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{"sheet":"Notes","index":0,"n_rows":20,"n_cols":1,"rows_kept":20,"cut":false,"hidden":false,"merged":[[2,0,2,9],[4,0,4,9]]}
["Welcome To OptionMath.com"]
[]
["This OptionMath.com spreadsheet is intended as a companion for the books \"Options Math\" and \"The Complete Book of Options Spreads and Combinations\" by Scott Nations and published By John Wiley & Sons"]
[]
["If you have any questions, suggestions for this workbook or even have a bug to report, please feel free to email us at Questions@OptionMath.com"]
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["Macros must be enabled for the calculator to operate."]
[]
["Option Price Calculator "]
["The worksheet labelled Option Price Calculator is a simple option pricer.  Directions for use are included."]
["Enter the requested option parameters in the dark blue cells."]
["Output values will be displayed underneath in the light blue shaded cells."]
[]
["Implied Volatility Calculator"]
["The Implied Volatility Calculator spreadsheet allows you to calculate the volatility implied by observed option prices"]
["Enter the requested option parameters in the dark blue cells."]
["Output values will be displayed underneath in the light blue shaded cells."]
[]
["Spread Calculator"]
["In order to calculate the theoretical price, implied volatilities, or total greeks for any spread or combination simply calculate for each leg independently and then add or subtract.  "]

{"sheet":"Option Price Calculator","index":1,"n_rows":20,"n_cols":5,"rows_kept":20,"cut":false,"hidden":false,"merged":[[3,1,3,2],[12,1,12,3],[0,0,0,2],[1,0,1,2]]}
["OptionMath.com"]
["Option Price Calculator"]
[]
[null,"The Inputs"]
[null,"Price of Underlying Stock",20,"The current price of the stock or ETF"]
[null,"Strike Price",22,"The strike price of the option"]
[null,"Today's Date",{"$f":"TODAY()","v":"2024-10-31"}]
[null,"Expiration Date","2025-07-19","The expiration date of the option (if you're Interested In a hypothectical option with \"X\" days to expiration simply make this cell's formula today's date, Cell C6, plus X."]
[null,"Volatility",0.2,"The historical volatility of the underlying stock or your best guess of the realized volatility for the term of the option"]
[null,"Risk Free Rate",0.05,"The current risk free interest rate.  The 30-day T-bill rate is standard"]
[null,"Dividened Yield",0,"The annualized dividend yield.  Dividends present special problems for all calculators.  We'll discuss further in the endnotes page"]
[null,"DTE (Years)",{"$f":"(C8-C7)/365","v":0.71506849315068488}]
[null,"The Outputs"]
[null,null,"Call Option","Put Option"]
[null,"Theoretical Option Value",{"$f":"CallOption(C5,C6,((C8-C7)/365),C10,C9,C11)","v":0.86051875173348424},{"$f":"PutOption(C5,C6,((C8-C7)/365),C10,C9,C11)","v":2.08783869679616}]
[null,"Delta",{"$f":"CallDelta(C5,C6,((C8-C7)/365),C10,C9,C11)","v":0.3945082780667053},{"$f":"Putdelta(C5,C6,((C8-C7)/365),C10,C9,C11)","v":-0.6054917219332947},"The amount by which we would expect the option price to change for each $1 change in the price of the undelrying stock.  Delta is also the percentage likelihood that the option will be ITM at expiration."]
[null,"Gamma",{"$f":"Gamma1(C5,C6,((C8-C7)/365),C10,C9,C11)","v":0.11379621024621739},{"$f":"Gamma1(C5,C6,((C8-C7)/365),C10,C9,C11)","v":0.11379621024621739},"The amount by which the option's Delta will change with a $1 change in the price of the undelrying stock."]
[null,"Theta",{"$f":"CallTheta(C5,C6,((C8-C7)/365),C10,C9,C11)","v":-3.4571288286295073E-3},{"$f":"PutTheta(C5,C6,((C8-C7)/365),C10,C9,C11)","v":-5.4927678136064764E-4},"The amount by which the option's price will change given the passage of a single day.  Note that the option's value will always be expected to decline."]
[null,"Vega",{"$f":"vega(C5,C6,((C8-C7)/365),C10,C9,C11)","v":6.5097667669616957E-2},{"$f":"vega(C5,C6,((C8-C7)/365),C10,C9,C11)","v":6.5097667669616957E-2},"The amount by which the option's price will change given a 1% (i.e. from 20% to 21%) change in the volatility input."]
[null,"Rho",{"$f":"CallRho(C5,C6,((C8-C7)/365),C10,C9,C11)","v":5.0266789515226354E-2},{"$f":"PutRho(C5,C6,((C8-C7)/365),C10,C9,C11)","v":-0.10152308735220809},"The amount by which the option's price will change given a 1% (i.e. from 1% to 2%) change in the interest rate input."]

{"sheet":"Implied Volatility Calculator","index":2,"n_rows":21,"n_cols":4,"rows_kept":21,"cut":false,"hidden":false,"merged":[[0,0,0,2],[3,1,3,2],[13,1,13,3],[1,0,1,2]]}
["OptionMath.com"]
["Implied Volatility Calculator"]
[]
[null,"The Inputs"]
[null,"Price of Underlying Stock",20,"The current price of the stock or ETF"]
[null,"Strike Price",20,"The strike price of the option"]
[null,"Option Type (P for Put or C for Call)","p","The type of option.  C for call, P for put."]
[null,"Observed Option Price",1,"The current price of the option.  The average of the bid price and ask price is best."]
[null,"Today's Date",{"$f":"TODAY()","v":"2024-10-31"}]
[null,"Expiration Date","2025-07-19","The expiration date of the option (if you're Interested In a hypothectical option with \"X\" days to expiration simply make this cell's formula today's date, Cell C6, plus X."]
[null,"Risk Free Rate",0.05,"The current risk free interest rate.  The 30-day T-bill rate is standard"]
[null,"Dividened Yield",0,"The annualized dividend yield.  Dividends present special problems for all calculators.  We'll discuss further in the endnotes page"]
[null,"DTE (Years)",{"$f":"(C10-C9)/365","v":0.71506849315068488}]
[null,"The Outputs"]
[null,null,{"$f":"IF(C7=\"C\",\"Call Option\",IF(C7=\"P\",\"Put Option\",\"Option Type?\"))","v":"Put Option"}]
[null,"Option Implied Volatility",{"$f":"IF(C7=\"C\",ImpliedCallVolatility(C5,C6,((C10-C9)/365),C11,C8,C12),IF(C7=\"P\",ImpliedPutVolatility(C5,C6,((C10-C9)/365),C11,C8,C12),\"Option Type?\"))","v":0.19962310791015625},"The volatility for the term of the option implied by the observed option price."]
[null,"Delta",{"$f":"IF(C7=\"C\",CallDelta(C5,C6,((C10-C9)/365),C11,C16,C12),IF(C7=\"P\",Putdelta(C5,C6,((C10-C9)/365),C11,C16,C12),\"Option Type?\"))","v":-0.38353645561181393},"The amount by which we would expect the option price to change for each $1 change in the price of the undelrying stock.  Delta is also the percentage likelihood that the option will be ITM at expiration."]
[null,"Gamma",{"$f":"IF(C7=\"C\",Gamma1(C5,C6,((C10-C9)/365),C11,C16,C12),IF(C7=\"P\",Gamma1(C5,C6,((C10-C9)/365),C11,C16,C12),\"Option Type?\"))","v":0.11309499788629962},"The amount by which the option's Delta will change with a $1 change in the price of the undelrying stock."]
[null,"Theta",{"$f":"IF(C7=\"C\",CallTheta(C5,C6,((C10-C9)/365),C11,C16,C12),IF(C7=\"P\",PutTheta(C5,C6,((C10-C9)/365),C11,C16,C12),\"Option Type?\"))","v":-1.2817051530090145E-3},"The amount by which the option's price will change given the passage of a single day.  Note that the option's value will always be expected to decline."]
[null,"Vega",{"$f":"IF(C7=\"C\",vega(C5,C6,((C10-C9)/365),C11,C16,C12),IF(C7=\"P\",vega(C5,C6,((C10-C9)/365),C11,C16,C12),\"Option Type?\"))","v":6.4574617714275417E-2},"The amount by which the option's price will change given a 1% (i.e. from 20% to 21%) change in the volatility input."]
[null,"Rho",{"$f":"IF(C7=\"C\",CallRho(C5,C6,((C10-C9)/365),C11,C16,C12),IF(C7=\"P\",PutRho(C5,C6,((C10-C9)/365),C11,C16,C12),\"Option Type?\"))","v":-6.200084981526837E-2},"The amount by which the option's price will change given a 1% (i.e. from 1% to 2%) change in the interest rate input."]