Option Greeks Excel Add-in

maninjapan · Dec 18, 2012

I was wondering if anyone knew of a good excel add-in or similar for calculating greeks on an intraday basis for futures options? (I know of Hoadleys and looking into if this meets my needs) It doesnt need to be in real time but I do need to be able to get regular updates during the day.

Thanks in advance

justrading · Dec 18, 2012

Bookmarked this, have not looked at it as I am using Hoadley.

Feedback appreciated.

http://www.optionstar.com/

TskTsk · Dec 18, 2012

I suppose you feed Excel with streaming data. Just crunch what's coming in into the BS formula. Here is a sheet w/ greeks + higher order greeks. http://www.elitetrader.com/vb/attachment.php?s=&postid=3452907 Feed incoming data into this. Dissect and rearrange the sheet as needed

maninjapan · Dec 18, 2012

justTrading, Thanks I will have a look. How are you using Hoadley?

maninjapan · Dec 18, 2012

TskTsk, thankyou for the link I will def take a look at this. Sounds like it might be just what Im after

justrading · Dec 18, 2012

Quote from maninjapan:

justTrading, Thanks I will have a look. How are you using Hoadley?

Downloading options chains from Interactive Brokers, which is painfully slow, or else from MSN which is faster but does not have current pricing.

I'm not day trading options so it is manageable, if tedious.

If you are doing futures options, the chains from eSignal work better than IB.

2rosy · Dec 18, 2012

you can use http://quantlib.org

Here's compiled python windows bindings

sle · Dec 18, 2012

Quote from justrading: from MSN which is faster but does not have current pricing.

Out of curiosity, does MSN have some sort of API or you are webscraping?

justrading · Dec 18, 2012

Quote from sle:

Out of curiosity, does MSN have some sort of API or you are webscraping?

Built into Hoadley so I take it that it is an API, but that's just a guess. Outside my area of expertise.

froluis · Dec 22, 2012

Bought Hoadley but never really used it. I find it clunky and not really user friendly. I realised that I can get more or less what I need with Ib risk navigator/whatif and excel api with dde