Macroption – Option Tutorials and Calculators

Option Tutorials and Resources

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…]

Options Expiration Calendar (US Equity, Index, ETF Options)

Below you can find options expiration calendar for 2020 and 2021 for standard US traded monthly and weekly equity, equity index, and ETF/ETN options. For VIX options and futures, see VIX Expiration Calendar. 2020 Monthly options expirations: 17 January 2020 21 February 2020 20 March 2020 17 April 2020 15 [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 Formula Parameters According to the Black-Scholes option pricing model (its Merton’s extension that accounts for dividends), there are six parameters [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

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 [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…]

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…]

How to Download Historical Data from Yahoo Finance

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 [more…]