This Excel spreadsheet loads option chain data for any ticker available on finance.yahoo.com.
URL to demonstration video: https://youtu.be/1FU5LlGbo74
Here are some features:
- Option Mid Prices from Ask, Bid Prices on finance.yahoo.com
- Option Mid Implied Volatility
- Option Price (using Mid Implied Volatility, or user-defined volatility)
- Option Greeks (Delta, Gamma, Vega, Theta)
- Option Portfolio Position Market Value and Greeks
- The option portfolio supports up to 4 legs (ie. spread, butterfly, iron condor, etc)
- Graph of profit-and-loss (P&L) vs strike price
- Graph of Implied Volatility (IV) Term Structure or Skew
Black-Scholes Option Pricing Framework
Underlying Returns Distributions Assumptions: Log-Normal
Exercise Types: European
Product Types: Puts, Calls
Payoff Types: Analog (Vanilla)
The functions are exposed and usable within the spreadsheet cells.
Option Greeks are multiplied by appropriate shifts
- Vega: 1%-Shift in volatility. This can be user-adjusted.
- Theta: 1-day (1/252-year) time-decay. This can be user-adjusted.
Please contact us:
If you have requests to customize the spreadsheet, or request for a demonstration/walk-through via the internet.
The sheet has been explicitly tested to work with the following tickers:
- and any other ticker on yahoo
- If there is a ticker you wish to test before you decide to purchase, let us know, and we’ll test it before you purchase.
- If after your purchase, there is a ticker which does not work, let us know, and we’ll fix it for you.
- Windows PC
- Microsoft Excel 2016/2013/2010/2007