OPTIONS XL
OPTIONS XL is a Microsoft Excel add-in program that allows you to value options on stocks, foreign exchange, futures, fixed income securities, indices, commodities and Employee Stock Options (ESOs) using custom functions.
Market data from your quote vendor can be automatically passed to the custom functions via Dynamic Data Exchange.
Some of the ways that OPTIONS XL may be used are:
- Valuing option contracts on various assets including stocks, foreign exchange, futures, fixed income securities, indices and commodities
- Valuing employee stock options (ESOs) in accordance with FAS 123R of the Financial Accounting Standards Board
- Track portfolio positions in real-time (using DDE link from your quote vendor), including sensitivities such as delta, gamma, theta, vega, rho, psi and lambda
- Real options for capital budgeting
- Calculate implied volatility values based on the prices of exchange traded options
|
Non-dividend paying equities (the original) |
|
|
Futures (financials, energy, FX, commodities) |
|
|
Spot foreign exchange |
|
|
Dividend yield input (equities, indices, bonds) |
|
|
Assets with a continuous yield |
|
|
Eurodollar and bill futures options |
|
|
Pseudo-American |
Dividend paying equities, discrete dividends near |
|
Black-Scholes model modified to handle trading days |
|
|
Binomial |
Assets generating discrete cash flows (dividends) |
|
Flexible Binomial |
Flexible input of key option variables |
|
Method of Lines |
An efficient, accurate analytical valuation of American-style options. Based on the work of Peter Carr, formerly of Cornell University. |
|
The Jump-Diffusion method assumes that asset price changes do not follow a pure random process but also contain an unexpected "jump" component. |
|
|
Constant Elasticity of Variance model calculates option values based on non-constant volatility assumptions. |
|
|
Options that have a start date in the future based on "moneyness" ratio. |
|
|
Option Portfolio Optimization of OEX and stock option contracts. |
|
|
Real Options and Capital Project analysis using option pricing theory. |
|
|
Calculates option values for returns that do not follow the normal distribution. |
|
|
Calculates option values considering the employee exercise behavior using Monte Carlo simulation. |
|
|
Calculates the values of American-style options using several lattice or tree methods. Binomial, Enhanced Binomial and Trinomial techniques are included in this set. |
Functions
Options functions include Theoretical Value, Delta, Gamma, Theta, Vega, Rho, Psi, Lambda, Intrinsic Value, Implied Volatility and many more.
Recalculation speedup using Function Array and Strike Grid functions.
Templates
Standard Templates:
3-D Charting, Black-Scholes Illustrated, Binomial Tree Illustrated, Sensitivity Matrix
Nymex "Option and Futures Strategies"
John Hull "Options, Futures and Other Derivative Securities" book examples
Specialized Templates:
Fair Value Sheets: Trading sheets template for market-makers and traders
FAS123 Toolkit
Employee stock option valuation: Share-based Payment Navigator, FAS123 Wizard, Volatility Wizard, Peer Group Volatility, Flexible Monte Carlo Exercise Behaviour and more
Option Position Analysis
Option Position Analysis: Futures, Equities, Foreign Exchange, and Options Positions
Option Position Analysis Real-Time: Equity and Option Positions