Version 3

Introduction
This spreadsheet is provided free of charge for you to use to further your education in options trading.
The formulas used were taken from two great books on option trading
Option Volatility and Pricing by Sheldon Natenberg
Financial Models using Excel by Simon Benninga
You can read more about these books from the www.OptionTradingTips.com website
http://www.optiontradingtips.com
If you have any suggestions for this workbook or even have a bug to report, please feel free to email
me at admin@optiontradingtips.com
To stay up to date with changes to this workbook and other modifications to the website, please feel free
to subscribe:
http://www.optiontradingtips.com/subscribe.html
I have written all the formulas in Visual Basic using modules and are freely disclosed, so you may examine
the logic, edit and change the calculations as you like.

Troubleshooting
You will need to have Macros enabled for the calculations to work.
Follow the steps below to enable Macros:
Excel 97 - 2003
Go to Tools/Options
Click on the Security tab
Go to Macro Security
Change the setting to Medium
Close and reopen the workbook. It will ask you if you want to enable Macros, click Yes
Excel 2007
First, make sure that you can see the Developer tab
If there is no Developer tab, click on the Office icon to the top left of the application
and choose Excel Options, which is located at the bottom right of the popup.
Now click on Popular at the top left. Check the box titled "Show developer tab in the ribbon".
Now, click on the Developer tab.
Click on Macro Security.
Select "Disable all macros with notification" and press ok.
Close and reopen spreadsheet.
Now you should see a Security Warning appear in the toolbar
that reads "Macros have been disabled". Click on the options button.
Select "Enable this content" and press ok.

Release Updates
11/06/07 - Fixed a bug on the OptionStrategies tab. The greeks for Stock positions were previously displaying
27/04/06 - Fixed a bug that failed to calculate the theoretical change in P&L for stocks in the strategies tab.

28/08/06 - Fixed a small calculation bug for the Option Theta, which now has a near perfect accuracy.
1/10/06 - Added support for Dividend Yield, which can be used as a workaround to price options on futures
by making the Dividend Yield the same as the Interest Rate.

Basic
The worksheet labelled Basic is a simple option pricer.
You simply enter the option details into the yellow shaded areas and
the output values will be displayed underneath in the blue shaded cells.

OptionPage
OptionPage is a worksheet that allows you to price a string of calls and puts for the same expiration
date. Again, you enter the option details into the yellow cells and the output values are in the blue
shaded cells.
You can calculate the market implied volatility for each option by simply typing in the market price of
the option in the column labelled "Market Price" and the volatility implied by the option's market value
will show in the column "Implied Volatility".
Column's A and L are where you can change the strike prices used for the calculations. Or you can just
have the values derive straight from the Underlying Price by default.

OptionStrategies
This worksheet lets you enter combinations of options positions so you can view the payoff/risk graphs.
The underlying data for the options is taken from the information entered into the OptionPage worksheet.
Then just enter the number of contracts for each position and remember to put a negative number for sell
positions.
For Type, just enter "c" for call options, "p" for put options and "s" for stock/futures position.
If you know what the option is trading at, you can enter the market price in the "override premium"
row to calculate the P&L of the position after taking into account the actual price of the option.

StrategyGraphs

This worksheet will show the current Greek position values of your option strategy while referencing the
a range of underlying prices. You can change the range of values by changing the cell A17 in the OptionStrateg
worksheet.

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Underlying Price
8270
Exercise Price
8150
Today's Date
9/30/2016
Expiry Date
6/30/2016
Historical Volatility 23.07%
Risk Free Rate
10.00%
Dividened Yield
0.00%
DTE (Years)
-0.25
Theoretical Price
Delta
Gamma
Theta
Vega
Rho

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

Technical Target

Target

Input Data

LotSize
75
Buy Price
141.45

Lot Buy
10,608.75

8270

Stop Loss***

8150

22.57%
23.07%
23.57%

Target
#VALUE!
#VALUE!
#VALUE!

Profit
#VALUE!
#VALUE!
#VALUE!

Buy Call
Implied Volatility

S/L***
#VALUE!
#VALUE!
#VALUE!

Underlying Price
8270
Exercise Price
8150
Today's Date
9/30/2016
Expiry Date
6/30/2016
Historical Volatility 24.70%
Risk Free Rate
10.00%
Dividened Yield
0.00%
DTE (Years)
-0.25

Loss
#VALUE!
#VALUE!
#VALUE!

Theoretical Price
Delta
Gamma
Theta
Vega
Rho

#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!
#VALUE!

Technical Target

Target

LotSize
75
Sell Price

65.50

Lot Buy
4,912.50

8150

Stop Loss***

8270

24.20%
24.70%
25.20%

Target
#VALUE!
#VALUE!
#VALUE!

Profit
#VALUE!
#VALUE!
#VALUE!

Buy Put
Implied Volatility

S/L***
#VALUE!
#VALUE!
#VALUE!

Loss
#VALUE!
#VALUE!
#VALUE!