OM Session 6

Bruno

Member
Decided to cover a bit more pricing issues to be in a position to be able to plot all sorts of combos for instance on Excel.
The B&S spreadsheet is available on request: it contains Raphson-Newtown and a few other goodies like interest rates extraction from the internet.
Video available here https://my.aeromir.com/go/u.ffe2/fid/10940/hash/8698454FEAE86858BE35.html
With the available tools now, it is calculate and plot projections using Individual Volatilities (called EIOIO on OptionVue).

For those also interested in Nelder-Mead, here is a link to the spreadsheet with fairly simple VBA code: https://www.dropbox.com/s/wfw121vobn3ijgn/neldermead_downhillsimplex.xlsm?dl=0
 

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status1

Member
Hmmm... I can't seem to get the same price for the put and call as it's shown in TOS

I changed the date to Nov 15 since there is no SPX expiration for Nov 14
I also changed the underlying to 3006.72 for today's closing and left the 3000 strike the same
Than I also changed the volatility to 14% Everything else I left the same
So I got 46.68 for the call and 40.32 for the put while on TOS I have 39.50 as the mark for the call and 32.85 for the put

Is there anything else I should change to make it closer to the TOS numbers ?
 

Bruno

Member
Hi Status1,
Apologies for this quick & dirty update to the B&S model spreadsheet.
I added a query to retrieve an options chain from Yahoo from which I could derive a simple vol skew.
There could be a way to be more specific but at this time the query takes no parameter hence it downloads the default one and that is the DEC chain that is loading on the spreadsheet (at this time).
I believe you would be able to get what you want by using simple RTD calls from either IB or TOS in the right-hand table (1% OTM etc.)
Excel then extrapolates ATM IV and the slope of the vol skew.

I have tested it on Office365 32bit and I have never had any such error at this end.
Please download the updated version (same link) and try again.

Hope this helps
Bruno
 
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