![]() |
|
|
Options
Strategy Evaluation Tool Historic volatility calculator
|
Options Analysis Software
|
Overview |
A set of of modular Excel-based software tools for the analysis of options and other derivatives.
The options analysis software comprises:
![]() |
Applications for strategy
analysis, historical and implied volatility, probability cones and options
portfolio management. |
![]() |
The Hoadley Finance Add-in for
Excel for derivatives analysis. |
Applications for Options Analysis |
The following applications
are available for options analysis.
Options Strategy Evaluation Tool (OSET) |
An Excel-based options analysis tool 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 on OSET & 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: Included in the price 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: Included in the price of the Finance Add-in for Excel.
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: Included in the price of 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: Included in the price of the Finance Add-in for Excel.
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 options analysis tools described on this page. 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.
Private (non-business) use: Pricing & purchase on-line.
Corporate/commercial use: Corporate/commercial enquiries.
Software Platform |
All tools & applications require Microsoft Excel (32-bit or 64-bit) running under Microsoft Windows. For detailed systems requirements, including supported versions of Windows and Excel see systems requirements.