Where to get Delta (and use it in Excel)

BlueTrader

BlueTrader

I would like to use Delta (one of the Greeks) for my calculations in Excel.

Does anybody of you guys know, is there any way how to load Delta to Excel? Is there any data source or other solution?

It's possible to load Delta from ThinkOrSwim, but the problem is, that I am not allowed to create ThinkOrSwim account (I am citizen of one of the countries which are not allowed to open an ToS account).

So I am looking for some other solution, where to get Delta.

Any ideas? Thank you :)
 
Martinghoul said:
Calculate it...
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I was thinking about it, but for the calculation I need repo (the level of repurchase agreement) and the volatility, etc.

I have IQ Feed data source, but unfortunately, they don't provide Delta or repo, etc.

I know several market data providers that can provide me with greeks on options for given underlying but they are quite expensive (Bloomberg, markit etc).

I am looking for some retail solution.
 
BlueTrader said:
I would like to use Delta (one of the Greeks) for my calculations in Excel.

Does anybody of you guys know, is there any way how to load Delta to Excel? Is there any data source or other solution?

It's possible to load Delta from ThinkOrSwim, but the problem is, that I am not allowed to create ThinkOrSwim account (I am citizen of one of the countries which are not allowed to open an ToS account).

So I am looking for some other solution, where to get Delta.

Any ideas? Thank you :)
More...

What country?
Why do you need it in excel vs viewing on your trading software?
 
S = spot
K = strike
r = risk-free rate
d = div yield
vol = volatility
T = Time

d1 = (LN(S/K)+(((r-d)+(vol^2)/2)*T))/(vol*sqrt(T))

N(d1)=NORM.DIST(d1,0,1,TRUE)

Call_delta = N(d1)

Put_delta = -N(d1)
 
Robert Morse said:
What country?
Why do you need it in excel vs viewing on your trading software?
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I sent you private message.

drm7 said:
Open an interactive brokers account and run hoadley's options tools on top of it. hoadley.net.
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Thank you for your suggestions.

I have Hoadley plugin, but for some reason, I stopped using it. I prefer to use my own calculations.

I was trying to use IB as data feed, but it's not very reliable. Loading data from IB is not smooth, it's shaky and sometimes I get wrong data. Sometimes the data feed is frozen, etc.

I have XLQ Excel plugin, it's very good tool for loading data from different sources.
 
Doobs789 said:
S = spot
K = strike
r = risk-free rate
d = div yield
vol = volatility
T = Time

d1 = (LN(S/K)+(((r-d)+(vol^2)/2)*T))/(vol*sqrt(T))

N(d1)=NORM.DIST(d1,0,1,TRUE)

Call_delta = N(d1)

Put_delta = -N(d1)
More...

If you need precision with your Delta value (want it accurate), you need to insure your choice for "vol" is correct (or as precise as you require).
 
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