Option Greeks Calculator
Version 1.2 · Excel workbook · Black-Scholes-Merton
A calculator for the five option Greeks, built for people who need to see the arithmetic rather than trust a black box. Five tabs, 246 live formulas, no macros, no protected sheets, nothing computed somewhere else and pasted in as a value. Every cell is auditable.
What is in it
Vanilla European call and put. Price plus Delta, Gamma, Vega, Theta and Rho, with a continuous dividend yield. N(d1) and N(d2) are shown side by side, so the difference between Delta and the probability of finishing in the money is visible rather than asserted — and you can watch the two separate as you raise volatility or lengthen the term.
A call spread. The structure a capped index crediting strategy is economically equivalent to. Net Greeks at the current level, plus a table of net Delta and net Gamma across the index. Both strikes are entered as percentages of the strike on the Inputs tab, so you can set your own product terms and watch Gamma change sign inside the spread. Every price also carries its cost as a percentage of notional, and a final block inverts the question: enter an option budget and read the cap it buys.
A put-call parity check that should read zero. The workbook proves itself every time you change an input.
What it does not do
It does not price Asian, barrier, digital or cliquet structures. Those are path-dependent and need simulation; a closed-form sheet that claims otherwise is wrong. It also assumes a single flat volatility rather than a surface, so it will not reproduce a smile or skew.
Verification
Every output was checked against an independent implementation before release. All twelve vanilla Greeks match to twelve decimal places and put-call parity returns exactly zero.
Version 1.2 adds cost as a percentage of notional beneath every price, an option budget block, and renames the call spread strikes after a reader found the old name collided with the participation rate. Version 1.1 corrected a defect the same reader found in 1.0. The call spread strikes were absolute index points that did not follow the index level, so changing the index without also changing them returned a plausible-looking number that meant nothing. They are percentages now, and the tab says so if the two ever fall out of scale.
Corrections are recorded on the changelog tab inside the file, and the Read Me tab carries the version number — check it against the version at the top of this page to see whether your copy is current. The form asks for an email so I know who is using the workbook. There is no mailing list.
Goes with The Greeks Are an Operating Budget.
