www.hoadley.net/options

Option pricing models

	Applications for strategy analysis, historical and implied volatility, probability cones and options portfolio management.
	The Hoadley Finance Add-in for Excel for derivatives analysis.

The following applications are available for options analysis.
 

Options Strategy Evaluation Tool (OSET)

A turn-key Excel application for examining and comparing the profitability and risks of options strategies using payoff diagrams and other techniques.

The basic version of the Options Strategy Evaluation Tool does not require the Finance Add-in for Excel.  With the add-in installed a number of powerful "premium" features, including risk/probability analysis, historic volatility, on-line option chains and quotations, graphical strategy dissection, automatic position hedging, and percent-to-target analysis, are automatically enabled.

Price: Basic version is free; Premium features require the Finance Add-in for Excel.

More information & download.
 

Historic Volatility Calculator

Automatically extracts historical price data from the web and calculates, and charts, historical volatility using un-weighted and weighted (EWMA, GARCH) volatility models. 

The GARCH model is also used to forecast future volatility and to construct volatility term structures.  Volatility skew can also be modelled dynamically.

Data is extracted automatically based on various selection criteria, without the need to browse the web or download files. Source code included.

Price: Free (but requires the full version of the Finance Add-in for Excel)

More information & download.  (This application is included with the Finance Add-in for Excel).

 

Implied Volatility Calculator

Downloads a complete option chain from a nominated on-line information provider and calculates implied volatility for all options in the chain. A valuation analysis, implied volatility smile graphs and the volatility surface for the series are also produced.

This application provides a powerful but simple-to-use way of understanding the way implied volatility differs by strike and option expiry date (volatility smile or skew).

The implied volatility calculator also contains a component for scanning the entire option chain and identifying the optimal combination of trades to meet specific hedging requirements.

Price: Free (but requires the full version of the Finance Add-in for Excel).  On-line option chain information is free.

More information & download (This application is included with the Finance Add-in for Excel).

 

Probability Cones

This application provides a visual indication of future asset prices for a given set of probabilities.  This type of analysis can help options traders select the most appropriate strikes for a strategy given their estimates of volatility, expected return and and time.

Probability cones can be expressed in terms of "end of period" or "any time" probabilities.

Price: Free (but requires the Finance Add-in for Excel).

More information & download (This application is included with the Finance Add-in for Excel).

Open Positions Manager

This application uses the Excel add-in for the maintenance of a portfolio of open options and underlying asset positions.

The application can be used to perform sensitivity analyses (eg what will my total exposure be if the market drops by 10%), to produce pay-off diagrams for open positions, to provide status and risk information (eg probability of closing in the money) and to scan the portfolio for optimal early exercise points.

The open positions manager is an example of how the Finance Add-in for Excel can be used to develop powerful options management and analysis applications. Source code included.

Price: Free (but requires the Finance Add-in for Excel).

More information & download.
 

Hoadley Finance Add-in for Excel

Functions for the calculation of option prices, hedge parameters ("Greeks"),  implied volatility, historical volatility, underlying asset probabilities, trading profitability, futures pricing, identification of optimal early exercise points, and much more.

There are also functions to retrieve option chains and equity quotes (including streaming real-time)  from a number of sources.

The Finance Add-in for Excel also includes functions for the analysis and design of investment portfolios.

The add-in provides functions which can be invoked directly from spreadsheet cells and which can also be used in VBA modules/Macros.

More information, purchase, download.

 

Pricing & Purchase

The Hoadley Finance Add-in for Excel is the analytical engine used by the Excel applications described below.  It is only necessary to purchase the Finance Add-in for Excel; the Excel applications are included in the price of the Finance Add-in for Excel.

 

Software Platform

These tools & applications will only run using Microsoft Excel 2002 - 2007 running under Microsoft Windows 2000 or above.  No other platforms/operating systems are supported.