Excel spreadsheet for higher order greeks?

TskTsk · Feb 10, 2012

Are there any Excel spreadsheets out there that include higher order greeks like vanna, zomma, charm, speed, color, DvegaDtime, vomma, Ultima, dual delta etc?

TskTsk · Feb 18, 2012

Gonna have to bump this

PocketChange · Feb 18, 2012

http://www.edupristine.com/blog/greeks/
edit: Sorry: No Second Level Greeks:

Take a look at the Nag libraries instead:
http://www.nag.co.uk/IndustryArticles/NAGOptionPricingExcel.pdf

syswizard · Feb 18, 2012

http://www.hoadley.net/options/develtools.htm
http://www.fintools.com/products/fintools_xl/options_xl.html

Soon2Bgreat · Feb 18, 2012

Quote from TskTsk:

Are there any Excel spreadsheets out there that include higher order greeks like vanna, zomma, charm, speed, color, DvegaDtime, vomma, Ultima, dual delta etc?

Look for option pricing formulas by haug - should have what you're looking for and more.

Don Bright · Feb 18, 2012

We (Blair Hull, John Olagues, Bob Bright, and other pro's) were able to make big $$ with simple options analysis. Time decay (theta), movement (gamma), neutrality (delta), add betas and really, what else do you really need?

I know that I'll hear some good responses, but with conversions trading at sub-pennies, paralysis analysis may just kick in, LOL.

Your thoughts?

Don

syswizard · Feb 18, 2012

Our not-so-beloved Jim Cramer of course made his fortune on his option trades. Stories of him back in his "hey days" are impressive....his ability to track over 30 positions in his head and know where the breakeven was.

Jim was smart enough to realize that options would not have the mass appeal that stocks have. Thus, Mad Money rarely discusses options. In fact I heard something on Friday from a caller about call options and I was almost shocked they took the call.

TskTsk · Feb 18, 2012

Thanks, I checked out the links from you guys, unfortunately these all link to products that require buying. I was hoping there'd be some free spreadsheets for higher order greeks, since there are a lot of free spreadhseets for the standard order greeks. But if no such thing exists then I'll just suck it up and make one myself.

Quote from Don Bright:

We (Blair Hull, John Olagues, Bob Bright, and other pro's) were able to make big $$ with simple options analysis. Time decay (theta), movement (gamma), neutrality (delta), add betas and really, what else do you really need?

I know that I'll hear some good responses, but with conversions trading at sub-pennies, paralysis analysis may just kick in, LOL.

Your thoughts?

Don

I'm sure if you manage sub 100k positions then the 4 basic greeks will do. But if you manage a 200MM hedgefund like I do, you're gonna need to go a level deeper.

atticus · Feb 18, 2012

Quote from TskTsk:

Thanks, I checked out the links from you guys, unfortunately these all link to products that require buying. I was hoping there'd be some free spreadsheets for higher order greeks, since there are a lot of free spreadhseets for the standard order greeks. But if no such thing exists then I'll just suck it up and make one myself.

I'm sure if you manage sub 100k positions then the 4 basic greeks will do. But if you manage a 200MM hedgefund like I do, you're gonna need to go a level deeper.

lol to 200MM. Yes, it sucks to have a freeware mandate when running 9 figures. http://www.mbrm.com/product_uoa.shtml

Clown shoes. I'd send you a copy, but you may be too sophisticated. Be sure to calc your risk to Totto.

newwurldmn · Feb 18, 2012

Quote from TskTsk:

I'm sure if you manage sub 100k positions then the 4 basic greeks will do. But if you manage a 200MM hedgefund like I do, you're gonna need to go a level deeper.

Why are you hanging out with us pikers? You can surely find better resources. No need to help you anymore.