Tools

Working models and templates that go with the writing. Each one is built for a specific argument made elsewhere on this site, and each one is auditable — live formulas, no macros, no protected sheets, nothing computed somewhere else and pasted in as a value.

They are versioned. When a correction is made, the changelog inside the file records it, and anyone who has downloaded a copy gets told.

Option Greeks Calculator

Version 1.0 · Excel workbook

A Black-Scholes-Merton calculator for the five Greeks, with a continuous dividend yield. Five tabs, 118 live formulas.

• Vanilla European call and put, with price, Delta, Gamma, Vega, Theta and Rho — plus N(d1) and N(d2) side by side, so the difference between Delta and the probability of finishing in the money is visible rather than asserted.
• A call spread — the structure a capped index crediting strategy is economically equivalent to — with the net Greeks and a table of net Delta and net Gamma across the index level, so you can watch Gamma change sign inside the spread and move the strikes to your own.
• A put-call parity check that should read zero, so the workbook proves itself every time you change an input.

It does not price Asian, barrier, digital or cliquet structures. Those are path-dependent and need simulation.

Goes with The Greeks Are an Operating Budget.