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Options Strategy Evaluation Tool (OSET) Version Information

Latest Version Information

The latest version of the software is dated 11 July 2017.  Download latest version. (The version date can be found under the copyright notice on the strategy sheet.)

Important note:  Do you also use the Finance Add-in for Excel? If so, also check for updates.
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Change History

11 July 2017

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Excel keyboard bug workaround:  A recent update to Excel 2016 introduced a bug that prevents data being entered after using some of the controls on the main strategy sheet. Only Excel 2016 is affected.  This release of OSET works around the problem.

25 February 2017

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Option chains through CBOE:  Update to handle changes at CBOE. Version 10.7j or later of the Finance Add-in for Excel required to use CBOE.

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Option chains through Yahoo: Yahoo has been added as a provider of free US option chains.  Version 10.7j or later of the Finance Add-in for Excel required.

3 February 2017

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Time & Volatility Modelling enhancement:  A checkbox ("Adjust individually specified volatilities") has been added to the "Time & Volatility Modelling" feature. When checked the "adjust volatility" spin button will adjust both default volatility and any explicitly specified trade volatilities.  If unchecked only the default volatility will be adjusted.  Provides a simple way of assessing the impact on the P&L of spreads of volatilities converging or diverging before expiry.

20 June 2016

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"Vary Option Parameters" button for calendar and diagonal spreads:  The "vary option parameters" button will now set the analysis date equal to the date of the shortest term option rather than the date of the longest term option.

20 February 2016

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Excel 2016 update compatibility release: A new version of OSET has been released which will load without display errors under the recent Excel 2016 update.

20 January 2016

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Option chains with Japanese regional settings: Fixed a problem which caused corruption of expiry dates retrieved into OSET when clicking the "chains" button.  Affected only users with Japanese regional settings in Windows.

1 January 2016

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Excel 2016 display bug: Works around a bug in Excel 2016 which caused days to expiry for trades to sometimes display as blank.  This was purely a display issue; no calculations were affected. 

24 September 2015

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Excel 2016 compatibility release:  OSET has been updated to work correctly with the release version of Excel 2016 (including Office 365), both 32-bit and 64-bit editions.

10 March 2015

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Yahoo quotes:  Fixed a problem, caused by a recent change at Yahoo Finance, where the last price was sometimes returned as " N/A".

30 October 2014

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Option chains through MSN: Free US option chains through MSN are no longer available. CBOE should be used as the data provoder for free US option chains.  Data providers.

18 June 2013

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Option chain retrieval: The number of digits to the right of the decimal point for strikes and quotes in the option chain selector has been increased.

1 February 2013

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Excel 2013 compatibility release:  OSET has been updated to work correctly with the release version of Excel 2013 (including Office 365 Home Premium), both 32-bit and 64-bit editions.

25 January 2013

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Fix for Excel display bug with 3D payoff diagram:  On a very small percentage of PC/Excel configurations attempting to rotate the 3D payoff diagram sometimes caused the screen to unexpectedly switch back to the main strategy view.  This release of OSET works around this issue.

15 November 2012

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Multiple discrete dividend error:   Fixed recently introduced error which affected the total profit figure on strategies which included an underlying (eg a covered call) in conjunction with more than one discrete dividend payments during the life of the option. 

11 October 2012

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ITM/OTM indicator incorrect for calls:  Fixed bug (introduced in the update of 26th July 2012) which reversed the ITM/OTM indicator for calls displayed on the main strategy sheet. This was a minor display error only; position valuation, payoff diagrams, profit & loss calculations etc were not affected by this error.

7 August 2012

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Futures option chains through Interactive Brokers (IB):  Futures option chains on US and many international markets are now available through IB.  Requires the Finance Add-in for Excel version 10.5f or later. IB details.

26 July 2012

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Excel 64-bit compatibility release:  OSET is now compatible with the 64-bit edition of Microsoft Excel. The Finance Add-in for Excel is also now compatible with 64-bit Excel.

8 March 2012

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Futures option chains through Barchart:  Barchart has been added to the list of data providers.  Subscribers to Barchart Market Solutions can now bring futures option chains into OSET for analysis. This is a premium feature requiring the Finance Add-in for Excel version 10.4z or later. 

6 February 2012

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Futures option chains capacity:  The number of options in a futures option chain that can be handled by OSET has been increased to accommodate very large chains (eg CL futures options on CME).

27 January 2012

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Performance improvement on Excel 2010:  Switching to the "Time and Volatility Modelling" screens is now significantly faster.

29 June 2011

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Excel 2010 SP1 compatibility release:  An update to OSET to enable it to load correctly under the recently released Excel 2010 service pack 1.

20 May 2011

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Fix for Excel 2010 bug:  Excel 2010 has a bug which sometimes causes the view in a frozen pane to unexpectedly scroll out of sight when "enter" is pressed after entering data into a cell in another pane.  This release of OSET works around this annoying behaviour.

22 March 2011

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Additional option trades:  The maximum number of option legs per strategy has been increased from six to ten. This is a premium feature requiring the Finance Add-in for Excel version 10.4g or later.

15 June 2010

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Excel 2010 compatibility release:  OSET has been updated to work correctly with the release version of Excel 2010 (32-bit).

12 April 2010:

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Compatibility update:  Minor cosmetic changes to some forms to handle differences in the way colors are rendered under Windows XP, Vista and Windows 7.  Several additional monitor resolutions added to the "PC Graphics Card Resolution" drop-down list.

 12 November 2009:

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Fix for Excel 2003 and Excel 2007 bug in latest Microsoft security patch:  The security patch released by Microsoft on 11 November 2009 (KB973475 for Excel 2003 and KB973593 for Excel 2007) has a bug which causes content from non-selected worksheets to bleed into the selected sheet in some situations.  The latest release of OSET works around this issue.

5 June 2009:

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Borsa Italiana option chains:  Option chains (equities and and FTSE MIB) from the Italian Stock Exchange have been added to the list of data providers. Data is free. Chains can be requested by exchange code or ISIN.  This is a premium feature.

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Yahoo suffix now ignored for ASX and NSE option chains:  When requesting option chains for the ASX or NSE the Yahoo suffix (.AX or .NS) on the symbol will be ignored. Previously symbols with yahoo suffixes were rejected as being invalid as Yahoo suffixes are not recognized by these data providers.  This change streamlines option chain requests.

15 February 2009:

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Option chain retrieval error: This update corrects the "Compile error in hidden module" error which occurred on some PCs when attempting to retrieve an option chain.  The error was caused by a problem in the last Microsoft Windows update (KB960715, dated 11 February 2009).  The new version of OSET works around this issue. 

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Option chain viewer enhancements: The usability of the option chain viewer has been significantly enhanced in several areas.

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Open Positions Manager import: The "Compile error in hidden module" error also caused by the last Microsoft Windows update has been fixed.

31 January 2009:

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"Vary Option Parameters" slider bars: The slider bar increment for the underlying asset and strikes has been increased for higher priced assets to improve the usefulness of this feature.

21 November 2008:

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Minor cosmetic changes and a few small performance enhancements.

24 June 2008:

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Button to launch Implied Volatility Calculator:  A new button on the strategy evaluation sheet will launch the Implied Volatility Calculator in a separate instance of Excel.  This makes it more convenient, for example, to examine the volatility smile surface of an option chain while evaluating strategies. This is a premium feature.

1 June 2008:

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Interactive Brokers data feed:   Real-time US and International equity and index option chains using IB has been added to the list of data sources.  This is a premium feature which can be used by IB customers.  More information.

9 April 2008:

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Backtesting:  New button "reformat" on backtesting sheet to reformat and unprotect data sheet if required.

26 February 2008:

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Backtesting:  Release of backtesting component. Backtesting lets you examine the way option strategies would have turned out had you entered into them at some time in the past, by using actual market data.  You can step through a strategy from deal date to expiration one or more days at a time to see the profit and loss you would have realized if your positions had been closed on any of these days.  Market data can consist of underlying prices only, or underlying prices and option prices for each trade in the strategy.    More information.   View demo on Backtesting.

Backtesting is a  premium feature requiring the Finance Add-in version 10.1r or above.

11 February 2008:

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Option chain processing:  Option chain processing has been enhanced to include the option symbol on each trade line when the "suggest" button is pressed, and to update the symbols when stepping through an option chain by strike or by expiry date. This is designed to simplify the placing of trades based on a strategy.

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TD Ameritrade data feed:  Real-time  US equity and index option chains using TD Ameritrade has been added to the list of data sources.  This is a premium feature which can be used by TD Ameritrade customers.  More information.

13 January 2008:

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Open interest/volume analysis: Fixed problem with sentiment indicator charts which occurred with option chains containing multiple option symbols for a call or put with the same strike and expiry.  Note that the open and interest and volume statistics, including the put/call ratios, in the put/call statistics table were not affected by this issue.

13 December 2007:

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Excel 2007 SP 1 compatibility release:  OSET has been updated to load correctly under the recently released Excel 2007 service pack 1.  It also corrects an error, introduced with Excel 2007 SP1 which caused the version of OSET released on 12 December 2007 to display an error on loading under pre-Excel 2007 versions.

10 September 2007:

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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 a more reliable especially out of hours.  This is a  premium feature requiring the Finance Add-in version 10.1b or above.

1 September 2007:

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NSE (India) option chains:  Option chains for equities traded on the National Stock Exchange of India (NSE) are now available.  This is a  premium feature requiring the Finance Add-in version 10.1 or above.

26 July 2007:

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An error which caused the hedging component to incorrectly handle trade lines where the buy/sell indicator was in lower case has been fixed.

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Fixed a problem with the Open Position Manager (OPM) import feature which caused it to fail with some non-English regional settings in Windows.

20 May 2007:

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Users can now make changes to the number of decimal places showing in numeric fields on the main strategy sheet.  This is to allow the sheet to be tailored to handle the wide variations that exist in strikes, profits, position Greeks etc.

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Versions of Excel prior to Excel 2002 (Office XP) no longer supported. This version of OSET, and all future versions, will require at least Excel 2002 or above to run.

30 April 2007:

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Underlying asset quotes from non-Yahoo sources:  Underlying asset quotes can be brought in from streaming quote providers supported by the Finance Add-in for Excel using the quotes wizards, and from any other source which can link to Excel.  A new column on the far right of the underlying assets, settings sheet is used to set this up (press "help" button on U/L assets sheet to see how this feature works).   This is a  premium feature requiring the Finance Add-in version 10.0q or above.

19 April 2007:

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Integration with the Open Positions Manager (OPM):  Positions from the Open Positions Manager can now be imported into OSET with one button click, using the new "OPM Import" button in OSET.  This button lets you browse open positions and to select the one to import. Individual option and underlying trades are imported and the unrealized profit or loss to date is brought into OSET as an initial debit/credit to enable the total profit or loss from the original deal date to expiry to be modelled.  This facility provides a powerful way of modelling the impact of various alternatives on strategies sometime after their inception.

OSET/OPM integration is a premium feature, requiring the Finance Add-in version 10.0q or above.  OPM version 20 April 2007 or above must also be in the same directory as OSET.

12 February 2007:

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Widescreen PC support:  The way the main strategy screen looks on widescreen PCs (eg with screen resolution of 1280 x 800) has been improved.

30 January 2007:

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Excel 2007 compatibility release:  OSET has been updated to work correctly with the release version of Excel 2007.

27 January 2007:

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Sentiment indicators (Open interest configuration):  The existing put/call analysis of an entire option chain (see sentiment indicators) has been enhanced to chart daily volume as well as open interest, by expiry month and strike.

23 January 2007:

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3D analysis of profit/loss and position Greeks:  Payoff diagrams can now be viewed in three dimensions showing profit or position Greeks simultaneously by underlying price and time to expiry. Profit/loss and position Greeks can be shown for an entire strategy or separately for each trade.  The payoff diagram can be dynamically rotated both horizontally and vertically using spin controls to enable better viewing of  the 3D surface for profit/loss and for position Greeks.

3D payoff diagrams are a premium feature, requiring the Finance Add-in version 10.0h or above.

27 June 2006:

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Probability cones showing in visual form the most probable range of future asset prices at various maturities are produced for both "at end (expiry)"  and "any time (touching)" probabilities. Changes in key variables (volatility, dividend yields etc.) can easily be modelled.  Probability cones provide an effective way of understanding the complex relationships between maturity, volatility, interest rates and dividend yields and their impact on breakeven points, and as such are an important tool for strategy selection.

Probability cones are a premium feature, requiring the Finance Add-in version 9.9v or above.

13 June 2006:

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Time and volatility analysis/modelling: The payoff diagram can now optionally display "profit if closed prior to expiry" for five dates simultaneously. The impact of volatility changes on strategy profitability after the deal has been entered into but prior to expiry can then be dynamically modelled by clicking a spin button. The results are shown graphically and also in table form.   This makes it easy to model the sensitivity of, say, a calendar spread, to changes in volatility. More information.

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Breakeven analysis:  An analysis is produced of all breakeven points for five discrete dates prior to option expiry plus the probabilities of breaking even at expiry.  The probability of falling within the breakeven bands is shown for the discrete time points.  The total probability of profit and the total probability of loss are also shown.  The impact of volatility changes on breakeven points and probabilities after the deal has been entered into but prior to expiry can by dynamically modelled. The breakeven analysis is accessed by clicking the "Time and volatility modelling" button at the lower right of the main strategy section.

Both enhancements above are premium features, requiring the Finance Add-in version 9.9u or above.

1 February 2006:

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Import option chains from file: Option chains can now be imported from a suitably formatted text file.  This is a premium feature, requiring the Finance Add-in version 9.9o or above. More details.

8 January 2006:

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Export/Import: Settings, underlying asset details and saved strategies and templates can now be exported to an external file with one button click.  The saved information can then be imported into, say, a new version of OSET by clicking the "import" button.  This facility is designed to simplify moving to future versions of the product. The export and import buttons can be found on the Underlying Assets, Settings sheet.  This is a premium feature, requiring the full version Hoadley Finance Add-in for Excel version 9.9i or above.

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Diagram centring and scaling with spin buttons:  Spin buttons are now available to simplify the centring and scaling of payoff diagrams. This is a premium feature, requiring the full version Hoadley Finance Add-in for Excel version 9.9i or above.

6 December 2005:

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Sentiment indicators:  Open Interest call/put ratios, and current volume call/put ratios now calculated for option chains retrieved.  "Open interest configuration" analysis, showing puts and calls by strike for any selected month in an option chain is now charted. (The sentiment indicator button is in the lower right corner of the strategy sheet.) These are premium features, requiring the full version of the Hoadley Finance Add-in for Excel version 9.9g or above.

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Improved the results from using the "suggest" button for those option chains with a very large number of strikes per month  (eg QQQQ).

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Minor change to early exercise analysis affecting a very small percentage of situations with calls with more than one dividend.

20 August 2005:

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Expanded point multiplier field on underlying assets, settings sheet from three to six digits.

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Increased number of decimal places displayed for option prices on option chain selector from two to four, and for strike from two to three.

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Fixed field alignment issue, which affected some users with European regional settings, when strike retrieved using option chain selector.

26 July 2005:

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Six trades per strategy: The maximum number of individual option trades for any one strategy has been increased from five to six. This is a premium feature requiring the Hoadley Finance Add-in for Excel version 9.8 or above.

16 May 2005:

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"Greeks" by trade:  Individual option Greeks and position Greeks can be shown next to each trade line.  This makes it easy to see the way the Greeks for each trade relate to the Greeks for the total strategy.  Greeks are selected by clicking the column heading and selecting from the drop down list.  This is a premium feature.

10 May 2005:

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Stockwatch datafeed.   Real-time Canadian and US equity option chains using Stockwatch has been added to the list of data sources.  This is a premium feature.  More details.

15 April 2005:

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Option chains for futures options:  Subscribers to eSignal can now bring in complete real-time option chains for futures options (eg for options on S&P 500 index futures) for US exchanges (eg CBOT, CME, NYBOT) and many international exchanges.  This is a premium feature requiring the Finance Add-in for Excel version 9.8 or later.   More details.

1 April 2005:

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eSignal data feed: Real-time US equity option chains using eSignal has been added to the list of data sources.  This is a premium feature.  More details.

1 February 2005:

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Automatic trade selection using option chains: A new feature -- the strategy sheet now has a "suggest" button which will automatically select a set of option trades by mapping a sample strategy (or any strategy) to actual option trades available in the option chain.  This has greatly simplified the process of trade selection. Take the on-line tutorial for more details. 

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Stepping though option chains: A new feature which lets you step through an entire option chain to view the profit & loss on individual options, spreads or combinations. You can step through the strikes for a specific expiry month (each button click brings up the next or previous sets of strikes for a given strategy),  step through the expiry months for a specific combination of strikes, or both. Take the on-line tutorial for more details. 

The above two enhancements are premium features, requiring version 9.6 or above of the Hoadley Finance Add-in for Excel to be installed.

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Roll dates forward button: A new button next to deal date will roll the deal and expiry dates forward for any strategy (eg one of the samples) so that the deal date is equal to today's date.

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Corrected minor cosmetic problem which incorrectly highlighted several columns when "split screen" button pressed.

30th December 2004:

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OptionsXpress data feed:  Real-time US option chains using data from OptionsXpress has been added to the list of data sources (premium feature).  This data is currently free of charge for OptionsXpress customers. More details.

14th December 2004:

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Real-time Australian option chain data using Weblink's BullSignal  has been added to the list of data sources (premium feature).

25th November 2004:

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Option trade selector and options quotes:  On-line option chains (real-time and delayed) can be retrieved from a number of sources.   You can browse the option chains and select appropriate trades, including quotes for calculating implied volatility, pricing the current strategy etc.  All options and underlying prices can also be refreshed with the latest data with one button click

This enhancement is a premium feature, requiring version 9.6 of the Hoadley Finance Add-in for Excel to be installed. Without the Finance Add-in, the Options Strategy Evaluation will work correctly, but premium features will not be available.

1st October 2004:

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Compatibility release: This version has undergone some minor "internal" changes to maintain compatibility with the Hoadley Finance Add-in for Excel version 9.5.

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Non English regional settings in Windows: A problem which caused the implied volatility calculation to fail with some non-English Windows regional settings (when the market price of the option was less than 1,00) has been fixed.

12th September 2004:

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Options expressed in points:  You can now specify a "points multiplier" for each underlying asset.  The enables the dollar values (profit/loss etc) to be correctly shown for options on underlying assets which have their strikes, option premiums and quotes expressed in points. eg options on indices, options on index futures, and options on commodities.

1st September 2004:

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Financial analysis:  Maximum profit, maximum loss, and "static" returns are now calculated by strategy. For each category (eg maximum profit), the type of profit or loss (capped, unlimited), the dollar value, and, where there is an initial net debit, the percentage return for the period, and the annualized ROI are shown.  In addition these numbers are also calculated for any user-selected target price at expiry.

1st May 2004:

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Automatic position hedging: Strategies can now be automatically adjusted to achieve delta neutrality, delta-gamma neutrality, vega neutrality, delta-vega neutrality or delta-gamma-vega neutrality for net positions.  Individual options trades and/or trades in the underlying can be nominated for automatic adjustment.  A pop-up control panel lets you dynamically examine various alternatives before either reverting to the original strategy or retaining the newly hedged position. This enhancement is a premium feature.

1st April 2004:

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Strategy dissection: The individual trades which make up a net strategy position can now be simultaneously displayed on payoff diagrams to enable each trade's contribution towards the net position to be easily observed. So payoff diagrams can now be viewed in terms of the net strategy, or dissected into individual options and underlying trades.  This enhancement is a premium feature.

25th January 2004:

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Position Greeks can now optionally be superimposed on the payoff diagram to enable hedging information to be viewed in the context of profit and loss information.  (The previous method of viewing position and individual trade Greeks separately is still available.)

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Payoff comparison: The "vary option parameters" slider bars can now be used from the strategy comparison area.

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Usability enhancements: A number of improvements have been made to the user interface (cleaner interface, simpler navigation).

18th November 2003:

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Percent-to-target analysis: Calculation of the change in underlying asset price required to produce a user-specified change (positive or negative) in option price. Percent-to-double is one example of this analysis. This enhancement is a premium feature.

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Excel 2003 compatibility: Changes to improve execution under Excel 2003 (eg elimination of spurious Excel pop-up warnings and #Value! in some cells on start-up).

7th June 2003:

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On-line prices can now be obtained for underlying assets. Most exchanges supported. This enhancement is a premium feature.

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Charts for historic volatility, forecast volatility (using the GARCH model), and price history can now be easily produced for underlying assets from within the Options Strategy Evaluation Tool. Historical price data automatically retrieved from web. This enhancement is a premium feature.

23rd February 2003:

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Options on futures:  Enhanced and simplified handling of options on futures contracts, and of strategies using a combination of futures options and positions in the underlying futures contract.

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New probability/risk analysis:  Provides "end of period" and "at any time during the period" probabilities to enable the probability of deal success or failure, probability of breakeven etc. to be assessed. Probabilities are superimposed on payoff diagrams. This enhancement is a premium feature.

25th January 2003:

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Installation procedure streamlined and simplified.

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New sample strategy (zero-cost collar).

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Minor usability enhancements.

1st April 2002:

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Minor cosmetic change to grey shading in one place to fix slight compatibility problem under Windows 2000 and Windows XP. 

25th October 2001:

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The early exercise report now shows the probability of reaching each early exercise threshold.

20th May 2001:

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"Greeks" for individual option trades and stock trades can now be viewed for one unit (ie for one option or one share) as well as for the total value of the trade. This lets you view "Greeks" in the more "traditional" way as well as for the position.

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Popup form for entry of deal and expiration dates simplifies data entry of dates.

20th April 2001:

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Sensitivity analysis: a button on the main evaluation sheet now lets you make adjustments to some of the key option parameters (volatility, stock price, expiration date, strike prices...) using slider bars and to immediately see the impact on your strategies. The changes made to the inputs can then either be discarded or retained.

1st April 2001 (changes from the version dated 19th December 2000):

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Strategy comparison area:  can now view horizontal axis of pay-off diagram as percentage change from current stock prices.  This makes comparing strategies with different underlying assets more meaningful.

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Strategy comparison area: can now view profit and loss figures in table form and can flip between the comparison area table and the table for the original strategy.

 

Premium Features

To take advantage of enhancements identified as premium features, the full version of the Hoadley Finance Add-in for Excel must be installed on your PC (in addition to the Options Strategy Evaluation Tool).  For a summary of all premium features see Premium Feature Summary.

The basic Options Strategy Evaluation Tool will work without the add-in being installed but all premium features described above, will be disabled.