Excel spreadsheet for higher order greeks?

[sle]

Why you have to use gamma ko × (k1-ko)? Isnt gamma the rate of change of delta?

Gamma is the change of delta as a function of underlying price. So, since here we are shifting strike rather then spot, our new delta (in absence of other effects) will be original delta plus gamma contribution due to change in strike. I.e. if gamma is zero (for example, both options are DITM) your delta at new strike is same as delta at old strike.

And what are the ... behind?

There are all sorts of second and third order effects that I am omitting

 

[clarodina]

Sle do you have to add the original gamma on top of gamma(k0) * (k1 - k0)? K1 referring to new strike right? With no change to skew the gamma(k0) * (k1 - k0) is not required but rather using gamma(k0) right?

Did a stimu on increasing volatility and the gamma curve shape become a inverted w or rather flat top is this normal?

 

[NaturallyNick]

Here attached is a first attempt at it.

Not quite complete. The higher-order greeks need checking. If you finish or improve it, please post your improved version.

Enter data only in the cells with colored background. You have to enable macros if you want it to solve for IV (if you input the put or call price instead of inputting the vol).

Just started working through this, up to Vanna now, and everything up to there is accurate (matches my sheet anyways), but the total for Vanna is exactly 100x less than mine.

It looks like I'm using the first formula from this Wikipedia page, and you're using the second. I wondered if you had any idea why they would have exactly a difference of 100. I was thinking it might be something simple, but wasn't sure what.

turns into

ABC = ABC/100

which seems like it should be wrong.

Inputs I'm using to test are

Stock Price= $16.31
Strike Price = $15.00
IV = 123.58%
DTE = 19.319% of a year or 70.5151 days
RF rate = .33%
Div Yield = 0%
Vega = .026109 (based on my calculations)

God Bless,
NN

 

[NaturallyNick]

Found the answer here:

https://quant.stackexchange.com/que...-vanna-differ-by-a-factor-of-100x-why-is-that

Cheers!

 

[fewunderstanthis]

Here attached is a first attempt at it.

Not quite complete. The higher-order greeks need checking. If you finish or improve it, please post your improved version.

Enter data only in the cells with colored background. You have to enable macros if you want it to solve for IV (if you input the put or call price instead of inputting the vol).

Thanks for the excel but I have a question the Charm that we calculate is 1.76 but ı didn't figure out how we can calculate the nominal magnitude of the charm ??

For example lets assume ı have 200k gamma short for 50D Call Option I already bought the 100k for delta, lets say evrything is the same except for time to maturity, how can I calculate how much nominal delta I have ??

Thank you for your answers