Options Trading Pricing Model

excel spreadsheet solution for black-scholes option pricing and position modeling:  $125.00

Option Pricing Model

Using the pricing model, you can enter the base parameters in order to see the 'greeks' for your option, while comparing the option price and implied volatility to the option theoretical price derived from historical volatility.

Underlying-Option Trade Position And Adjustment Model

Using this worksheet you can enter your positions and see their profit curvature, along with doing what-if adjustments to see how this would change based on another trade - you may create as many position worksheets as you want, and if you have a data feed with a dde link you can use this in the price column for real time updating.

Consider that you buy 100 xyz at 50.00, and it then goes up to 54.00 where you sell a 55 call.  On graph1 you can compare the profit curvature of the xyz with the curvature that you would have after selling the call.  On graph2 you can compare the profit curvature of the xyz-call sell with the curvature that you would have if you also bought a 54 put.

Option Price Target

Using this worksheet you can model an option trade for a target objective, and then see what underlying price-percentage change in the underlying will be necessary to reach this objective.  This can be done by using the current theoretical value of the option or actual option price, and additionally model for a change in date, interest rate, and/or volatility.

Consider that on 8/21/08 with the underlying at 50.00 you want to buy a 50 call for 1.50, with an objective of a price double the next day, and with a decrease in volatility from 25.65% to 25.00%.  In order to reach your objective, you will need an underlying price move from 50.00 to 52.39 which is a 4.77% increase - you can now make a further judgment as to whether your objective is realistic.

Option Price Change And Profit Before-At Expiration

Using this worksheet you can model and option position for profit at expiration, as well as for profit at another date before expiration.  This can be done by either comparing the option theoretical value on date1 to the theoretical value on date2, or by comparing the actual option price on date1 to the theoretical value on date2 - what if calculations can be made for a change in interest rates or in volatility.

Consider that on date1 you buy 1 50 call and 1 50 put at a theoretical value of 2.81, based on the parameters inputted on the spreadsheet.  If you look at the date1 column you will see the 0.00 at the 50 price, that amount showing no gain-loss on the purchase date with no change in price.  If you look at the exp column you will see the -2.81, that amount being the loss at an expiration price of 50.00.  If you look at the date2 column you will see the -.36 at the 50 price, that amount being the theoretical loss if you close the position on date2 with no change in the underlying price.