Options and Quant Finance since 2012

Individual Investors

Take your trading to next level. From guessing to calculated decisions. Without a maths PhD.

Learn options with hands-on tutorials. From basics to advanced concepts that give you real edge.

Macroption calculators are easy to use for a beginner, and powerful enough for a seasoned pro.

Financial Professionals

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Macroption calculators are clean, simple, well documented and supported.

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Quant & Fintech Developers

Find detailed explanation, formulas and reference for asset pricing and financial models.

I have more than a decade of experience working with financial data from various angles.

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Option Strategy Payoff Calculator

Option Strategy Payoff Calculator

P/L at expiration, risk/reward ratios, break-even points for 54 option strategies.

Option Strategy Simulator

Option Strategy Simulator

Advanced strategy modeling: what-ifs, aggregate Greeks, implied volatility. Also intraday.

Black-Scholes Calculator

Black-Scholes Calculator

Calculating option prices and Greeks using the Black-Scholes-Merton model.

Binomial Option Pricing Calculator

Binomial Option Pricing Calculator

Binomial option pricing models (Cox-Ross-Rubinstein, Jarrow-Rudd, Leisen-Reimer). For equity, index, forex, and futures options.

Tutorials and Reference

VIX Expiration Calendar (Futures & Options)

Below you can find VIX futures and options expiration calendar for 2020 and 2021, as well as full VIX expiration dates history (2004-2019) and explanation of VIX expiration rules. For standard US equity, index and ETF options (including options on VIX ETFs and ETNs) see: Standard US Equity and Index [more…]

VIX Futures Curve Explained

VIX Futures Curve Explained A futures curve is a curve made by connecting prices of futures contracts of the same underlying, but different expiration dates. It is displayed on a chart where the X axis represents expiration dates of futures contracts and the Y axis represents prices. The chart looks [more…]

Vertical Spreads

Vertical spreads are directional option strategies which involve two options of the same type, same expiration, and different strikes. There are four possible vertical spreads: bull call spread, bear put spread, bear call spread, and bull put spread. This page explains what they have in common, how they differ, and [more…]

Interactive Brokers Quotes in Excel, Made Simple

I am often asked about linking Interactive Brokers quotes to Macroption calculators and to Excel in general. IB offers several ways to do that and although (or because) their documentation is very detailed, the task may be a bit overwhelming to a non-technical person. Here is the simplest way you [more…]

VIX All-Time Highs and Biggest Spikes

This is an overview of all-time highest VIX closes, intraday values, and biggest spikes. The figures include VIX data up to and including 6 November 2020. Here is a similar page for VIX all-time lows. All-Time Highest VIX Closes All-time highest VIX close was 82.69 on 16 March 2020. Before [more…]

Black-Scholes Formula (d1, d2, Call Price, Put Price, Greeks)

This page explains the Black-Scholes formulas for d1, d2, call option price, put option price, and formulas for the most common option Greeks (delta, gamma, theta, vega, and rho). Black-Scholes Inputs According to the Black-Scholes option pricing model (its Merton’s extension that accounts for dividends), there are six parameters which [more…]

Difference between Implied, Realized and Historical Volatility

This page explains the differences between types of volatility – implied, realized, historical. There are other types and terms which we will also explain, including forecast volatility, future volatility, and statistical volatility. How They Differ Volatility, typically expressed as a percentage and interpreted as standard deviation of returns, measures how [more…]

VIX Calculation Explained

The objective of this page is to explain the logic of VIX calculation and some of the underlying assumptions and parameters. Exact formulas are available in a short pdf named VIX White Paper on the official website of CBOE. If you are not familiar with VIX, you may first want to [more…]

Black-Scholes Excel Formulas and How to Create a Simple Option Pricing Spreadsheet

This page is a guide to creating your own option pricing Excel spreadsheet, in line with the Black-Scholes model (extended for dividends by Merton). Here you can get a ready-made Black-Scholes Excel calculator with charts and additional features such as parameter calculations and simulations. Black-Scholes in Excel: The Big Picture [more…]

Option Greeks Excel Formulas

This is the second part of the Black-Scholes Excel guide covering Excel calculations of option Greeks (delta, gamma, theta, vega, and rho) under the Black-Scholes model. Calculating Black-Scholes Greeks in Excel I will continue in the example from the first part to demonstrate the exact Excel formulas. See the first [more…]

Black-Scholes Model History and Key Papers

This page is an overview of main events and papers related to the Black-Scholes option pricing model. Besides works of its main authors, Black, Scholes, and Merton, we will also investigate earlier ideas which influenced the model, and other researchers (many of them famous for other models) who played a [more…]

American vs. European Options (and Why They Are Called That)

This page explains differences between American and European options and their prices. We will also discuss the origin of these terms, which most sources don’t mention. Main Difference: When They Can Be Exercised European options can be exercised only at expiration. American options can be exercised at any time from [more…]

Calculating Average True Range (ATR) in Excel

This is a detailed guide to calculating Average True Range (ATR) in Excel. We will first calculate true range and then ATR as moving average of true range. We will do all the three popular ATR calculation methods – simple, exponential, and the original Wilder’s smoothing method. You don’t need [more…]

How to Calculate Historical Volatility in Excel

This page is a detailed guide to calculating historical volatility in Excel. Things Needed for Calculating HV in Excel Historical data (daily closing prices of your stock or index) – there are many places on the internet where you can get it for free, including Yahoo Finance or Google Finance [more…]

Put-Call Parity Formula

Put-call parity is a relationship between prices of European call and put options (with same strike, expiration, and underlying). It is defined as C + PV(K) = P + S, where C and P are option prices, S is underlying price, and PV(K) is present value of strike. This page [more…]

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