the bank

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

Graph Increment Profit / Loss at Expiration

P&L Payoff at Expiration Matrix

Current Theoretical P&L Relative to Underlying Price Changes

Current Position Delta Relative to Underlying Price Changes

Current Position Gamma Relative to Underlying Price Changes

Current Position Theta Relative to Underlying Price Changes

Current Position Vega Relative to Underlying Price Changes

Current Position Rho Relative to Underlying Price Changes

0.00 0.00 0.00

0.00 0.00 0.00 -2.00 Total Cost

Strat8 Strat9 Strat10 P&L Intercept

Strat8 Strat9 Strat10 P&L

Strat8 Strat9 Strat10 Total

Strat8 Strat9 Strat10 Total

Strat8 Strat9 Strat10 Total

Strat8 Strat9 Strat10 Total

Strat8 Strat9 Strat10 Total

5,000 5,025 5,050 5,075 5,100 5,125

5,000 5,025 5,050 5,075 5,100 5,125

5,000 5,025 5,050 5,075 5,100 5,125

75 80 85 90 95 100 105 110 115

Gamma vs Underlying Price

75 80 85 90 95 100 105 110 115

Vega vs Underlying Price

Call Theta Call Option Price

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