Welcome to options.live This version: options.live 5.01 Instructions: I: Setup and navigation 1) 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 window 6) 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 locat 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 "symbol - 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 code Inputs #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 expirations Input #9: III: Update data 1) update data by clicking the "update all prices" button on the "choose options" page. IV: Calibration and "reasonableness" check 1) Check prices Enable toolpacks on menu bar: Tools/Add-Ins ; ensure that the toolpacks are checked. instructions about options.live choose options Implied volatility compariso Call greeks Position profit and risk ana Stock ticker symbols & CBOE option sy 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. Some of the more active options as of Spring 1999 include: Index ticker option symbol S&P 100 OEX various* Stock ticker option symbol Intel INTC INQ Dell DELL DLQ Amazon AMZN ZQN America Online AOL AOL AT&T T T Cisco CSCO CYQ Hewlett-Packard HWP HWP IBM IBM IBM MCI Worldcom WCOM LDQ
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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.
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.
H16
See the Comment?
H26
Some of the more active options as of Spring 1999 include: Index ticker option symbol S&P 100 OEX various* Stock ticker option symbol Intel INTC INQ Dell DELL DLQ Amazon AMZN ZQN America Online AOL AOL AT&T T T Cisco CSCO CYQ Hewlett-Packard HWP HWP IBM 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.
M44
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 [email protected](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.
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)
B5
For individual stocks, select "Stock" ; for an index, select "Index". Options.live 5.01 is designed to work for both the S&P 100 (OEX) and the S&P 500 (SPX). However, only the OEX seems to work, as the CBOE currently has odd symbols for the SPX. When moving back and forth from stocks to the index (OEX): Please make note of input #8 - selecting the approximate current underlying asset price. As of 5/5/99 the OEX is around 665
B7
Exchange ticker symbol for the underlying stock
H7
Type stock ticker symbol here (uppercase only) The only index working for version 5.01 is the OEX
B9
Use uppercase (Capital letters) only for symbols
H9
Type option symbol here (uppercase only) Not required for Index options
E11
Some of the more active options as of Spring 1999 include: Stock ticker option symbol Intel INTC INQ Dell DELL DLQ Amazon AMZN ZQN America Online AOL AOL AT&T T T Cisco CSCO CYQ Hewlett-Packard HWP HWP IBM IBM IBM MCI Worldcom WCOM LDQ
B13
Check the "symbols" page for expiry cycles: if you ask for a month without traded options, you will retrieve nothing (GIGO*) *garbage in-garbage out
B16
Begin by guessing the volatility…you can calibrate it later very easily. Guess 30% to 40%, to begin, then check the "implied volatility comparison page to aid your calibration.
B18
Choose an expiry month later than the earlier, or nearby, month. This later month would be the "back" month.
B21
Begin by guessing the volatility…you can calibrate it later very easily. Guess 30% to 40%, to begin, then check the "implied volatility comparison page to aid your calibration.
B23
We retrieve prices on the basis of the tickers, which are identified via the symbol and the month. The prices retrieved are for a ticker series ranging over a $100 strike price interval. We select the stock price range here to identify the tickers. Note that some tickers far from the money are likely to be mis-identified (e.g. the $100 strike may actually be a $200 strike for an option written on a stock priced at $180).
B25
If you want to get started but have no access to current T-bill quotes, either leave the current numbers (provided as of 5/4/99) in place, or guess what reasonable numbers should be.
C28
These dates are Thursdays immediately prior to the expiry dates - which are the third Friday of the month. If quotes aren't available for the given date, use the closest date available.
E28
Use numbers, not percentages: e.g: use 4.50 instead of 4.50%
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
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
J3
Change the label manually by typing
L5
The graph displays the theoretical profit for future dates ranging from tomorrow (1 day from today) to the option maturity that you choose here.
B10
The code will crash if position entries are left blank; make sure that you input "0" for unused positions.
D10
The code will run into problems when positions are entered for which the web query did not reteive valid prices (e.g. strike prices far from the money)
E10
Use "1" to specify the nearby month, or "2" to specify the back month. If you chose S (for stock) as the position, the maturity choice has no effect.
F10
This is linked to the "choose options " page: change assumed volatility on that page to maintain links - or simply type over to use different numbers (but the link will be destroyed)
I10
This is the theoretical position cost, using basic Black-Scholes-Merton. Positive cost indicates long positions, negative cost (in red) indicates a short position.
J10
Actual cost uses current maret prices: positive costs represent long positions, negative costs (in red) represent short positions
B15
If no position, input "0"
E18
Value difference is the theoretical cost less the actual cost. If value difference is positive, then the graphed profit diagrams include theoretical gains due to the assumption that actual prices revert to model prices. However, if the value difference is negative, the profit diagrams include theoretical losses due to assuming that actual prices revert to model prices The profit diagrams assume that the position is established at market (actual) prices, and subsequently valued at theoretical prices. If the actual position value is positive, then the position requires funds to establish and thus interest is charged against profit to compensate for the use of funds. If the actual position cost is negative, then the position generates a cash inflow and interest is credited to profit to account for interest earned.
D30
ISD = Implied volatility
F30
ISD = Implied volatility
D53
ISD = Implied volatility
F53
ISD = Implied volatility
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
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