Option chain filtering to exclude non-standard options: Filtering of option chains has been introduced to enable non-standard options to be excluded from option chains.   For example, the US Fixed Return Options (FROs) introduced in May 2008 and traded on AMEX should be excluded from option chains used in the Implied Volatility Calculator and in OSET as they are not valued in the same way as regular options and their payoff profile is different.   Some data providers include FROs along with regular options and others do not. Filtering is set up by default to exclude FROs, but it can be changed, for example, to include only FROs and to exclude regular options.  Note: FROs are binary cash or nothing options which can be valued using the HoadleyBinCN function.

CBOE maximum option chain size increased: The maximum size of option chains using CBOE as the provider has been increased.  With the previous version some distant months were being be dropped from the SPY option chain.

Portfolio Optimizer Pro version 2.0: Release of version 2.0 the Portfolio Optimizer Pro which includes two major enhancements: 

More information.

Problem downloading option chains from MSN on PCs with French regional settings has been fixed.

Marketfeed quotes: Update to handle changes made by Marketfeed to their web infrastructure. Users of Marketfeed need to move to version 10.2d.

Performance measures based on Lower Partial Moments (LPM): New function, HoadleyPerformanceLPM will calculate a number of LPM measures (Omega, Downside Deviation, Sortino Ratio, Kappa 3, and Upside Potential Ratio) from the past returns of a fund or portfolio. More details.

Portfolio Style Analyzer version 2.2:  The Portfolio Style Analyzer now produces the above LPM performance measures for the fund and each of the passive benchmarks or indices.

Options chains from LIFFE: Update to handle changes to the LIFFE data formats.

Historic Volatility Calculator: Update to Historic Volatility Calculator (version 6.4) to work around an Excel 2007 bug introduced in the Microsoft Office update released on 13th August 2008.  If you have applied this Microsoft update to Excel and the Historic Volatility Calculator no longer works or runs very slowly then version 6.4 of the Historic Volatility Calculator will fix the problem.

Historic Volatility Calculator now runs significantly faster under all versions of Excel.

Conditional Value at Risk (CVaR):  CVaR, also known as Expected Shortfall, is now available using the new function HoadleyCVarLinear for linear portfolios, and the Monte Carlo simulation class for non-linear portfolios.  See VaRtools for more details.

The Portfolio Optimizer (version 1.3) will now calculate CVaR (as well as VaR) for downloaded portfolios.

Employee stock options (ESOs) with time varying exercise prices:  The HoadleyESO4 function will now value ESOs with exercise prices that change over time.  This can be used in conjunction with time varying interest rates, dividend yields and volatilities.

Fixed error (introduced in version 10.1x) with the HoadleyOptions1 function  which caused #VALUE to be returned if the optional dividend type was omitted.

Delayed start options (DSOs):  New function (HoadleyDelayedStart) for the valuation and greeks for European and American delayed start (forward start) options. The function can be used to value options on stocks (with discrete dividends or dividend yields), indices, futures and currencies.

Interactive Brokers data feed integration:   Real-time US and international streaming quotes for all instruments and markets supported by IB, and real-time equity and index option chains snapshots are now available to IB customers. Requires TWS build 884.8 or above and the IB API build 9.51.   More details.

Implied Volatility Calculator version 4.0e:  Interactive Brokers added as a data provider.  The maximum size of an option chain handled has been increased from 1,000 to 2,000 options.

Downside risk measures:  Two new functions: HoadleyDownsideDeviation to calculate downside deviation, and HoadleyDownsideCorrel to calculate the downside correlation matrix for two or more assets.  The methodology used is based on the paper by Javier Estrada  Mean-Semivariance Optimization: A Heuristic Approach.  Using this methodology, the combination of downside deviation and correlation -- ie semicovariance -- can be used in standard Markowitz mean variance optimizers, like the Hoadley Portfolio Optimizer, to perform portfolio Downside Risk Optimzation (DRO) without the need for specialized software.

M-Squared risk adjusted return: The HoadleyPortfolioStats function and Portfolio Optimizer Pro version 1.2a now include the M-Squared statistic.  M-Squared is a risk adjusted measure of the return that a portfolio would earn in excess of the benchmark return if the portfolio was leveraged/de-leveraged to match the benchmark risk (volatility).

Volatility, correlation/covariance, beta/R-Squared and other functions which use the EWMA model will now use equally weighted models if the EWMA decay factor is set to 1. This enhancement is designed to make the functions more convenient to use in certain situations.

HoadleyCorrelSim function: an error which could cause slight precision problems when generating simulated correlated prices in some (unusual) situations has been fixed. Note that no applications that use this function (like the Portfolio Simulator) or the sample spreadsheet were affected by this issue.

HoadleyBond function: The price_type argument is no longer case sensitive.

Style analyzer (version 2.1a):  includes a small data set that can be used to 'test' the application without the need to upgrade to a pro or corporate license; minor usability enhancements.

HoadleyPortfolioVolFX function:  New function to calculate the volatility of a portfolio containing a mixture of domestic and foreign assets.

Various minor documentation and menu grouping enhancements.

HoadleyYahooQuotes function:  Update to handle format change at Yahoo Finance. Note that the GetQuotes subroutine was not affected by the Yahoo format change.

Backtesting:  Support for the new backtesting feature in the Options Strategy Evaluation Tool.

TD AMERITRADE data feeds:  Streaming real-time US equity, index, and option quotes, and real-time option chains snapshots are now available to TD AMERITRADE customers. More details.

OptionsXpress option chains: Update to handle changes to the OptionsXpress US option chain data format. This is an essential update for OptionsXpress users.

Hoadley Retirement Planner: Release of the Retirement Planner application.

Retirement planning Monte Carlo simulation class:  New class for the preparation of retirement plans using Monte Carlo simulation.  This class forms the basis of the Hoadley Retirement Planner applications.

Yahoo quotes:  Fixed problem which caused the incorrect placement of the decimal point when retrieving quotes from Yahoo with some non-English regional settings in Windows. Both the GetQuotes subroutine and the HoadleyYahooQuotes function are affected.

Historic Volatility Calculator update:  New version (6.3c) with improved handling of the display of dates on the x-axis of graphs.

Portfolio Simulator: Release of version 1.1 which improves handling of short positions.

Update to the Portfolio Monte Carlo Simulation class re handling of short positions.

Portfolio Monte Carlo Simulation:  New class for simulating future portfolio risks and returns -- including the likely spread of returns and the probabilities of occurrence  --  for portfolios consisting of mutual funds, individual assets, or asset classes.  A key feature is the ability to model the impact of periodically rebalancing the portfolio back to an optimal (eg from the Hoadley Portfolio Optimizer) or strategic asset allocation.

Portfolio Simulator:  Release of the Hoadley Portfolio Simulator application.

Excel 2007 SP 1 compatibility release:  The add-in samples, Historic and Implied Volatility Calculators and the additional samples spreadsheets have been updated to load correctly under the recently released Excel 2007 service pack 1. It also corrects a problem in 10.1i of the add-in (released on 12 December 2007)  which caused the Historic Volatility Calculator to display an error on loading.

Correlated simulation function (HoadleyCorrelSim): An addition optional argument has been added to the function to reduce computation time when simulating prices for a large number of assets (eg over 30 assets).

Drawdown Analysis: New function, HoadleyDrawdown, will analyze the drawdown history of a fund or portfolio. One or more drawdowns within the analysis period can be highlighted (eg the maximum drawdown and recovery dates, and the second largest drawdown and recovery dates), and information is returned to enable the plotting of drawdown "under water" charts.

Style Analyzer version 2.0:  New release of the Hoadley Style Analyzer, which includes a drawdown analysis of the fund or portfolio. More details.

Eurex option chains: Changes to handle recent data format changes at the data provider. Note also that in this version of the add-in the symbol used to retrieve an equity option chain is now just the WKN rather than the WKN plus an alphabetic symbol.

Style analysis: A new function, HoadleyStyleAnalysis, which can be used to analyze the style of a mutual fund or portfolio using returns-based methodology originally developed by William F Sharpe.  This approach uses quadratic programming to determine the combination of positions in passive indices, style benchmarks, or asset classes that would best replicate the performance of a fund or portfolio over a specified time frame.   Licensing conditions apply.

Hoadley Portfolio Style Analyzer:  Release of new application which produces a comprehensive style analysis of a fund or portfolio using the Sharpe returns-based methodology. Includes a graphical representation of the style history so the fund's style consistency and way it has changed over time can be assessed. Style Analyzer description.

Historic Volatility Calculator: New version (6.3) which resolves a problem using Excel versions prior to 2007 which occasionally caused a blank chart to be produced.

Active Portfolio Management Sample: A new spreadsheet which illustrates how to assess the impact on key active portfolio management statistics of changing the beta of an investment portfolio with futures contracts. The spreadsheet is included in the additional samples file which can be downloaded by users of the full version of the Finance Add-in for Excel who are within their one year download period.

Improved error checking for the HoadleyPortfolioStats function.

Active Portfolio Management Statistics functions: New function, HoadleyPortfolioStats, to produce the common statistics required for active portfolio management: returns and risk/tracking error decomposed into residual, active and market; Sharpe ratio; residual and active information ratios; residual covariance etc.  All statistics are produced by individual asset and by portfolio.

Portfolio Optimizer Pro version 1.2:  A new release of the Portfolio Optimizer Pro which produces comprehensive active portfolio management statistics. More details.

HoadleyCorrelStambaugh function will now accept prices in ascending order of date as well as descending order. Ascending orders is provided for consistency with other volatility and correlation functions.

HoadleyPriceMatrix function: fixed problem with method 3 which incorrectly treated prices as being in descending order of date rather than ascending order.

Option chains from MSN: MSN has been added as a new data provider of free delayed US equity option chains.  Using MSN as the data provider is considerably faster than using CBOE as the provider, and MSN is more reliable especially out of hours.  Note that MSN does not provide option chains for index options;  CBOE should be used for these.  A new version of OSET has been released which includes MSN as a provider.

Implied Volatility Calculator version 4.0a: Fixed problem on 3D volatility surface graph where the expiry month axis descriptions sometimes were not fully displayed.

OptionsXpress option chains: Update to handle a change made at OptionsXpress to their option chain data format & server. This is an essential update for OptionsXpress users. 

NSE (India) option chains:  Option chains for equities traded on the National Stock Exchange of India (NSE) are now available. Note that only option chains for individual equities are available -- indices and futures options chains are not available.

Implied Volatility Calculator 4.0 - Volatility Cones:  Volatility cones are now produced by the IV calculator combining historical (statistical) volatility with implied volatility on the one chart. Comparing statistical forecasts of volatility with implied volatilities over time horizons equal to the terms of the options can help evaluate whether options are currently cheap or expensive. The volatility cone format provides an indication of the history of volatility compared with the market's forecast. More details.

Correlation and volatility estimation when price histories differ in length:  A new function, HoadleyCorrelStambaugh,  uses the sophisticated Stambaugh (1997) method to calculate the volatilities and correlation matrix for assets where price histories have the same end date but different start dates.

HoadleyPriceMatrix function has a new "method" (method 3) for compatibility with the HoadleyCorrelStambaugh function.

Stability improvements and additional error checking for the HoadleyEfficientFrontier function.

Euronext.LIFFE option chains: update to handle changes to data formats. It's also now necessary to log into their site before retrieving option chains.

Portfolio Optimizer Pro 1.1. See details.

Portfolio optimizer/efficient frontier function:  New function, HoadleyEfficientFrontier, will optimize a portfolio and produce the efficient frontier.  The optimal (tangency) portfolio is also returned by the function.  In addition to min/max weights by individual asset, additional linear constraints can be specified to group assets into higher level classifications.

Note that HoadleyEfficienFrontier is a function that can be used in Excel spreadsheets and VBA modules. It is not itself a portfolio optimizer application. See the Hoadley Portfolio Optimizer for details of the Portfolio Optimizer application.

When purchased under a private/personal license the number of assets that can be optimized is capped at ten.  To optimize more assets using Portfolio Optimizer Pro a corporate/commercial license is required for businesses (Commercial licensing enquiries) or a "Pro" license upgrade for private investors ("Pro" licensing enquiries).

Hoadley Portfolio Optimizer Pro: Release of the "pro" version of the portfolio optimizer application. See portfolio optimizer changes for more details. 

Black-Litterman asset allocation model: Four new functions providing a full implementation of the Black-Litterman asset allocation model for portfolio design. Licensing conditions apply.   More details. View the Black-Litterman tutorial

Black-Litterman sample spreadsheet: A new spreadsheet which replicates the results from examples contained in two of the key papers on the Black-Litterman model is available for download with the full version of the Finance Add-in for Excel.

Portfolio Optimizer 3.2.  Individual assets on efficient frontier graph. More details.

Portfolio Optimizer 3.1: Improved optimization performance, and the flexibility of graph scaling. More details.

Forward Start Employee Stock Options: A new function (HoadleyESO4ForwardStart) is now available for the valuation of ESOs where the exercise price is set at some future time after the valuation date.  A corporate license is required to use this function. More details.

eSignal futures options:  eSignal has recently enhanced its service to provide higher quality data on futures options. Version 10.0s takes advantage of these eSignal enhancements.

Sort order of option chains with some non-English regional settings in Windows: An error which caused a small percentage of option chains to be incorrectly sorted on PCs with non-English regional settings has been fixed. This error specifically caused a problem with the sentiment indicator chart in OSET.

Historic Volatility Calculator - import from file: The Historic Volatility Calculator will now import historical price data from a CSV file. This facility is useful for analysing volatility on assets for which Yahoo Finance does not provide historical data. eg futures, interest rates, currencies, stocks on markets not available on Yahoo, mutual funds. The date format (local or US) and the column numbers containing dates and prices can be specified by the user.

Variance Swaps:  Two new functions for variance swaps to calculate the fair variance and hedging portfolio weights for a new variance swap, and to calculate the fair value of a variance swap when valued some time after inception. 

OptionsXpress streaming quotes:  The streaming quotes function for OptionsXpress now connects to their new "Xtend" streaming service. This will provide greater reliability as their "classic" streaming service, previously used by the add-in, is being phased out.  No changes are required by users other than to download the new version of the add-in.

Volatility cone function: New function (HoadleyVolatilityCone) for plotting volatility cones. Volatility cones can help determine whether current implied volatility (eg from the Implied Volatility Calculator) is high or low compared with historical volatility measured over the same periods.

Historic Volatility calculator: New version which includes volatility cones.  This version also fixes some minor cosmetic issues introduced with the Excel 2007 compatibility release.

Windows Vista compatibility:  Versions of the add-in since 9.9w (released on 29th August 2006) have been fully Vista compatible.  Versions prior to that date may not run correctly under Windows Vista.

Version 10.0m corrects a recent problem when inserting a function using the HoadleyOptions menu on PCs with Norwegian regional settings.

Excel 2007 ribbon:  Enhancement to take advantage of key features of the Excel 2007 ribbon bar.

Excel 2007 compatibility release:  The add-in, Historic Volatility Calculator, Implied Volatility Calculator, Probability Cones, Portfolio Optimizer, and additional samples spreadsheets are now fully compatible with the release version of Excel 2007.

OptionsXpress option chains: Update to handle a change made at OptionsXpress to their data format. This change is only relevant for OptionsXpress users.

Volatility adjustment functions for discrete dividends: Two functions to improve the accuracy of option valuation with discrete dividends when using historical, as opposed to implied, data for volatility estimates. The two functions, HoadleyDivAdjustVol and HoadleyDivAdjustVolTS are under the utilities section of the add-in.

Yahoo historical price downloads: Recently Yahoo made a change to their price history data formats.  The Finance Add-in for Excel has been updated to handle new Yahoo format. This change affects the add-in history download functions and any application which uses Yahoo data (eg the Historic Volatility Calculator).

Risk decomposition with statistical factor model: Two functions which use principal component analysis (PCA, introduced in version 10.0b) to decompose portfolio and individual asset risk into market factor-specific volatility, and "specific" or "residual" volatility.

Portfolio aggregation tools:  Two functions to simplify the data management and computation issues associated with calculating value at risk (VaR), preparing correlation matrices etc by providing a simple means of aggregating individual assets in sub-portfolios into higher level portfolios. A large number of individual assets can therefore be represented by one item -- a weighted price history of the sub-portfolio.   PCA can optionally be used to limit the number of factors used.  See Portfolio management tools for more information. 

A new version of the VaRtools additional samples spreadsheet which illustrates the use of the  aggregation functions in the preparation of VaR is available for download.

Portfolio optimizer:  New version 3.0b is available. See new version details.

Correlated Monte Carlo simulation function: New function (HoadleyCorrelSim) to undertake correlated Monte Carlo simulation of lognormally distributed prices for two or more assets. Can be used to value options where the payoff depends on the correlation between multiple assets (in the utilities section of the add-in.)

Conversion of discrete dividends to yield: New utility function (HoadleyDivCon) to convert a discrete dividend payment schedule to an equivalent yield taking into account the term of the option and ex-dividend dates.

Binary (digital) options:  Nine new functions for binary cash or nothing and asset or nothing, binary single barrier cash or nothing and asset or nothing, and binary double barrier cash or nothing options. Fair value and "Greeks" calculated for all options.

Orthogonal EWMA (OEWMA) and Orthogonal GARCH (OGARCH):  Two new functions to enable the preparation of covariance & correlation matrices using EWMA or GARCH without the need to use the same decay factor (EWMA) or GARCH parameters across all assets. Uses the methodology, based on principal component analysis, developed by Carol Alexander and described in the paper "Orthogonal methods for generating large positive semi-definite covariance matrices".  Two additional functions are also included enable the charting of daily direct and orthogonal volatilities for a given asset, which can be useful in assessing the suitability of the orthogonal models.

OEWMA and OGARCH sample spreadsheet: A new spreadsheet which illustrates the use of OEWMA and OGARCH is available for download with the full version of the Finance Add-in for Excel.