Option Greeks Excel Add-in
- Thread starter maninjapan
- Start date
Actually Hoadley has a million things that are not anywhere else. (Of course not everyone needs them).
http://financialducksinarow.com/4078/ubti-in-an-ira/
You can use it as a Library within Excel directly - you do not need to use his applications at all. You can write your own using his library, which is fully documented.
I think this (using Hoadley's library) would be best the way to go for the original poster since it is completely self-contained, supported, comprehensive etc.
http://financialducksinarow.com/4078/ubti-in-an-ira/
You can use it as a Library within Excel directly - you do not need to use his applications at all. You can write your own using his library, which is fully documented.
I think this (using Hoadley's library) would be best the way to go for the original poster since it is completely self-contained, supported, comprehensive etc.
Seems like the guy took some time, collected a bunch of free code from the web and is selling it to people that don't know better. Quanlib has an excel addin that has more functionality and is free.
A cursory look shows that pretty much everything that Hoadley has is out there for free - go to quantcode.com and copy the code over. Also, I don't get how come it has all sorts of crap (e.g. SABR - who uses SABR outside of rates world) while some crucial things that you need to calculate risk (e.g. imputing forwards and div drops) are missing.
The product integration and testing and support is important too to many users. The cost is extremely low to individuals. Something like OptionVue costs thousands a year.
His product has been adopted by the Australian Stock Exchange
http://www.asx.com.au/resources/modelling_tool.htm
and cited in journal articles
http://www.ajbmr.com/articlepdf/ajbmr_17_34i1n7a12.pdf
Of course it has to be low, otherwise nobody would buy this crap. You can't charge more then a couple hundred bucks for something that simple. I am willing to bet that if you use your hoadley add-in and calculate implied volatilities for S&P, for example, even the put/call vol equality is not going to hold. Not trying to discredit his tools, but for simply punting delta you can write your own simple spreadsheet (oh, yeah, VBA for black/scholes and simple prop-div binomial is out there for free) or use the tools provided by the broker. Most probably the implied volatility numbers and risks are going to be significantly wrong either way.
PS. I am not, by any means, involved in sales of trading software.
I respect your judgment.
I certainly will try out Quantlib and I guess that may be a better way to go.
Also, have you looked at the options pricing models in R? They seem very comprehensive. R does not offer a SpreadSheet as such but you can do similar things with data.table plus the viewer included in StatEt (an R Eclipse development add-in).
Thank you for the vote of confidence
I did end up writing my own tools in VBA and my own models in R (well, S+) but that was simply because when I did that (some 10 years ago), it was before these packages were publicly available. If I had to do it again, I'd go with one of the packages in R and avoid excel all together. As a note, just make sure that you properly figure out the forwards for each expiry (you can do that from the option chain) and take into account the early ex conditions for American options.
Quote from sle:
Thank you for the vote of confidence
If I had to do it again, I'd go with one of the packages in R and avoid excel all together. As a note, just make sure that you properly figure out the forwards for each expiry (you can do that from the option chain) and take into account the early ex conditions for American options.
That's great that you like R (S) also.
Thanks for the tips - I know from your posts that you know a lot more about options than I do.
I am planning on doing it in R as far as my own work goes. I had been thinking of doing some preliminary testing in Excel first. I look at a lot of things.
But recently I have been using R's data.table a lot (computing continuous futures contracts initially) and am finding that it may be better than Excel anyway for me. data.table is far better than xts (actually you can combine the two easily) has enormous capacity and speed and you can add columns and rows quite easily as you go.
But it is quite tricky at first so those less interested in mind-challenging vector and list programming (which has a significant learning curve) will likely still prefer Excel.
I use Hoadley and also find it clunky. But what are the alternatives? I am not trading at a size that justifies OptionVue.
Back in the day I wrote macros in Lotus 123. That went down the tubes when the company I worked for switched to Quattro, and just when I mastered that switched again to Excel. Promotion and the 18 hour days that ensued meant I never had time to learn VBA, though I have become pretty good with spreadsheets.
Now that I have switched from directional trading to trading options, I have to choose how best to spend my time. Learning the theory of options, how things actually work in reality, studying price and volatility in underlying instruments and how that translates to successful option trades is time consuming. Is my time better spent doing this or learning VBA or whatever and putting together my own analytical tools?
Well the short answer for me is that I am in the business of trading. If there are better alternatives that are reasonably priced relative to the size I trade, I would happily pay for them.
In a sense what I am buying is time.
Out of curiosity, what would you think is a reasonable amount of pay for a standalone options software package as well as an integrated platform (e.g. historical data with updates + analysis software + maybe even some analysis function and scans)? Just trying to see if services like LiveVol are reasonably priced in your opinion.
PS. I have never looked at the retail platforms, but from some questions/problems I've heard here so far, they don't do a very good job