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+4-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)
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