Welcome to options.live
This version: options.live 6.01
Instructions:
I: Setup and navigation1) Requires Excel 97 or later.2) When opening the workbook, you must enable the macros.3) The analysis toolpack and analysis toolpack/VBA must be enabled:
4) In order to update prices from the web, your computer must be on-line.5) Navigate the workbook via the hyperlink menu (by the optionslive icon) or via the spreadsheet tabs at the bottom of the window6) some cells have red flags to indicate helpful (maybe) comments. to view the comments, place your cursor on the cell. For example, here: Menu: (click to move to location)II: Getting started - selecting options and the underlying stock 1) Supply information on the "choose options" page (Eight items): - begin by finding the stock and option symbols on the "symbols" page - use the information on the symbols page to choose:Input #1: Select Index or Stock
Input #2: a) stock ticker symbol, or index symbol (OEX)Input #3: b) 3-digit CBOE stock codeInputs #4 & #6: c) a "nearby"month and a "back" month for option quotes
2) Provide volatility estimates
(if unsure, choose 30% or so, then calibrate later)
3) Estimate the current stock price.Input #8: Select a price (increments of $50) closest to the current stock price.
4) Provide T-bill discount rates for monthly expirationsInput #9:
III: Update data1) update data by clicking the "update all prices" button on the "choose options" page.
IV: Calibration and "reasonableness" check1) Check prices
Enable toolpacks on menu bar: Tools/Add-Ins ; ensure that the toolpacks are checked.
instructionsabout options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysisStock ticker symbols & CBOE option symbols
Note: It's probably best to begin with active options such as:
Input #5: estimated (annualized) return volatility through the nearby month expiry.Input #7: estimated (annualized) return volatility through the back month expiry.
Note: options.live 6.01 restricts the price to be below $2,500.
- probable source is the Wall Street Journal, at least until we find a web source.
Some of the more active options as of November 1999 include:Index ticker option symbolS&P 100 OEX various*
Stock ticker option symbolIntel INTC INQDell DELL DLQAmazon AMZN ZQN America Online AOL AOLAT&T T T Cisco CSCO CYQHewlett-Packard HWP HWPIBM IBM IBM MCI Worldcom WCOM LDQ
*Index option symbols vary with $100 strike price ranges.
visit the "collected prices" page to examine the harvested prices. The collected prices near the money should look reasonable. Other prices will be missing or seem unreasonable due to "border" problems: see comment here: 2) Calibrate volatility visit the "implied volatility comparisons" page and examine the graph. there should be a region around the money where implied volatilities are reasonable (e.g. between 10% and 100%) Use the "reasonable" region to aid your estimate of volatility. - you may wish to change the estimated volatility that you supplied on the "choose options" page. - you will not need to update prices just because you changed volatility.
V: Position profit analysis
- use "1" (positive) to indicate a long position, "-1" to indicate short, etc.
- C = Call - P = Put - S = share of stock
- all five strike price choices should be associated with "reasonable" prices - or near the money - choice of strike price doesn't affect positions in shares.
5) Calibrate graphs - label the graph (if desired) - choose maturity to graph: either "1" for times between now and the nearby expiry, or "2" for times between now and the back month expiry.6) Notes: - the position profit assumes that: a) the position is established at the current market prices b) the position is closed at theoretical (model) prices for given future dates and scenarios c) positions that have a positive cost to establish are charged interest at the riskless rate, (i.e. the profit is reduced by the opportunity cost of the funds) d) positions that have a negative cost to establish are credited with interest accruing at the riskless rate (profit is enhanced by interest earned on funds received) VI: Have Fun - warning: this is NOT idiot-proof software…Mann makes no warranty as to the validity or usefulness of any analysis provided herein.
VII: Visit the "about options.live" page for the location of updated versions of the software, as well as contact information for the author.here:
1) Choose position by selecting positions in calls, puts, and/or shares:
2) Continue position selection by selecting types of calls, puts, or shares:
3) Choose strike prices
4) Choose option maturities - choose "1" for the nearby month, or - choose "2" for the back month.
about options.live
The price collection method creates ticker symbols and asks for the prices. Whether the given symbol represents a certain strike price dpends on the location of the underlying stock price. For example, the option symbol ending in "T" will probably represent a $100 strike price for a stock priced around $100, but would probably represent a $200 strike price for a stock priced around $180 or so.
Some of the more active options as of November 1999 include:Index ticker option symbolS&P 100 OEX various*
Stock ticker option symbolIntel INTC INQDell DELL DLQAmazon AMZN ZQN America Online AOL AOLAT&T T T Cisco CSCO CYQHewlett-Packard HWP HWPIBM IBM IBM MCI Worldcom WCOM LDQ
*Index option symbols vary with $100 strike price ranges.
document.xls About options.live
About options.live
This version: options.live 6.01
For the latest updates, visit:
or Steve Mann's TCU homepage:
Comments, questions, or suggested improvements:Steven C. MannAssociate Professor of FinanceThe Neeley School of Business at [email protected](817) 257-7569
Usage notes and comments:1) The software is work-in-progress. This version does not place protection on any cells. Menu: (click to move to location) Therefore, you should probably save the workbook under another name so that if you change it you can still open the original (hopefully working) version (grin).2) The story of the French soldiers and stone soup is particularly appropriate to this project: With this workbook I place a stone in the pot…suggestions, improvements, etc are welcome.3) The "Choose Options" page provides a link to a very large included worksheet from the CBOE that contains the CBOE symbols list as of February 29, 2000. Changes are possible; be aware.4) The "Choose options" page requires the user to provide legitimate symbols and expiry months: check the CBOE list to confirm the validity of your choices, or visit the CBOE (www.cboe.com) for additional information. CBOE traded options are in one of three "cycles" for expiry months. For a complete list of the expiry months, visit: "www.cboe.com/tools/symbols/codes"5) This Software is for educational purposes only; Mann provides no warranty. Any commercial use requires express consent.
In other words, the calculations may not work if the strike prices do not correspond to existing options. I think the problem is fixed, but you should set all strike prices close to the money initially if you encounter problems.7) The fractal design forming the background for the option.live logo was created with WinFract - version 18.21 (freeware)8) All theoretical option prices based on the basic Black-Scholes-Merton model (no dividends).9) The web queries use pcquote.com servers. The prices are 20 minutes delayed, and the servers don't always work.
http://www.optionslive.com/
http://sbufaculty.tcu.edu/mann
instructionsabout options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis
6) For the position profit analyzer: strike prices for all five potential positions may need to be changed to map to existing options.
User Input page: Select Stock and Option series
Menu: (click to move to location)###
#1: Select option type (stock or index) ######
#2: Underlying (Stock or Index) ticker symbol MSFT ######
#3: Option symbol abbreviation (3 characters) MSQ ######
Follow this link for complete symbol list: ######
#4: Choose "nearby" expiration month #########
#5: estimated volatility - through nearby month: 40%
#6: Choose "back" expiration month
#7: estimated volatility - through back month: 40%
#8:
#9: As Needed: Update interest rates using T-bill discount rates
Options.live 6.01 provides T-bill discounts as of 11.12.2001
12/30/1899 12/29/1899 1.80 0.96%12/30/1899 12/29/1899 1.80 0.96%12/30/1899 12/29/1899 1.78 0.95%12/30/1899 12/29/1899 1.78 0.95%12/30/1899 12/29/1899 1.80 0.96%12/30/1899 12/29/1899 1.82 0.96%12/30/1899 12/29/1899 1.85 0.97%12/30/1899 12/29/1899 1.90 0.99%12/30/1899 12/29/1899 1.95 1.00%12/30/1899 12/29/1899 2.00 1.02%12/30/1899 12/29/1899 1.91 0.99%12/30/1899 12/29/1899 1.84 0.97%
Instructions: Select inputs #1-9. Then update prices via button. See "Instructions" page for details
instructionsabout options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis
symbols
collected prices
Select price closest to current stock price
optionexpiration
date
"optimal" T-bill
maturity
T-bill discount
(bid-ask avg)
continuousrate
(from discount)
Update all prices(click here to refresh all web queries)
file: document.xls; Sheet: Position Profit analyzer Finanalysis software by Steven C. Mann. 05/08/2023
Menu: (click to move to location)
Graph Label: Straddle Graph display calibration
Option maturity: 1=near, 2=back 2multiple for price axis* 1.00
value date May 8, 2023 *Note: widen range using # > 1, narrow using # <1
Input Area: Position greeks
Delta Gamma vega theta rho
1 C 60 2 40% #VALUE! 4.80 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!1 P 60 2 40% #VALUE! 4.10 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!0 C 65 2 40% #VALUE! 0.00 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!0 P 65 2 40% #VALUE! 0.00 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!0 C 5 2 40% #VALUE! 0.00 #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!
total #VALUE! 8.90
total #VALUE! #VALUE! #VALUE! #VALUE! #VALUE!value difference #VALUE!
Current Stock price: 60 2/67
MSFT
Option Maturity 1 - Nearby month 2 - back month Month May July expiration 12/30/1899 12/30/1899 days remaining -45054 -45054 riskless rate 0.96% 0.97%
calls: May JulyStrike call price call ISD call price call ISD
0 0.000 #VALUE! 0.050 #VALUE!5 Last Price Not Available#VALUE! 0.050 #VALUE!
10 Last Price Not Available#VALUE! Last Price Not Available#VALUE!15 Last Price Not Available#VALUE! Last Price Not Available#VALUE!20 Last Price Not Available#VALUE! Last Price Not Available#VALUE!25 Last Price Not Available#VALUE! Last Price Not Available#VALUE!30 Last Price Not Available#VALUE! Last Price Not Available#VALUE!35 Last Price Not Available#VALUE! Last Price Not Available#VALUE!40 Last Price Not Available#VALUE! Last Price Not Available#VALUE!45 Last Price Not Available#VALUE! Last Price Not Available#VALUE!50 11.500 #VALUE! 11.800 #VALUE!55 6.800 #VALUE! 8.000 #VALUE!60 3.100 #VALUE! 4.800 #VALUE!65 1.000 #VALUE! 2.400 #VALUE!70 0.250 #VALUE! 1.050 #VALUE!75 0.100 #VALUE! 0.400 #VALUE!80 0.000 #VALUE! 0.150 #VALUE!85 0.000 #VALUE! 0.100 #VALUE!90 0.000 #VALUE! 0.050 #VALUE!95 0.000 #VALUE! 0.100 #VALUE!
puts May JulyStrike put price put ISD put price put ISD
0 0.000 #VALUE! 38.500 #VALUE!5 Last Price Not Available#VALUE! 43.000 #VALUE!
10 Last Price Not Available#VALUE! Last Price Not Available#VALUE!15 Last Price Not Available#VALUE! Last Price Not Available#VALUE!20 Last Price Not Available#VALUE! Last Price Not Available#VALUE!25 Last Price Not Available#VALUE! Last Price Not Available#VALUE!30 Last Price Not Available#VALUE! Last Price Not Available#VALUE!35 Last Price Not Available#VALUE! Last Price Not Available#VALUE!40 Last Price Not Available#VALUE! Last Price Not Available#VALUE!45 Last Price Not Available#VALUE! Last Price Not Available#VALUE!50 0.350 #VALUE! 1.100 #VALUE!55 1.100 #VALUE! 2.200 #VALUE!60 2.600 #VALUE! 4.100 #VALUE!65 5.600 #VALUE! 6.500 #VALUE!70 9.700 #VALUE! 10.400 #VALUE!75 14.200 #VALUE! 14.900 #VALUE!80 0.000 #VALUE! 17.800 #VALUE!85 0.000 #VALUE! 22.500 #VALUE!90 0.000 #VALUE! 28.000 #VALUE!95 0.000 #VALUE! 36.000 #VALUE!
instructionsabout options.livechoose options view 3D graphImplied volatility comparisons view 2D graphCall greeksPosition profit and risk analysis
Choose position in each option
(or # of shares):use "1" for long,use "-1" for short
Choosetype:
P=PutC=CallS=Stock
Choose strikes:
ChooseOption
maturity:1 = nearby 2 = back
assumedvolatility
theoretical position cost
actual position
cost
Stockticker
3638
4143
4648
5053
55 5860
6265
6770
7274
7779
8284
(5.00)
0.00
5.00
10.00
15.00
20.00
25.00
Expiry-36043
-27032-18021
-9010
1
Position net gain (theoretical)
asset price
posi
tion
valu
e
days from today
StraddleMSFT
36 38 41 43 46 48 50 53 55 58 60 62 65 67 70 72 74 77 79 82 84(5.00)
0.00
5.00
10.00
15.00
20.00
25.00
Position net gain: marked to model values
Expiry-36043-27032-18021-90101
asset price
posi
tion
valu
e
Update all prices(click here to refresh all web
queries)
If no position, input "0"
Change the label manually by typing
file: document.xls; Sheet: call greeks Finanalysis software by Steven C. Mann. 05/08/2023
Menu: (click to move to location) Asset Call graph spread factor: 1
scroll down to view price Value delta gamma vega theta rho graphs for greeks 39.00 ### ### ### #VALUE! #VALUE! #VALUE! 0.00
41.60 ### ### ### #VALUE! #VALUE! #VALUE! 0.00 MSFT 44.20 ### ### ### #VALUE! #VALUE! #VALUE! 0.00
46.80 ### ### ### #VALUE! #VALUE! #VALUE! 0.00 49.40 ### ### ### #VALUE! #VALUE! #VALUE! 0.00
model inputs: output: 52.00 ### ### ### #VALUE! #VALUE! #VALUE! 0.00 Current Asset price (S) 60.03 Model Actual 54.60 ### ### ### #VALUE! #VALUE! #VALUE! 0.00 Exercise Price (K) 65.00 Value #VALUE! 2.400 57.20 ### ### ### #VALUE! #VALUE! #VALUE! 0.00 ###Expiration date 12/30/99 difference #VALUE! 59.80 ### ### ### #VALUE! #VALUE! #VALUE! 0.00 ###riskless rate 0.97% 62.40 ### ### ### #VALUE! #VALUE! #VALUE! 0.00 user-supplied volatility 40.0% call greeks: Model Implied 65.00 ### ### ### #VALUE! #VALUE! #VALUE! 0.00 observed call price $ 2.400 delta #VALUE! #VALUE! 67.60 ### ### ### #VALUE! #VALUE! #VALUE! 2.60
gamma #VALUE! #VALUE! 70.20 ### ### ### #VALUE! #VALUE! #VALUE! 5.20 time until expiration (years) 123.355 vega #VALUE! #VALUE! 72.80 ### ### ### #VALUE! #VALUE! #VALUE! 7.80
theta #VALUE! #VALUE! 75.40 ### ### ### #VALUE! #VALUE! #VALUE! 10.40 implied volatility #VALUE! rho #VALUE! #VALUE! 78.00 ### ### ### #VALUE! #VALUE! #VALUE! 13.00
80.60 ### ### ### #VALUE! #VALUE! #VALUE! 15.60 83.20 ### ### ### #VALUE! #VALUE! #VALUE! 18.20 85.80 ### ### ### #VALUE! #VALUE! #VALUE! 20.80 88.40 ### ### ### #VALUE! #VALUE! #VALUE! 23.40 91.00 ### ### ### #VALUE! #VALUE! #VALUE! 26.00
instructions intrinsicvalueabout options.live
choose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis
As-set
price 39.00 41.60 44.20 46.80 49.40 52.00 54.60 57.20 59.80 62.40 65.00 67.60 70.20 72.80 75.40 78.00 80.60 83.20 85.80 0.00
0.10
0.20
0.30
0.40
0.50
0.60
0.70
0.80
0.90
1.00 Delta: call slope
As-set
price
39 42 44 47 49 52 55 57 60 62 65 68 70 73 75 78 81 83 86 0.000
2.000
4.000
6.000
8.000
10.000
12.000 Gamma: change in delta
As-set
pric
e
39 42 44 47 49 52 55 57 60 62 65 68 70 73 75 78 81 83 86 0.0
2.0
4.0
6.0
8.0
10.0
12.0 Vega: sensitivity to volatility
As-set
pric
e
39.00
41.60
44.20
46.80
49.40
52.00
54.60
57.20
59.80
62.40
65.00
67.60
70.20
72.80
75.40
78.00
80.60
83.20
85.80
0.0
2.0
4.0
6.0
8.0
10.0
12.0Theta: time decay
As-set
price
39 42 44 47 49 52 55 57 60 62 65 68 70 73 75 78 81 83 86 0.0
2.0
4.0
6.0
8.0
10.0
12.0Rho: sensitivity to riskless rate
39 42 44 47 49 52 55 57 60 62 65 68 70 73 75 78 81 83 86 88 91 $0
$5
$10
$15
$20
$25
$30
Call option Value
document.xls implied volatility
Menu: (click to move to location)MSFT
current stock price 60.0300
Calls PutsMay July May July
Strike 12/30/1899 ### 12/30/1899 ###0 #VALUE! #VALUE! #VALUE! #VALUE!
MSFT5 #VALUE! #VALUE! #VALUE! #VALUE! May 8, 202310 #VALUE! #VALUE! #VALUE! #VALUE!15 #VALUE! #VALUE! #VALUE! #VALUE!20 #VALUE! #VALUE! #VALUE! #VALUE!25 #VALUE! #VALUE! #VALUE! #VALUE!30 #VALUE! #VALUE! #VALUE! #VALUE!35 #VALUE! #VALUE! #VALUE! #VALUE!40 #VALUE! #VALUE! #VALUE! #VALUE!45 #VALUE! #VALUE! #VALUE! #VALUE!50 #VALUE! #VALUE! #VALUE! #VALUE!55 #VALUE! #VALUE! #VALUE! #VALUE!60 #VALUE! #VALUE! #VALUE! #VALUE!65 #VALUE! #VALUE! #VALUE! #VALUE!70 #VALUE! #VALUE! #VALUE! #VALUE!75 #VALUE! #VALUE! #VALUE! #VALUE!80 #VALUE! #VALUE! #VALUE! #VALUE!85 #VALUE! #VALUE! #VALUE! #VALUE!90 #VALUE! #VALUE! #VALUE! #VALUE!95 #VALUE! #VALUE! #VALUE! #VALUE!
instructionsabout options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis
0 5 10 15 20 25 30 35 40 45 50 55 60 65 70 75 80 85 90 950%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
110%
120%
130%
140%
150%
Implied volatilities nearby callsback month callsnearby putsback month puts
document.xls collected prices
Menu: (click to move to location)
tickerstock info: MSFT 60 2/67
Collected prices from the web:Calls Puts
Strike May price July price May price July price ###
0 T .MSQET 0 .MSQGT 1/20 .MSQQT 0 .MSQST 38 1/2 OEX5 A .MSQEALast Price Not Available.MSQGA 1/20 .MSQQALast Price Not Available.MSQSA 43 OEX10 B .MSQEBLast Price Not Available.MSQGBLast Price Not Available.MSQQBLast Price Not Available.MSQSBLast Price Not Available OEX15 C .MSQECLast Price Not Available.MSQGCLast Price Not Available.MSQQCLast Price Not Available.MSQSCLast Price Not Available OEX20 D .MSQEDLast Price Not Available.MSQGDLast Price Not Available.MSQQDLast Price Not Available.MSQSDLast Price Not Available OEX25 E .MSQEELast Price Not Available.MSQGELast Price Not Available.MSQQELast Price Not Available.MSQSELast Price Not Available OEX30 F .MSQEFLast Price Not Available.MSQGFLast Price Not Available.MSQQFLast Price Not Available.MSQSFLast Price Not Available OEX35 G .MSQEGLast Price Not Available.MSQGGLast Price Not Available.MSQQGLast Price Not Available.MSQSGLast Price Not Available OEX40 H .MSQEHLast Price Not Available.MSQGHLast Price Not Available.MSQQHLast Price Not Available.MSQSHLast Price Not Available OEX45 I .MSQEILast Price Not Available.MSQGILast Price Not Available.MSQQILast Price Not Available.MSQSILast Price Not Available OEX50 J .MSQEJ 11 1/2 .MSQGJ 11 4/5 .MSQQJ 7/20 .MSQSJ 1 1/10 OEX55 K .MSQEK 6 4/5 .MSQGK 8 .MSQQK 1 1/10 .MSQSK 2 1/5 OEX60 L .MSQEL 3 1/10 .MSQGL 4 4/5 .MSQQL 2 3/5 .MSQSL 4 1/10 OEX65 M .MSQEM 1 .MSQGM 2 2/5 .MSQQM 5 3/5 .MSQSM 6 1/2 OEX70 N .MSQEN 1/4 .MSQGN 1 1/20 .MSQQN 9 7/10 .MSQSN 10 2/5 OEX75 O .MSQEO 1/10 .MSQGO 2/5 .MSQQO 14 1/5 .MSQSO 14 9/10 OEX80 P .MSQEP 0 .MSQGP 3/20 .MSQQP 0 .MSQSP 17 4/5 OEX85 Q .MSQEQ 0 .MSQGQ 1/10 .MSQQQ 0 .MSQSQ 22 1/2 OEX90 R .MSQER 0 .MSQGR 1/20 .MSQQR 0 .MSQSR 28 OEX95 S .MSQES 0 .MSQGS 1/10 .MSQQS 0 .MSQSS 36 OEW
currentprice
instructionsabout options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis
strikecode
Update all prices(click here to refresh all
web queries)
The Options Toolbox Symbols Directory Menu: (click to move to location)29-Feb-00
update symbols:Expiry cycles:
Cycle: usual months1 January, April, July, October; plus the next month2 February, May, August, November,; plus next month3 March, June, September, December; plus next month
All Equity Options and Equity LEAPS Listings - Alphabetical by company nameName Op Sym Stk-Sym Exc-Opt Cyc Jan-'01 Jan-'02 (the window pane is frozen here)
S&P 100 Index (OEX) OEX C24/7 Media, Inc BMQ TFSM ACP 13Com Corporation THQ COMS ACPX 1 ZTH WTH3DFX Interactive, Inc FQ TDFX ACP 34Front Technologies, Inc. QFO FFTI A 14Kids Entertainment, Inc IUK KIDE AC 28x8, Inc EDQ EGHT C 299 Cents Only Stores NDN NDN AP 3A.O. Smith Corporation AOS AOS P 3
instructions
http://www.cboe.com/tools/symbols about options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis
Menu: (click to move to location)
back to position profit
instructionsabout options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis
36 38 41 43 46 48 50 53 55 58 60 62 65 67 70 72 74 77 79 82 84
(5.00)
0.00
5.00
10.00
15.00
20.00
25.00
Expiry
-36043
-27032
-18021
-9010
1
Position net gain (theoretical)
asset price
posit
ion
valu
e
days from today
StraddleMSFT
Menu: (click to move to location)
back to position profit
instructionsabout options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis
Menu: (click to move to location)
back to position profit
instructionsabout options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis
36 38 41 43 46 48 50 53 55 58 60 62 65 67 70 72 74 77 79 82 84(5.00)
0.00
5.00
10.00
15.00
20.00
25.00 Position net gain: marked to model values
Expiry-36043-27032-18021-90101
asset price
posit
ion
valu
e
Menu: (click to move to location)
back to position profit
instructionsabout options.livechoose optionsImplied volatility comparisonsCall greeksPosition profit and risk analysis