Description

This Excel spreadsheet graphs historical price, implied-volatility, and IV-Rank. It also performs a back-test for the Profit & Loss (PnL) of any (Underlying+2-legged option) strategy:

• Vanilla Call, Vanilla Put
• Calendar Call/Put Spread
• Call spread
• Put spread
• Straddle
• Strangle
• Covered-Call (-Underlying, +Call)
• and so on…

The PnL attribution includes:

• Delta PnL
• Gamma PnL
• Vega PnL
• Theta PnL

We can also customize the sheet for you to include other Greek PnLs:

• Volga PnL
• Vanna PnL
• Rho PnL

Please contact us
if you have requests to customize the spreadsheet.

Requirements:

• Microsoft Excel 2013
• Bloomberg API (for live data refresh)