What value does it give you? Does it generate income? Does it really give you a better picture of risk, that would make you do anything different? I know risk managers that monitor $5 billion multi asset funds including options that don't use it.
Aww come on, I was just joking around...the only thing I manage so far has been my own money. Maybe some day... Probably half of the reason I'm trading is because I love the business. I like the charts, the math, the analysis. Yes I'm a nerd. The other other half reason is the money. Kill me for saying this, but not everything I explore in this business needs to be valuable or income generating to be interesting to me.
Here attached is a first attempt at it. Not quite complete. The higher-order greeks need checking. If you finish or improve it, please post your improved version. Enter data only in the cells with colored background. You have to enable macros if you want it to solve for IV (if you input the put or call price instead of inputting the vol).
Ha, good one - got a rise out of a bunch of us. I was going to leave a response similar to what atticus said. My experience is that instead of second order greeks you are best of looking at actual market scenarios. If you are building a portfolio in excel, it's fairly easy to run simple things like spot/vol scenarios. When I was at a fund, I've built something like that in R to add flexibility.
As sle stated, run what-if scenarios on price, vol and time. Price up, vol down; price down, vol up. Knowing your dgamma/dtime is not a heuristic. I don't understnad how knowing the raw-number is going to do anything for your risk-assessment. Certainly not in vanilla options. Most have to do with contamination/skew risk. Model the portfolio VaR at jumps up/down in vola and time. I know some really sharp people who don't measure their gamma. They look to their daily thetas ($-figure!) out to a week as a risk-measure, and perhaps a VaR figure at one to two sigmas.
In terms of understanding your position in terms of risk premium, theta is the most important Greek. No matter what the gamma/vega/vanna/volga are, if you are paying nominal theta, you are long risk premium and if you are collecting you are probably short risk premium. It gets murky in a non-vanilla book (especially on a book with a large VoV position), but the general gist is still there.
The most important Greek in a position is the one that has the largest value. It will create your forward P & L.
Man you would be a poor poker player, I call your bluff. Your poker face of "I cannot afford to pay for shareware software" to manage a 200MM hedge fund is a very strong tell. What it tells me is you are not managing at 200MM portfolio.