I made a Options Strategy Analyzer in Excel. I need your idea to better it!

Discussion in 'Options' started by gztanwei, Mar 17, 2011.

  1. gztanwei

    gztanwei

    ***please give your idea and wish list to better it. What diagram do you want to see, what parameters to you need, etc. Thanks!

    http://www.quantcode.com/modules/my...&lid=604&com_mode=nest&com_order=0#comment997

    http://www.quantcode.com/modules/mydownloads/visit.php?cid=9&lid=604

    This file can
    1. download options data from Google Finance, and show you the price and Greeks in a straddle view.
    2. let you run your options strategies in the Strategy tab, and show you the 3D diagram of price and Greeks along time and price.

    To-Dos:
    1. add volatility skew into consideration, as IV of very out of money options may be very skewed.
    2. try to factor in discrete dividend better by changing to Binomial option pricing
    3. ultimate goal: strategy selector after you feed in 4 parameters: target time, target price, target volatility and target IV skew

    (only the 2 tabs with color are need to operate on. others are back end tabs. You don't need to changes things in those.)
     
  2. gztanwei

    gztanwei

    this is how it looks like.
     
  3. gztanwei

    gztanwei

    this is how it looks like.
     
  4. Is it easily adaptable to custom data? Can you create comparisons between vol surfaces?
     
  5. gztanwei

    gztanwei

    1. the data is from Google Finance. So it is at least 15 min delay.
    It does not matter much to me as I can only check out my options strategy at night.
    That said, if you could suggest a real time data feed, free, I could write a data interface to adopt that.

    2. Could you give more details on what "comparisons between vol surfaces" is? eg. if you could tell me X, Y, Z axis of the chart you would like to see, I can make it for you.

    Thanks for your opinions :)