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OPTIONS XL

OPTIONS XL is a Microsoft Excel add-in program that allows you to value options on stocks, foreign exchange, futures, fixed income securities, indices, commodities and Employee Stock Options (ESOs) using custom functions.

Market data from your quote vendor can be automatically passed to the custom functions via Dynamic Data Exchange.

Some of the ways that OPTIONS XL may be used are:

Valuing option contracts on various assets including stocks, foreign exchange, futures, fixed income securities, indices and commodities
Valuing employee stock options (ESOs) in accordance with FAS 123R of the Financial Accounting Standards Board
Track portfolio positions in real-time (using DDE link from your quote vendor), including sensitivities such as delta, gamma, theta, vega, rho, psi and lambda
Real options for capital budgeting
Calculate implied volatility values based on the prices of exchange traded options
OPTIONS XL is FAS 123R and SEC compliant for financial reporting purposes.

Premium Series

Black-Scholes

Non-dividend paying equities (the original)

Black

Futures (financials, energy, FX, commodities)

Garman-Kohlhagen

Spot foreign exchange

Modified Black-Scholes

Dividend yield input (equities, indicies, bonds)

Whaley

Assets with a continuous yield
Values American-style early-exercise

Eurodollar

Eurodollar and bill futures options
Black-Scholes, Whaley and Binomial

Pseudo-American
(B-S)

Dividend paying equities, discrete dividends near
ex-dividend dates

B-S French

Black-Scholes model modified to handle trading days

Binomial
(C-R-R and Hull Methods)

Assets generating discrete cash flows (dividends)
Full early exercise consideration
Discrete cash flows or yield input
American, European and Bermuda -style exercise

Flexible Binomial Series

Flexible Binomial
(C-R-R and Hull Methods)

Flexible input of key option variables
Discrete cash flows or yield input
Multiple interest rates (yield curve, forward curve)
Changes in yield over time, dillution effects
American, European and Bermuda -style exercise
Ideal for Warrants, Index Options, OTC Options, ESOs

Custom Models

Method of Lines
(Carr)

An efficient, accurate analytical valuation of American-style options. Based on the work of Peter Carr, formerly of Cornell University.

Jump-Diffusion

The Jump-Diffusion method assumes that asset price changes do not follow a pure random process but also contain an unexpected "jump" component.

CEV

Constant Elasticity of Variance model calculates option values based on non-constant volatility assumptions.

Forward Start

Options that have a start date in the future based on "moneyness" ratio.

Portfolio Optimization

Option Portfolio Optimization of OEX and stock option contracts.

Real Options

Real Options and Capital Project analysis using option pricing theory.

Gram-Charlier

Calculates option values for returns that do not follow the normal distribution.

Options Exercise Behavior

Calculates option values considering the employee exercise behavior using Monte Carlo simulation.

Option Lattice

Calculates the values of American-style options using several lattice or tree methods. Binomial, Enhanced Binomial and Trinomial techniques are included in this set.

Functions

Options functions include Theoretical Value, Delta, Gamma, Theta, Vega, Rho, Psi, Lambda, Intrinsic Value, Implied Volatility and many more.

Recalculation speedup using Function Array and Strike Grid functions.

Templates

Standard Templates:

3-D Charting, Black-Scholes Illustrated, Binomial Tree Illustrated, Sensitivity Matrix

Nymex "Option and Futures Strategies"

John Hull "Options, Futures and Other Derivative Securities" book examples

Specialized Templates:

Fair Value Sheets: Trading sheets template for market-makers and traders

FAS123 Toolkit

Employee incentive stock option valuation: FAS123 Wizard, FAS123 Template, Volatility Wizard, Minimum Value model and more

Option Position Analysis

Option Position Analysis: Futures, Equities, Foreign Exchange, and Options Positions

Option Position Analysis Real-Time: Equity and Option Positions

Options Calculator

OPTIONS XL Calculators

Online OptionsCalc

Support

Online Documentation for OPTIONS XL

Black-Scholes	Non-dividend paying equities (the original)
Black	Futures (financials, energy, FX, commodities)
Garman-Kohlhagen	Spot foreign exchange
Modified Black-Scholes	Dividend yield input (equities, indicies, bonds)
Whaley	Assets with a continuous yield Values American-style early-exercise
Eurodollar	Eurodollar and bill futures options Black-Scholes, Whaley and Binomial
Pseudo-American (B-S)	Dividend paying equities, discrete dividends near ex-dividend dates
B-S French	Black-Scholes model modified to handle trading days
Binomial (C-R-R and Hull Methods)	Assets generating discrete cash flows (dividends) Full early exercise consideration Discrete cash flows or yield input American, European and Bermuda -style exercise

Method of Lines (Carr)	An efficient, accurate analytical valuation of American-style options. Based on the work of Peter Carr, formerly of Cornell University.
Jump-Diffusion	The Jump-Diffusion method assumes that asset price changes do not follow a pure random process but also contain an unexpected "jump" component.
CEV	Constant Elasticity of Variance model calculates option values based on non-constant volatility assumptions.
Forward Start	Options that have a start date in the future based on "moneyness" ratio.
Portfolio Optimization	Option Portfolio Optimization of OEX and stock option contracts.
Real Options	Real Options and Capital Project analysis using option pricing theory.
Gram-Charlier	Calculates option values for returns that do not follow the normal distribution.
Options Exercise Behavior	Calculates option values considering the employee exercise behavior using Monte Carlo simulation.
Option Lattice	Calculates the values of American-style options using several lattice or tree methods. Binomial, Enhanced Binomial and Trinomial techniques are included in this set.