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    SKINNY Option Calculator Mod

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    The document provides information about option pricing and greeks. It includes an introduction and contact information for Michael Rechenthin, PhD. It then presents an option pricing calculator with inputs for underlying price, strike price, days to expiration, volatility, and risk-free rate. A dictionary defines the common greeks - delta, gamma, theta, vega, and rho. The document concludes with Excel functions that can be used to calculate option prices and greeks within a spreadsheet.

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    © All Rights Reserved
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    SKINNY Option Calculator Mod

    Uploaded by

    dev
    171 views2 pages
    The document provides information about option pricing and greeks. It includes an introduction and contact information for Michael Rechenthin, PhD. It then presents an option pricing calculator with inputs for underlying price, strike price, days to expiration, volatility, and risk-free rate. A dictionary defines the common greeks - delta, gamma, theta, vega, and rho. The document concludes with Excel functions that can be used to calculate option prices and greeks within a spreadsheet.

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    option calculator

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    The document provides information about option pricing and greeks. It includes an introduction and contact information for Michael Rechenthin, PhD. It then presents an option pricing calculator with inputs for underlying price, strike price, days to expiration, volatility, and risk-free rate. A dictionary defines the common greeks - delta, gamma, theta, vega, and rho. The document concludes with Excel functions that can be used to calculate option prices and greeks within a spreadsheet.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    171 views2 pages

    SKINNY Option Calculator Mod

    Uploaded by

    dev
    The document provides information about option pricing and greeks. It includes an introduction and contact information for Michael Rechenthin, PhD. It then presents an option pricing calculator with inputs for underlying price, strike price, days to expiration, volatility, and risk-free rate. A dictionary defines the common greeks - delta, gamma, theta, vega, and rho. The document concludes with Excel functions that can be used to calculate option prices and greeks within a spreadsheet.

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    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    You are on page 1of 2

    Michael Rechenthin, PhD

    Please follow me on twitter at @mrechenthin


    Or watch "The Skinny on Options Data Science" on tastytrade.com

    Option Pricing Calculator


    Please make adjustments to the yellow areas only

    Underlying Price 50
    Strike Price 50 Price Delta Gamma Theta Vega Rho Extrinsic Intrinsic
    Days Until Expiration 45 Call ### ### #VALUE! ### #VALUE! 0.00
    #VALUE! ###
    Volatility 20% Put ### ### #VALUE! ### #VALUE! 0.00
    Risk-Free Rate 0.3%

    Dictionary of Terms
    Delta Measures the rate of change of an option's value relative to the change in the stock's price
    Provides for an approximate likelihood of an option expiring in-the-money
    Provides for an equivalent number of shares represented by an options position
    Gamma Measures the rate of change of the option's delta relative to the change in the stock's price
    Theta Measures the rate of change in the option's price per day of decay
    Vega Measures the change in the option's price per move in the volatility
    Rho Measures the change in the option's price per move in the risk-free rate. Only matters if the rate change is
    large and/or there is a long time until expiration

    To use the Excel Functions within your own spreadsheet, use the following:
    =tastytrade_price_call( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)
    =tastytrade_price_put( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)
    =tastytrade_delta_call( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)
    =tastytrade_delta_put( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)
    =tastytrade_gamma( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)
    =tastytrade_theta_call( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)
    =tastytrade_theta_put( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)
    =tastytrade_vega( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)
    =tastytrade_rho_call( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)
    =tastytrade_rho_put( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)

    Disclaimer:
    I am not responsible for the accuracy of the information on this page
    Michael Rechenthin, PhD
    Please follow me on twitter at @mrechenthin
    Or watch "The Skinny on Options Data Science" on tastytrade.com

    Underlying Price 50 Please make adjustments to the yellow areas only


    Strike 48
    Volatility 20%
    Risk-Free Rate 0.3%
    Days until Expiration 45

    Price of Call Price of Put


    $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
    45 40 35 30 25 20 15 10 5 0 45 40 35 30 25 20 15 10 5 0
    Days Until Expiration Days Until Expiration

    Delta Call Delta Put


    12.000 12.000
    10.000 10.000
    8.000 8.000
    6.000 6.000
    4.000
    4.000
    2.000
    2.000
    0.000
    45 40 35 30 25 20 15 10 5 0 Days Until Expiration 0.000
    Days Until Expiration 45 40 35 30 25 20 15 10 5 0

    Gamma Theta
    12.000 12.000

    10.000 10.000

    8.000 8.000
    6.000 6.000
    4.000 4.000
    Theta
    Call
    2.000 Theta Put 2.000
    0.000 0.000
    45 40 35 30 25 20 15 10 5 0 Days Until Expiration
    Days Until Expiration 45 40 35 30 25 20 15 10 5 0

    Disclaimer:
    I am not responsible for the accuracy of the information on this page

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