The Greeks Explained: Options Analysis in Excel

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  • Опубліковано 25 чер 2024
  • In "The Greeks Explained: Options Analysis in Excel," Ryan O'Connell, CFA, FRM, provides a thorough tutorial on understanding the critical aspects of option Greeks using Excel. Starting with the fundamental inputs of the Black Scholes Model, this video offers detailed walkthroughs of calculations for d1, Delta, Gamma, d2, Theta, Vega, and Rho, along with their practical interpretations. Perfect for both beginners and advanced traders, the video makes complex concepts accessible, enhancing your options trading strategies with Excel's analytical power. Don't miss this chance to elevate your trading skills with expert insights into the Greeks in options trading!
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    Chapters:
    0:00 - Intro to "The Greeks Explained"
    0:18 - Inputs to the Black Scholes Model
    2:45 - d1: Calculation
    3:56 - Delta: Calculation & Interpretation
    12:25 - Gamma: Calculation & Interpretation
    14:55 - d2: Calculation
    15:22 - Theta: Calculation & Interpretation
    18:42 - Vega: Calculation & Interpretation
    21:06 - Rho: Calculation & Interpretation
    *Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC. Some of the links above are affiliate links, meaning, at no additional cost to you, I will earn a commission if you click through and make a purchase.

КОМЕНТАРІ • 39

  • @RyanOConnellCFA
    @RyanOConnellCFA  5 місяців тому +1

    💾 Purchase Excel File:
    ► Purchase the file created in this video here: ryanoconnellfinance.com/product/option-greeks-calculator-in-excel/
    🎓 Tutor With Me: 1-On-1 Video Call Sessions Available
    ► Join me for personalized finance tutoring tailored to your goals: ryanoconnellfinance.com/finance-tutoring/

    • @hihi-dt3sq
      @hihi-dt3sq 4 місяці тому +1

      It’s not free

    • @RyanOConnellCFA
      @RyanOConnellCFA  4 місяці тому

      @@hihi-dt3sq Thank you for letting me know about the incorrect wording on this comment, I've edited it

  • @andyyoo2948
    @andyyoo2948 5 місяців тому +4

    You Beautiful SoB - I've never seen anyone marry Excel with Financial Concepts as well as you. Please continue!!!

    • @RyanOConnellCFA
      @RyanOConnellCFA  5 місяців тому

      Lol now that is one of my all time favorite comments! I've got no plans of slowing down 💪

  • @miguelcarvallosayago165
    @miguelcarvallosayago165 3 дні тому

    Great videos. Thank you Ryan

  • @MM-uz5nv
    @MM-uz5nv Місяць тому +1

    Fantastic content (your whole channel) - this what YT was meant to be about, quality, factual, educational content. The examples in Excel make understanding of the Greeks so much easier in this case. Thank you!

    • @RyanOConnellCFA
      @RyanOConnellCFA  Місяць тому

      It is my pleasure, and thank you for that feedback! It means a lot to me 🙏

  • @ashwinjanyani
    @ashwinjanyani 5 місяців тому +1

    Hi Ryan, you are doing great job. thank you!

    • @RyanOConnellCFA
      @RyanOConnellCFA  5 місяців тому

      I really appreciate that feedback my friend!

  • @monu284
    @monu284 2 місяці тому

    Awesome Sir Thanks a lot

  • @hernanalzate1582
    @hernanalzate1582 2 місяці тому

    Great vid Ryan, would be great to make a new one explaining the rationale of N(d1), (-d1) and N(d2), (-d2); for Calls and Puts, respectively. Thx in advance.

  • @visunashokkumar1782
    @visunashokkumar1782 2 місяці тому

    Hey Ryan This is some Good quality content thank you for the info. (Just a tip for your Video/ face cam) Your face cam feels a bit laggy or slow you could try to put the shutter speed on 1/60 or something near that to fix it. Or have something light up your face.

  • @lyntonbr
    @lyntonbr 5 місяців тому +1

    Thanks for the video. Can you make another using the other Black-Scholes formula that takes the dividend of the stock in the greeks calculation?

    • @RyanOConnellCFA
      @RyanOConnellCFA  5 місяців тому

      My pleasure, I can definitely look at this down the road!

  • @philguiang
    @philguiang 5 місяців тому +1

    Hello Ryan, thank you sharing this. Just a quick question, how do you select the appropriate US Treasury tenor as input in the option pricing model? Should the US treasury tenor match the tenor/expiration of the option?

    • @RyanOConnellCFA
      @RyanOConnellCFA  5 місяців тому

      Hello @philguiang, you've got it! Generally, when selecting the US Treasury rate for use in an option pricing model, it's a common practice to match the maturity of the Treasury rate with the expiration tenor of the option. This approach aligns the risk-free rate's time horizon with the option's life.

  • @antoniocarvalho1401
    @antoniocarvalho1401 3 місяці тому

    Hi, Ryan! First, thank you for your video. If the underlying asset was a dividend paying stock, would it be enough to adjust the calculation of N(d1) and N(d2) by subtracting the continuous dividend yield (q) on the numerator and keep all the rest equal in the computations of Delta, Gamma and Vega for call options? Or should those also be adjusted by multiplying the delta, gamma, and vega formulas by e^(-qT)?
    Hope I was not too confusing, keep up the great work! :)

  • @antoniousai9525
    @antoniousai9525 4 місяці тому +1

    Hi Ryan, congratulations on your videos. With Excel, is it possible to create, in a single graph, the pay off at expiry, the at now curve and manage different expiries of an options strategy?

    • @RyanOConnellCFA
      @RyanOConnellCFA  4 місяці тому +1

      Hi @antoniousai9525, thank you for the kind words! Yes, with Excel, you can indeed create a single graph showing the payoff at expiry, the 'at now' curve, and manage different expiries for an options strategy by utilizing its charting tools and formulas to calculate the respective values. This might require some setup with the options data and using Excel's more advanced features like data tables and conditional formatting to dynamically manage and visualize different scenarios. I'll consider making a tutorial on this topic in the future to help guide you through the process!

    • @antoniousai9525
      @antoniousai9525 4 місяці тому +1

      Dear Ryan, thank you for your response and your availability. Happy Sunday.

    • @RyanOConnellCFA
      @RyanOConnellCFA  4 місяці тому

      @@antoniousai9525 My pleasure! Happy Sunday to you as well

  • @victoricus1
    @victoricus1 5 місяців тому +1

    ok, so, greeks are used to estimate risk vs potential gain for a number of contracts? we can use them to compare different contracts in terms of risk management? for higher greek values we earn more but incur more risk, and vice versa for less volatile derivatives?

    • @RyanOConnellCFA
      @RyanOConnellCFA  5 місяців тому

      Yes, you're on the right track! Greeks are indeed used to estimate and manage the risk versus potential gain for options contracts, allowing for a comparison of different contracts in terms of their risk profiles. While higher Greek values often indicate higher potential returns, they also typically come with increased risk

  • @billmietelski
    @billmietelski Місяць тому +1

    How can we change cell D6 to Days To Expiration? Never have I ever looked up an option chain that had 0.5 years to expiration. :)

    • @RyanOConnellCFA
      @RyanOConnellCFA  Місяць тому +1

      T =time in years.
      I'll give you an example:
      Lets say that today is 5/22 and we are looking at an option that expires two days from now on 5/24.
      T = days until expiration/days in a year
      T = 2/365 = 0.005

    • @billmietelski
      @billmietelski Місяць тому +1

      @@RyanOConnellCFA Thanks, Ryan! I alreaady bought & downloaded the spreadsheet. I assumed I could figure it out (eventually) on my own, but your example will help. :)

    • @RyanOConnellCFA
      @RyanOConnellCFA  Місяць тому

      @@billmietelski My pleasure, good luck playing around with it!

  • @Brown_Lightning
    @Brown_Lightning 5 місяців тому +1

    Hi Ryan, thank you for posting this video. I am a bit confused about the call/put chart around the 12:00 minute mark. Why would you want your put to move towards a $60 strike price ? I thought you make money on puts as the price of the underlying stock goes down? So how would you make $20 by having a put that would move towards the $60 strike price?

    • @RyanOConnellCFA
      @RyanOConnellCFA  5 місяців тому +1

      Hey, it is my pleasure! I think you may be confusing the strike price (K) on the graph with the underlying stocks price (S). For a put option, a higher strike price is more valuable. For example, if the strike price is $60 and the underlying stock price is $40, that means that if I own the put I can sell something worth $40 for $60, which is a $20 positive payoff. Does that make sense?

    • @Brown_Lightning
      @Brown_Lightning 5 місяців тому +1

      Hi Ryan, thank you for taking the time to explain this out to me. You’re right, I was looking at the graph wrong. I appreciate the help!

    • @RyanOConnellCFA
      @RyanOConnellCFA  5 місяців тому

      @@Brown_Lightning It is my pleasure!

  • @victoricus1
    @victoricus1 5 місяців тому +1

    so d1 is the probability that the underlying asset's price will be above the strike price at expiration? d1 of 0 (underlying price is above or below strike price) is 50%?

    • @RyanOConnellCFA
      @RyanOConnellCFA  5 місяців тому

      I would say that n(d1) is the probability that the option will expire in the money and a d1 of 0 should be about 50%! I've got a video where I more clearly explain all these probabilities in Black Scholes here: ua-cam.com/video/J6OySvT-PDE/v-deo.html

    • @victoricus1
      @victoricus1 5 місяців тому

      @@RyanOConnellCFA thank you, Ryan!

    • @RyanOConnellCFA
      @RyanOConnellCFA  5 місяців тому

      @@victoricus1 My pleasure! Love your profile pic of the cat with a VR headset by the way lol

    • @victoricus1
      @victoricus1 5 місяців тому

      @@RyanOConnellCFA awww, that's sweet of you to say so) if only i had enough time to play games, but, alas, time is slipping away the older you get

  • @jens4077
    @jens4077 5 місяців тому +1

    I am working on obtaining my Level 1 CFA certificate. Is it necessary to have an in-depth knowledge of company accounting to get started in practice?

    • @RyanOConnellCFA
      @RyanOConnellCFA  5 місяців тому

      Great job on starting the journey! I don't think it is necessary to have that knowledge. You will need to know a bit but you can learn it in the CFA curriculum as you are going through your studies. Once section is a bit heavy on accounting as it relates to financial reporting