Calculating Option Greeks Using a Spreadsheet (or Python) financial greeks

by Krabihometownbt1
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In answer to a question in the comments, I show how to use a spreadsheet (as well as Python) to calculate the option greeks. This is straightforward. I’ll calculate delta, theta and gamma as an example.

The spreadsheet and Python notebook are both available in the github repo.

Wikipedia article on Greeks:
Wikipedia article on the Black-Scholes model:

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Calculating Option Greeks Using a Spreadsheet (or Python)

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Calculating Option Greeks Using a Spreadsheet (or Python)
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18 comments

Jim Diaz 11/09/2021 - 2:10 Chiều

Thank you very much Kevin. You are safe! You did not finish explaining the formula for Put Theta do you mind sharing the formula. Stay blessed

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Emmad Shahid 11/09/2021 - 2:10 Chiều

Hi, if the k is different for put, what should I do then ?

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Alexander Grischuk 11/09/2021 - 2:10 Chiều

Hello Kevin. Can you please explain how to Automate these Greeks values?

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Tarakesh nc 11/09/2021 - 2:10 Chiều

Excellent video !

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Akbar Boghani 11/09/2021 - 2:10 Chiều

Thanks for sharing. Is it possible to calculate the implied volatility as well?

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Arturo Aramburo 11/09/2021 - 2:10 Chiều

Thank you for the explanation!!

Hey Kevin!!

Can you make a video on how to isolate the Stock Price from the Black Scholes Formula for a put and for a call?

No one has done it on YouTube yet.

When you have an excel spreadsheet ready to calculate the option price; it’s very easy to find the stock price using Goal Seek or SOLVER, but to do that outside an excel environment, you have to algebraically isolate that variable. It is just a nice way of knowing your entry.

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Dedicated Motion 11/09/2021 - 2:10 Chiều

Can the Greeks be treated as money affecting profit directly?

It is clear they do not affect the option price, but I see you refer to theta in this video as bucks. That tells me they all could be handled as money, as you did when referring to theta in terms of dollars.

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HEBERT SILVA 11/09/2021 - 2:10 Chiều

Thanks!!! Just what I need for my PHP dashboard system. Great Job!!

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Beckenheimer 11/09/2021 - 2:10 Chiều

please make a video why theta not correct?

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Markus Berger 11/09/2021 - 2:10 Chiều

can you please check why theta is different with tastyworks

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Bernd Weiss 11/09/2021 - 2:10 Chiều

why is theta not the same like in tasty trade

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Bernd Weiss 11/09/2021 - 2:10 Chiều

everything is okay but theta not correct.

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Dedicated Motion 11/09/2021 - 2:10 Chiều

I see theta is multiplied by the number of shares per contract (100).

Is it the only Greek affected by that multiplier? Thank you…

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Arturo Aramburo 11/09/2021 - 2:10 Chiều

Thanks…..To calculate N(d1) and N(d2) this might help: https://youtu.be/-Hl-c0_RjxA

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ISHAQUE AHMED 11/09/2021 - 2:10 Chiều

Great job! Thanks a lot!

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admiral knnight 11/09/2021 - 2:10 Chiều

FINISH OFF UR DRINK! PUT IS SPELLED AS PUT & NOT "PUTT". & BY THE WAY WHAT THE HELL R U TRYING TO CONVEY TO THE COMMON MAN? ALL THE FIGURES R READILY AVAILABLE IN ALL THE PLATFORMS. WHY COMPLICATE ISSUES FOR HALF AN HOUR? & WHO KNOWS ABOUT PROGRAMMING?

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Amenoor Shaikh 11/09/2021 - 2:10 Chiều

Thanks for your valuable services, much appreciated 🙂

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Edmilson gonçalves 11/09/2021 - 2:10 Chiều

Great video!

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