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Option Greeks Calculation Tool

This document provides inputs and outputs for calculating option Greeks. It allows the user to input either an option price or implied volatility. Given the inputs, it will calculate the common Greeks - delta, gamma, theta, vega, and rho - for the option. The document was last updated on April 16, 2005 to fix a math error involving the risk-free interest rate.

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shiva19892006
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106 views2 pages

Option Greeks Calculation Tool

This document provides inputs and outputs for calculating option Greeks. It allows the user to input either an option price or implied volatility. Given the inputs, it will calculate the common Greeks - delta, gamma, theta, vega, and rho - for the option. The document was last updated on April 16, 2005 to fix a math error involving the risk-free interest rate.

Uploaded by

shiva19892006
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd

OPTION GREEKS (see macro for source code)

Inputs are yellow boxes. Outputs are blue text.

INPUTS

OUTPUTS

by Alex Matulich, alexunicorn.us.com


http://unicorn.us.com/trading/

using option price


Today's date 4/16/2005
Option expiration month
5
Option expiration year
2005
Underlying stock or futures price
100
Option strike price
90
Option price 10.905065
Call option? (TRUE or FALSE)
1
annual risk-free interest rate
2%
Implied volatility
#VALUE!
Days to expiration
#VALUE!
Greeks:
delta
#VALUE!
gamma
#VALUE!
theta
#VALUE!
vega
#VALUE!
rho
#VALUE!

using implied volatility


4/16/2005
5
2005
100
90
#VALUE!
0
2%
33.0%
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

Updated 1/24/2002 to fix theta and results for put options.


Updated 4/16/2005 to fix math error involving risk free rate.

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