Google Sheets Options Market Calculator

Options Market Calculator in Google Sheets

The following are essential components for creating an options market calculator in Google Sheets. This example will guide you through calculating the Option Price, Intrinsic Value, and Time Value of an option.

Key Formulas

1. Option Price Calculation (Black-Scholes Model)

   Formula: =NORM.DIST((LN(S/K) + (r + (v^2)/2) * T) / (v * SQRT(T)), 0, 1, TRUE)

   • S: Current Stock Price
   • K: Strike Price
   • r: Risk-Free Interest Rate (as a decimal)
   • v: Volatility (annualized standard deviation of stock returns)
   • T: Time to expiration (in years)

2. Intrinsic Value

   Formula: For a Call Option: =MAX(0, S - K)
   For a Put Option: =MAX(0, K - S)

3. Time Value

   Formula: =Option_Price - Intrinsic_Value

Global Definitions

• Option_Price: The calculated price of the option (using Black-Scholes).
• Intrinsic_Value: The calculated intrinsic value based on the current stock price and strike price.

Step-by-Step Implementation

1. Set Up Your Spreadsheet

   Create the following headers in cells A1 to F1:

   • A1: Current Stock Price (S)
   • B1: Strike Price (K)
   • C1: Risk-Free Rate (r)
   • D1: Volatility (v)
   • E1: Time to Expiration (T)
   • F1: Option Price

2. Input Values

   In cells A2 to E2, enter appropriate values for your scenario (e.g., current stock price, strike price, risk-free rate, volatility, and time to expiration).

3. Calculate Option Price

   In cell F2, enter the previously provided Black-Scholes formula, ensuring to adjust the references according to your sheet layout.

   Example: =NORM.DIST((LN(A2/B2) + (C2 + (D2^2)/2) * E2) / (D2 * SQRT(E2)), 0, 1, TRUE)

4. Calculate Intrinsic Value

   In cell G2 (assuming G1 is labeled "Intrinsic Value"), use the following formulas:

   • For a Call Option: =MAX(0, A2 - B2)

   • For a Put Option: =MAX(0, B2 - A2)

5. Calculate Time Value

   In cell H2 (assuming H1 is labeled "Time Value"), enter:

   =F2 - G2

Practical Example

• For the above values, the formulas in F2, G2, and H2 will calculate the Option Price, Intrinsic Value, and Time Value of the call option, respectively.

Conclusion

This structure provides a comprehensive options market calculator within Google Sheets. The implementation of these formulas allows for the assessment of option pricing, intrinsic value, and time value effectively. Users are encouraged to explore the advanced features available in platforms like Enterprise DNA to enhance their skills further in data analysis.