This is an overview of all-time highest VIX closes, intraday values, and biggest spikes. Here is a similar page for VIX all-time lows. All-Time Highest VIX Closes All-time highest VIX close was 80.86 on 20 November 2008. 10 highest VIX closes Thu 20 Nov 2008 = 80.86 Mon 27 Oct 2008 = 80.06 Fri 24 [more…]

This is an overview of all-time lowest VIX values and sub-10 days. We will discuss: All-time lowest VIX close (20 lowest closes) Number of sub-10 VIX closes by year All-time lowest intraday VIX values Effect of holidays on VIX lows Days and periods when the VIX never got above 10 (sub-10 highs) How to buy [more…]

On this page you can find an overview of VIX ETFs (exchange traded funds) and ETNs (exchange traded notes), last updated on 16 October 2018. The products are arranged in five lists for convenience: Most liquid – 7 VIX products with greatest trading volume Optionable – with options available on them By exposure – long, [more…]

Below you can find VIX futures and options expiration calendar for 2018 and 2019, as well as full VIX expiration dates history (2004-2017). VIX Expiration Rules Expiration dates are the same for VIX futures and VIX options. It is always 30 days before S&P500 option expiration (see why) – usually 30 days before the third [more…]

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 role in its development, such [more…]

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 too advanced Excel skills for [more…]

Contents Calculating Call and Put Option Payoff in Excel Merging Call and Put Payoff Calculations Short Option Payoff and Position Size Option Strategy Payoff and Multiple Legs Drawing Option Payoff Diagrams in Excel Calculating Option Strategy Maximum Profit and Loss Calculating Option Strategy Risk-Reward Ratio Calculating Option Strategy Break-Even Points Further Improvements About This Tutorial [more…]

This page explains iron condor profit or loss at expiration and the calculation of its maximum profit, maximum loss, break-even points and risk-reward ratio. Iron Condor Basic Characteristics Iron condor is a non-directional short volatility strategy with limited risk and limited profit potential. It got its name from the shape of its payoff diagram, which [more…]

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 Excel – this guide works [more…]

This page is a detailed guide to finding and downloading historical data such as daily stock prices or index values from Yahoo Finance. Go to Yahoo Finance homepage: finance.yahoo.com At the moment and on my computer it looks like this. It may look a little different on your device, but the key sections will most [more…]

Black-Scholes 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. I will continue in the example from the first part to demonstrate the exact Excel formulas. See the first part for details on parameters and [more…]

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 If you are not familiar [more…]

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 Formula Parameters According to the Black-Scholes option pricing model (its Merton’s extension that accounts for dividends), there are six parameters which affect option prices: S0 = [more…]

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 see a more basic explanation: [more…]

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