[XLS]options.live 4.12 - Texas Christian Universitysbufaculty.tcu.edu/mann/optionslive501.xls · Web viewADEX AP Adept Technology, Inc DQT ADTK AdFlex Solutions, Inc. XFQ AFLX ACPX
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Welcome to options.live
This version: options.live 5.01
Instructions:
I: Setup and navigation1) Requires Excel 97 or later.2) When opening the workbook, you must enable the macros.3) The analysis toolpack and analysis toolpack/VBA must be enabled:
4) In order to update prices from the web, your computer must be on-line.5) Navigate the workbook via the hyperlink menu (by the optionslive icon) or via the spreadsheet tabs at the bottom of the window6) some cells have red flags to indicate helpful (maybe) comments. to view the comments, place your cursor on the cell. For example, here: Menu: (click to move to location)II: Getting started - selecting options and the underlying stock 1) Supply information on the "choose options" page (Eight items): - begin by finding the stock and option symbols on the "symbols" page - use the information on the symbols page to choose:Input #1: Select Index or Stock
Input #2: a) stock ticker symbol, or index symbol (OEX)Input #3: b) 3-digit CBOE stock codeInputs #4 & #6: c) a "nearby"month and a "back" month for option quotes
2) Provide volatility estimates
(if unsure, choose 30% or so, then calibrate later)
3) Estimate the current stock price.Input #8: Select a price (increments of $50) closest to the current stock price.
4) Provide T-bill discount rates for monthly expirationsInput #9:
III: Update data1) update data by clicking the "update all prices" button on the "choose options" page.
IV: Calibration and "reasonableness" check1) Check prices
Enable toolpacks on menu bar: Tools/Add-Ins ; ensure that the toolpacks are checked.
instructionsabout options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysisStock ticker symbols & CBOE option symbols
Note: It's probably best to begin with active options such as:
Input #5: estimated (annualized) return volatility through the nearby month expiry.Input #7: estimated (annualized) return volatility through the back month expiry.
Note: options.live 5.01 restricts the price to be below $2,500.
- probable source is the Wall Street Journal, at least until we find a web source.
The price collection method creates ticker symbols and asks for the prices. Whether the given symbol represents a certain strike price dpends on the location of the underlying stock price. For example, the option symbol ending in "T" will probably represent a $100 strike price for a stock priced around $100, but would probably represent a $200 strike price for a stock priced around $180 or so.
Some of the more active options as of Spring 1999 include:Index ticker option symbolS&P 100 OEX various*
Stock ticker option symbolIntel INTC INQDell DELL DLQAmazon AMZN ZQN America Online AOL AOLAT&T T T Cisco CSCO CYQHewlett-Packard HWP HWPIBM IBM IBM MCI Worldcom WCOM LDQ
*Index option symbols vary with $100 strike price ranges.
visit the "collected prices" page to examine the harvested prices. The collected prices near the money should look reasonable. Other prices will be missing or seem unreasonable due to "border" problems: see comment here: 2) Calibrate volatility visit the "implied volatility comparisons" page and examine the graph. there should be a region around the money where implied volatilities are reasonable (e.g. between 10% and 100%) Use the "reasonable" region to aid your estimate of volatility. - you may wish to change the estimated volatility that you supplied on the "choose options" page. - you will not need to update prices just because you changed volatility.
V: Position profit analysis
- use "1" (positive) to indicate a long position, "-1" to indicate short, etc.
- C = Call - P = Put - S = share of stock
- all five strike price choices should be associated with "reasonable" prices - or near the money - choice of strike price doesn't affect positions in shares.
5) Calibrate graphs - label the graph (if desired) - choose maturity to graph: either "1" for times between now and the nearby expiry, or "2" for times between now and the back month expiry.6) Notes: - the position profit assumes that: a) the position is established at the current market prices b) the position is closed at theoretical (model) prices for given future dates and scenarios c) positions that have a positive cost to establish are charged interest at the riskless rate, (i.e. the profit is reduced by the opportunity cost of the funds) d) positions that have a negative cost to establish are credited with interest accruing at the riskless rate (profit is enhanced by interest earned on funds received) VI: Have Fun - warning: this is NOT idiot-proof software…Mann makes no warranty as to the validity or usefulness of any analysis provided herein.
VII: Visit the "about options.live" page for the location of updated versions of the software, as well as contact information for the author.here:
1) Choose position by selecting positions in calls, puts, and/or shares:
2) Continue position selection by selecting types of calls, puts, or shares:
3) Choose strike prices
4) Choose option maturities - choose "1" for the nearby month, or - choose "2" for the back month.
about options.live
The price collection method creates ticker symbols and asks for the prices. Whether the given symbol represents a certain strike price dpends on the location of the underlying stock price. For example, the option symbol ending in "T" will probably represent a $100 strike price for a stock priced around $100, but would probably represent a $200 strike price for a stock priced around $180 or so.
About options.live
This version: options.live 5.01
For the latest updates, visit:
or Steve Mann's TCU homepage:
Comments, questions, or suggested improvements:Steven C. MannAssistant Professor of FinanceThe Neeley School of Business at TCUs.mann@tcu.edu(817) 257-7569
Usage notes and comments:1) The software is work-in-progress. This version does not place protection on any cells. Menu: (click to move to location) Therefore, you should probably save the workbook under another name so that if you change it you can still open the original (hopefully working) version (grin).2) The story of the French soldiers and stone soup is particularly appropriate to this project: With this workbook I place a stone in the pot…suggestions, improvements, etc are welcome.3) The "Choose Options" page provides a link to a very large included worksheet from the CBOE that contains the CBOE symbols list as of January 29, 1999. Changes are possible; be aware.4) The "Choose options" page requires the user to provide legitimate symbols and expiry months: check the CBOE list to confirm the validity of your choices, or visit the CBOE (www.cboe.com) for additional information. CBOE traded options are in one of three "cycles" for expiry months. For a complete list of the expiry months, visit: "www.cboe.com/tools/symbols/codes"5) This Software is for educational purposes only; Mann provides no warranty. Any commercial use requires express consent.
In other words, the calculations may not work if the strike prices do not correspond to existing options. I think the problem is fixed, but you should set all strike prices close to the money initially if you encounter problems.7) The fractal design forming the background for the option.live logo was created with WinFract - version 18.21 (freeware)8) All theoretical option prices based on the basic Black-Scholes-Merton model (no dividends).
http://www.optionslive.com/
http://voltaire.is.tcu.edu/~mann
instructionsabout options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis
6) For the position profit analyzer: strike prices for all five potential positions may need to be changed to map to existing options.
User Input page: Select Stock and Option series
Menu: (click to move to location)###
#1: Select option type (stock or index) ######
#2: Underlying (Stock or Index) ticker symbol OEX ######
#3: Option symbol abbreviation (3 characters) INQ ######
Follow this link for complete symbol list: ######
#4: Choose "nearby" expiration month #########
#5: estimated volatility - through nearby month: 23%
#6: Choose "back" expiration month
#7: estimated volatility - through back month: 23%
#8:
#9: As Needed: Update interest rates using T-bill discount rates
Options.live 5.01 provides T-bill discounts as of 5/4/99
12/30/1899 12/29/1899 4.46 1.53%12/30/1899 12/29/1899 4.46 1.53%12/30/1899 12/29/1899 4.50 1.53%12/30/1899 12/29/1899 4.54 1.54%12/30/1899 12/29/1899 4.42 1.52%12/30/1899 12/29/1899 4.42 1.52%12/30/1899 12/29/1899 4.43 1.52%12/30/1899 12/29/1899 4.47 1.53%12/30/1899 12/29/1899 4.47 1.53%12/30/1899 12/29/1899 4.46 1.53%12/30/1899 12/29/1899 4.48 1.53%12/30/1899 12/29/1899 4.45 1.52%
Instructions: Select inputs #1-9. Then update prices via button. See "Instructions" page for details
instructionsabout options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis
symbols
collected prices
Select price closest to current stock price
optionexpiration
date
"optimal" T-bill
maturity
T-bill discount
(bid-ask avg)
continuousrate
(from discount)
Update all prices(click here to refresh all web queries)
file: document.xls; Sheet: Position Profit analyzer Finanalysis software by Steven C. Mann. 05/08/2023
Menu: (click to move to location)
Graph Label: Straddle Graph display calibration
Option maturity: 1=near, 2=back 2multiple for price axis* 0.80
value date May 8, 2023 *Note: widen range using # > 1, narrow using # <1
Input Area: Position greeks
Delta Gamma vega theta rho
1 C 675 2 23% #VALUE! 24.50 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!1 P 670 2 23% #VALUE! 31.00 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!0 C 665 2 23% #VALUE! 0.00 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!0 P 665 2 23% #VALUE! 0.00 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!0 C 605 2 23% #VALUE! 0.00 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
total #VALUE! 55.50
total #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!value difference #VALUE!
Current Stock price: 651 24/25
OEX
Option Maturity 1 - Nearby month 2 - back month Month June July expiration 12/30/1899 12/30/1899 days remaining -45054 -45054 riskless rate 1.52% 1.52%
calls: June JulyStrike call price call ISD call price call ISD
600 62.000 #VALUE! 81.000 #VALUE!605 62.000 #VALUE! 81.000 #VALUE!610 56.000 #VALUE! 0.000 #VALUE!615 60.000 #VALUE! 0.000 #VALUE!620 43.000 #VALUE! 51.250 #VALUE!625 0.000 #VALUE! 0.000 #VALUE!630 35.000 #VALUE! 48.000 #VALUE!635 33.625 #VALUE! 0.000 #VALUE!640 27.000 #VALUE! 36.625 #VALUE!645 30.000 #VALUE! 0.000 #VALUE!650 19.500 #VALUE! 33.250 #VALUE!655 17.250 #VALUE! 29.625 #VALUE!660 13.250 #VALUE! 28.000 #VALUE!665 11.500 #VALUE! 25.250 #VALUE!670 9.000 #VALUE! 21.500 #VALUE!675 7.250 #VALUE! 24.500 #VALUE!680 5.625 #VALUE! 18.000 #VALUE!685 4.000 #VALUE! 15.000 #VALUE!690 3.000 #VALUE! 16.250 #VALUE!695 3.000 #VALUE! 16.250 #VALUE!
puts June JulyStrike put price put ISD put price put ISD
600 4.250 #VALUE! 9.750 #VALUE!605 4.250 #VALUE! 9.750 #VALUE!610 5.375 #VALUE! 9.250 #VALUE!615 6.250 #VALUE! 9.625 #VALUE!620 7.000 #VALUE! 13.250 #VALUE!625 7.750 #VALUE! 0.000 #VALUE!630 9.500 #VALUE! 13.000 #VALUE!635 9.750 #VALUE! 0.000 #VALUE!640 12.000 #VALUE! 20.000 #VALUE!645 13.500 #VALUE! 0.000 #VALUE!650 15.250 #VALUE! 19.250 #VALUE!655 17.625 #VALUE! 23.750 #VALUE!660 20.500 #VALUE! 26.500 #VALUE!665 22.250 #VALUE! 25.000 #VALUE!670 25.000 #VALUE! 31.000 #VALUE!675 28.500 #VALUE! 31.375 #VALUE!680 32.125 #VALUE! 32.500 #VALUE!685 34.000 #VALUE! 34.250 #VALUE!690 40.000 #VALUE! 31.500 #VALUE!695 40.000 #VALUE! 31.500 #VALUE!
instructionsabout options.livechoose options view 3D graphImplied volatility comparisons view 2D graphCall greeksPosition profit and risk analysis
Choose position in each option
(or # of shares):use "1" for long,use "-1" for short
Choosetype:
P=PutC=CallS=Stock
Choose strikes:
ChooseOption
maturity:1 = nearby 2 = back
assumedvolatility
theoretical position cost
actual position
cost
Stockticker
532544
556568
580592
604616
628640
652664
676688
700712
724736
748760
772
(20.00)
0.00 20.00
40.00
60.00
80.00
100.00
120.00
140.00
Expiry-36043-2
7032-18021-9010
1
Position net gain (theoretical)
asset price
posi
tion
valu
e
days from today
StraddleOEX
532544
556568
580592
604616
628640
652664
676688
700712
724736
748760
772
(20.00)
0.00
20.00
40.00
60.00
80.00
100.00
120.00
140.00
Position net gain: marked to model values
Expiry-36043-27032-18021-90101
asset price
posi
tion
valu
e
Update all prices(click here to refresh all web
queries)
If no position, input "0"
Change the label manually by typing
file: document.xls; Sheet: call greeks Finanalysis software by Steven C. Mann. 05/08/2023
Menu: (click to move to location) Asset Call graph spread factor: 1
scroll down to view price Value delta gamma vega theta rho graphs for greeks 531.30 ### ### ### #VALUE! #VALUE! #VALUE! 0.00
547.17 ### ### ### #VALUE! #VALUE! #VALUE! 0.00 OEX 563.04 ### ### ### #VALUE! #VALUE! #VALUE! 0.00
578.91 ### ### ### #VALUE! #VALUE! #VALUE! 0.00 594.78 ### ### ### #VALUE! #VALUE! #VALUE! 0.00
model inputs: output: 610.65 ### ### ### #VALUE! #VALUE! #VALUE! 0.00 Current Asset price (S) 651.96 Model Actual 626.52 ### ### ### #VALUE! #VALUE! #VALUE! 0.00 Exercise Price (K) 690.00 Value #VALUE! 16.250 642.39 ### ### ### #VALUE! #VALUE! #VALUE! 0.00 ###Expiration date 12/30/99 difference #VALUE! 658.26 ### ### ### #VALUE! #VALUE! #VALUE! 0.00 ###riskless rate 1.52% 674.13 ### ### ### #VALUE! #VALUE! #VALUE! 0.00 user-supplied volatility 23.0% call greeks: Model Implied 690.00 ### ### ### #VALUE! #VALUE! #VALUE! 0.00 observed call price $ 16.250 delta #VALUE! #VALUE! 705.87 ### ### ### #VALUE! #VALUE! #VALUE! 15.87
gamma #VALUE! #VALUE! 721.74 ### ### ### #VALUE! #VALUE! #VALUE! 31.74 time until expiration (years) 123.355 vega #VALUE! #VALUE! 737.61 ### ### ### #VALUE! #VALUE! #VALUE! 47.61
theta #VALUE! #VALUE! 753.48 ### ### ### #VALUE! #VALUE! #VALUE! 63.48 implied volatility #VALUE! rho #VALUE! #VALUE! 769.35 ### ### ### #VALUE! #VALUE! #VALUE! 79.35
785.22 ### ### ### #VALUE! #VALUE! #VALUE! 95.22 801.09 ### ### ### #VALUE! #VALUE! #VALUE! 111.09 816.96 ### ### ### #VALUE! #VALUE! #VALUE! 126.96 832.83 ### ### ### #VALUE! #VALUE! #VALUE! 142.83 848.70 ### ### ### #VALUE! #VALUE! #VALUE! 158.70
instructions intrinsicvalueabout options.live
choose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis
As-set
price 531.30
547.17
563.04
578.91
594.78
610.65
626.52
642.39
658.26
674.13
690.00
705.87
721.74
737.61
753.48
769.35
785.22
801.09
816.96
0.00
0.10
0.20
0.30
0.40
0.50
0.60
0.70
0.80
0.90
1.00 Delta: call slope
As-set
price
531 547 563 579 595 611 627 642 658 674 690 706 722 738 753 769 785 801 817 0.000
2.000
4.000
6.000
8.000
10.000
12.000 Gamma: change in delta
As-set
pric
e
531 547 563 579 595 611 627 642 658 674 690 706 722 738 753 769 785 801 817 0.0
2.0
4.0
6.0
8.0
10.0
12.0 Vega: sensitivity to volatility
As-set
pric
e
531.30
547.17
563.04
578.91
594.78
610.65
626.52
642.39
658.26
674.13
690.00
705.87
721.74
737.61
753.48
769.35
785.22
801.09
816.96
0.0
2.0
4.0
6.0
8.0
10.0
12.0Theta: time decay
As-set
price
531 547 563 579 595 611 627 642 658 674 690 706 722 738 753 769 785 801 817 0.0
2.0
4.0
6.0
8.0
10.0
12.0Rho: sensitivity to riskless rate
531 547 563 579 595 611 627 642 658 674 690 706 722 738 753 769 785 801 817 833 849 $0
$20
$40
$60
$80
$100
$120
$140
$160
$180
Call option Value
Menu: (click to move to location)OEX
current stock price 651.9600
Calls PutsJune July June July
Strike ### 12/30/1899 ### ###600 #VALUE! #VALUE! #VALUE! #VALUE! OEX605 #VALUE! #VALUE! #VALUE! #VALUE!610 #VALUE! #VALUE! #VALUE! #VALUE!615 #VALUE! #VALUE! #VALUE! #VALUE!620 #VALUE! #VALUE! #VALUE! #VALUE!625 #VALUE! #VALUE! #VALUE! #VALUE!630 #VALUE! #VALUE! #VALUE! #VALUE!635 #VALUE! #VALUE! #VALUE! #VALUE!640 #VALUE! #VALUE! #VALUE! #VALUE!645 #VALUE! #VALUE! #VALUE! #VALUE!650 #VALUE! #VALUE! #VALUE! #VALUE!655 #VALUE! #VALUE! #VALUE! #VALUE!660 #VALUE! #VALUE! #VALUE! #VALUE!665 #VALUE! #VALUE! #VALUE! #VALUE!670 #VALUE! #VALUE! #VALUE! #VALUE!675 #VALUE! #VALUE! #VALUE! #VALUE!680 #VALUE! #VALUE! #VALUE! #VALUE!685 #VALUE! #VALUE! #VALUE! #VALUE!690 #VALUE! #VALUE! #VALUE! #VALUE!695 #VALUE! #VALUE! #VALUE! #VALUE!
instructionsabout options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis
600 605 610 615 620 625 630 635 640 645 650 655 660 665 670 675 680 685 690 6950%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Implied volatilitiesnearby callsback month callsnearby putsback month puts
Menu: (click to move to location)
tickerstock info: OEX 651 24/25
Collected prices from the web:Calls Puts
Strike June price July price June price July600 T .OEYFT 62 .OEYGT 81 .OEYRT 4 1/4 .OEYST605 A .OEYFA 62 .OEYGA 81 .OEYRA 4 1/4 .OEYSA610 B .OEYFB 56 .OEYGB 0 .OEYRB 5 3/8 .OEYSB615 C .OEYFC 60 .OEYGC 0 .OEYRC 6 1/4 .OEYSC620 D .OEYFD 43 .OEYGD 51 1/4 .OEYRD 7 .OEYSD625 E .OEYFE 0 .OEYGE 0 .OEYRE 7 3/4 .OEYSE630 F .OEYFF 35 .OEYGF 48 .OEYRF 9 1/2 .OEYSF635 G .OEYFG 33 5/8 .OEYGG 0 .OEYRG 9 3/4 .OEYSG640 H .OEYFH 27 .OEYGH 36 5/8 .OEYRH 12 .OEYSH645 I .OEYFI 30 .OEYGI 0 .OEYRI 13 1/2 .OEYSI650 J .OEYFJ 19 1/2 .OEYGJ 33 1/4 .OEYRJ 15 1/4 .OEYSJ655 K .OEYFK 17 1/4 .OEYGK 29 5/8 .OEYRK 17 5/8 .OEYSK660 L .OEYFL 13 1/4 .OEYGL 28 .OEYRL 20 1/2 .OEYSL665 M .OEYFM 11 1/2 .OEYGM 25 1/4 .OEYRM 22 1/4 .OEYSM670 N .OEYFN 9 .OEYGN 21 1/2 .OEYRN 25 .OEYSN675 O .OEYFO 7 1/4 .OEYGO 24 1/2 .OEYRO 28 1/2 .OEYSO680 P .OEYFP 5 5/8 .OEYGP 18 .OEYRP 32 1/8 .OEYSP685 Q .OEYFQ 4 .OEYGQ 15 .OEYRQ 34 .OEYSQ690 R .OEYFR 3 .OEYGR 16 1/4 .OEYRR 40 .OEYSR695 S .OEZFS 3 .OEZGS 16 1/4 .OEZRS 40 .OEZSS
currentprice
instructionsabout options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis
strikecode
Menu: (click to move to location)
Puts
price9 3/4 9 3/4 9 1/4 9 5/8 13 1/4
0 13 0 20 0
19 1/4 23 3/4 26 1/2 25 31
31 3/8 32 1/2 34 1/4 31 1/2 31 1/2
Update all prices(click here to refresh all web
queries)
The Options Toolbox Symbols Directory Menu: (click to move to location)14-Apr-99
update symbols:Expiry cycles:
Cycle: usual months1 January, April, July, October; plus the next month2 February, May, August, November,; plus next month3 March, June, September, December; plus next month
All Equity Options and Equity LEAPS Listings - Alphabetical by company nameName Op Sym Stk-Sym Exc-Opt Cyc Jan-'00 Jan-'01 (the window pane is frozen here)
S&P 100 Index (OEX) OEX C99 Cents Only Stores NDN NDN AP 3A.O. Smith Corporation AOS AOS P 3Aames Financial Corporation AAM AAM C 3AAR Corporation AIR AIR X 1Aavid Thermal Technologies QVI AATT AC 3Abacus Direct Corp AZQ ABDR X 3Abbott Laboratories ABT ABT X 2 LBT ZBTAbercrombie & Fitch Company ANF ANF CP 2 LNF ZFQ
instructions
http://www.cboe.com/tools/symbols about options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis
Menu: (click to move to location)
back to position profit
instructionsabout options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis
532544
556568
580592
604616
628640
652664
676688
700712
724736
748760
772
(20.00)
0.00
20.00
40.00
60.00
80.00
100.00
120.00
140.00
Expiry
-36043
-27032
-18021
-9010
1
Position net gain (theoretical)
asset price
posit
ion
valu
e
days from today
StraddleOEX
Menu: (click to move to location)
back to position profit
instructionsabout options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis
Menu: (click to move to location)
back to position profit
instructionsabout options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis
532544
556568
580592
604616
628640
652664
676688
700712
724736
748760
772
(20.00)
0.00
20.00
40.00
60.00
80.00
100.00
120.00
140.00 Position net gain: marked to model values
Expiry-36043-27032-18021-90101
asset price
posit
ion
valu
e
Menu: (click to move to location)
back to position profit
instructionsabout options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis
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