Instructions:

Step 1: On the OPTIONS STRATEGY SHEET, enter the following values:

1. Current Market Price (Futures Price)
2. Expiry Date of Contract
3. Lot Size of the Options Contract
Step 2: Select the Options Contract details as required:
1. Option Type: Call/Put
2. Buy / Sell
3. Strike Price
5. Number of Contracts
4. Options Premium (Executed Price)
Step 3: Select the Futures Contract details as required
1. Select Buy / Sell
2. Enter Lot Size
3. Enter Number of Lots
4. Enter Price
Step 4: Enter Currently Traded Prices of Options Contracts
Step 5: Keep updating Current Market Price from Step 1.1 and Options Prices from Step 4
Step 6: Calculate Future Expected Prices under various scenarios
1. Goto Expected Pay-off Sheet
2. Enter Expected Market Price
3. Enter Expected Market Price Date
4. Enter Estimated Implied Volatility (IV) using Current IV
Step 7: Modify Inputs if Required
1. Options Brokerage
2. Futures Brokerage
3. Miscellaneous Taxes
4. Futures Margin Requirement
 Outputs:
1. Strategy Inflow / Outflow Go
Go 2. Current Gross Options P / L Go
Go 3. Implied Volatility for each Options Contract Go
Go 4. Greeks: Delta | Gamma | Vega | Theta for each contract Go
5. Net Greeks Position Go
Go 6. Number of shares required to be Delta Neutral Go
Go 7. Current Gross Futures P / L Go
Go 8. Pay-off Diagram of Strategy at Expiry Go
Go 9. Current P / L net brokerage and taxe Go
Go 10. Investment Amount Required including interest Go
11. Current Net Percentage Returns Go
Go
Go
Go Instructions:
Instructions:
Go
Go Enalble
Enalble Macros
Macros in
in Microsoft
Microsoft Excel
Excel before
before using
using this
this sheet.
sheet.
es from Step 4 This
This program is an Excel function that calculates the implied volatility.
ItIt is
is used
used as
as follows:
follows:
Go
=BlackScholesMertonImpliedVolatility(StockPrice,ExercisePrice,Risk-
=BlackScholesMertonImpliedVolatility(StockPrice,ExercisePrice,Risk-
Go freerate,Time,Volatility,
freerate,Time,Volatility, Yield,
Yield, "choice")
Go
Go where
where the
the arguments
arguments areare references
references to to cells
cells or
or range
range names.
names. Enter
Enter the
the stock
stock
price,
price, exercise
exercise price,
price, risk-free
risk-free rate,
rate, time
time toto expiration,
expiration, volatility,
volatility, and
and dividend
dividend
yield.
yield. The
The "choice"
"choice" variable
variable isis aa text
text variable
variable that
that can
can be
be only
only the
the word
word "call"
"call"
Go or
or "put",
"put", which
which can
can be
be selected
selected by by using
using the
the pull
pull down
down menu
menu asas indicated.
indicated. The
The
Go maximum
maximum error
error you
you specify
specify determines
determines how how close
close the
the option
option price
price computed
using
using the
the implied
implied volatility
volatility must
must bebe to
to the
the actual
actual option price.
price.
Go
Go The
The procedure
procedure uses
uses an
an algorithm
algorithm presented
presented in
in S.
S. Manaster
Manaster and
and G.
G. Koehler,
Koehler,
"The
"The Calculation
Calculation of Implied
Implied Variances
Variances from
from the
the Black-Scholes
Black-Scholes Model:
Model: A
A Note,"
Note,"
The
The Journal
Journal of
of Finance
Finance 37
37 (March,
(March, 1982), 227-230.

This
This program also uses another function called BlackScholesMertonFunction,
which
which calculates
calculates the
the Black-Scholes
Black-Scholes value
value directly
directly in
in aa single
single cell,
cell, although
although this
this
is
is provided
provided only
only as
as aa check
check and
and is
is not
not necessary
necessary forfor calculating
calculating the implied
volatility.
volatility.
Home OPTIONS STRATEGY
Enter Current Market Price: 4500.00
Enter Expiry Date: 25-Jun
Enter Lot Size: 50
OPTIONS POSITION
Option Number of Option
Sr. No. Type Buy / Sell Strike Price Contracts Premium
1 Put Sell 4100 1 55
2 Put Sell 4200 2 76
3 Put Buy 4400 1 136
4 Call Buy 4400 1 238
Total Strategy Inflow (Outflow)
Your Current Gross Options P/L is:
25000.00
20000.00
15000.00
10000.00
Profit / Loss

5000.00
0.00
(5000.00)
(10000.00)
(15000.00)
(20000.00)
3980

4040
4070

4130

4220

4310

4400

4490

4580

4640
4670

4730
4760

4820
4010

4100

4160
4190

4250
4280

4340
4370

4430
4460

4520
4550

4610

4700

4790

4850
4880
Total Brokerage
Total Taxes

Current Total MTM

Current P/L Net Brokerage and Taxes

Margin Amount Required including interest

Total Investment Needed including interest
 OPTIONS STRATEGY

Greeks
Current Inflow
Prices (Outflow) IV Delta Gamma Vega Theta
55 55.00 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
76 152.00 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
136 (136.00) #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
238 (238.00) #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
-8350 Net Posn #VALUE! ### #VALUE! #VALUE!
0 No. of shares to be Delta neutral: #VALUE!
FUTURES POSITION
No. of
Sr. No. Buy/Sell Lot Size Lots Price
1
2
3
4
Current Gross Futures P/L 0.00

Current Net Percentage Returns -0.68%

4580

4640
4670

4730
4760

4820

4910
4610

4700

4790

4850
4880

4940
4970

1162.00
0.00

0.00
(1162.00)

151125.00
169914.25
Home EXPECTED PAY-OFF

Enter Expected Market Price: 4400

Enter Expected Market Price Date: 24-Jun Contract Expiry Date:
Strike Executed
Sr. No. Option Type Buy / Sell Price Option Price
1 Put Sell 4100 55
2 Put Sell 4200 76
3 Put Buy 4400 136
4 Call Buy 4400 238
Expected Gross P/L for Strategy

INPUTS
Brokerage (one side)
Options 2.00%
Futures 0.10%

Misc Taxes 0.50%

Margin
Futures Margin 24.00%
EXPECTED PAY-OFF

act Expiry Date: 25-Jun

Expected Option Number of
Price Total Premium Contracts Current IV IV Estimate
0.28 0.28 1 #VALUE! 55.00%
3.83 7.67 2 #VALUE! 59.00%
53.29 53.29 1 #VALUE! 58.00%
52.37 52.37 1 #VALUE! 57.00%
Expected Pay-Offs
54.72
72.17
(82.71)
(185.63)
(7073.02)