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

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



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.

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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 thoughts on “Calculating Option Greeks Using a Spreadsheet (or Python) financial greeks”

  1. 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

  2. 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.

  3. 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.

  4. 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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