Hello to all, I was trying to calculate speed (also known as dgammadspot and "the gamma of the gamma") using excel and found the following website: http://www.power4xl.com/black_scholes/functions/greeks.html which solves for the 5 main Greeks as well as d1 and d2. Can anyone confirm if "d1" refers to speed? Thank you very much!
d1 refers to the B-S d1, i.e: I really don't see why "speed" should be equal to d1. Isn't the expression for speed this: I might add that this is all in Wikipedia. Moreover, I don't really see why you'd need VBA to do all these, as they're relatively simple spreadsheet formulae.
Yes, d1 is itself a variable included in the formula for speed (among other Greeks), but I was wondering if the VB code on the noted site might be solving for speed and calling it d1 as a misnomer. I suppose it was more of an Excel question and I should probably have confined it to an Excel forum. I wasn't sure if those guys on excelforum.com (awesome though they are) would know much about option Greeks, though. As for why use VB, I simply don't know the spreadsheet formulas for calculating speed or the other Greeks. Can you direct me to them, kindly? Alternatively, is there any place on the net or otherwise where we can get quotes for speed on a given contract? No broker seems to offer that in their analytics, and even resources like Optionvue or Optionetcis Platinum don't have it.
Sorry, don't know about the excelforum d1 misnomer. For the Excel versions of all things Black-Scholes, I normally go with Collector's stuff (I mean Espen Haug). He's generally the authority on option pricing and his website has a lot of good stuff. See here: http://www.espenhaug.com/black_scholes.html Scroll down for the formulae, both in Excel directly and in VBA.
Speed is the delta of the gamma. Nobody tries to compute it with a closed form derivation. To get a sensible number, put some vegas and dvega /dspot in it.