Using Excel CUBE Functions with PowerPivot - PowerPivotPro. Arriving Here from a Search Engine or via Excel Help? This article below by Dick Moffat, as well as the one by Dany Hoter, is an excellent, detailed example of how to use cube functions with *any* OLAP data source, and NOT just PowerPivot. Cube functions work the same with PowerPivot as they do with other OLAP sources like Analysis Services. I highly recommend reading both for examples and ideas.
But if you want to use cube functions with just plain tables of regular data, you can do that with Excel 2010! And now, on to Dick’s excellent article… Using Excel Cube Functions with PowerPivotBy Dick Moffat Personal Logic Associates Inc. Today I am going to give you a quick and dirty example of what I think is one of the key features of PowerPivot that will give it a much broader initial and on-going impact for experienced power spreadsheet developers. Excel CUBE Functions A few weeks ago my friend Dany Hoter wrote a piece here about the use of the CUBE functions in Excel with PowerPivot data. Five Must Knows About Index Options. In the options trading world, there are many, many products that can be traded. There are options on individual equities, equity indexes, currencies, commodities, bonds and more. Equity options are very popular — for good reason — but the focus of this article is on basics that all traders must know when trading index options.
Some of the most popular index options are the S&P 500 Index Options (CBOE:SPX), CBOE Volatility Index (CBOE:VIX), Russell 2000 Index Options, the Nasdaq-100 Index (NASDAQ:NDX) and the S&P 100 Index Options (CBOE:OEX). Here five things you must understand if you want to successfully trade index options: #1: Options of the large, active indexes trade under what’s called the European style. Failure to understand the differences, can, and almost certainly will, result in a monetary loss at some point in the future. The major differences are that European options: #2: Index options offer a diversified portfolio of stocks to trade. This is a trap for the unwary investor. Consistent income trading options: Comparing widths of SPX ICs.
In our quest to understand trading options for income, we often consider further OTM (out of the money) ICs (iron condors) in the SPX. Would moving the short strikes further OTM to improve POP (probability of profit), while increasing the width of the spreads, improve our P&L? This article attempts to answer that question. A vertical spread is comprised of two options within the same option chain (Weekly or Monthly) which are bought and sold concurrently.
To form a credit spread (which brings money into your account), you sell one option with a strike that is closer to ATM while buying an option with a strike that is further OTM. To determine if a further OTM short IC is a viable strategy when the width of each spread is increased, Tasty Trade recently ran a test on the SPX over a 5-year period. To put this in terms of SD (standard deviation), a 60% POP is approximately 0.77 SD; a 80% POP is 1.15 SD. Consistent income trading options: Theta efficiency. In our quest to understand trading options for income, we often consider improving the efficient use of capital. While ROC (return on capital) is a common metric, another metric being discussed is Theta Efficiency. Theta efficiency is defined as: Theta / Buying Power Reduction (or margin requirement). It is expressed as a percentage. Employing theta efficiency with the SPX, we can compare the results for Weekly short Puts vs.
Weekly bull Put spreads, and Monthly short Puts vs. Weekly bull Put spreads. We have focused on these two comparisons to determine the validity of statements made by others that the Monthly short Put, with close to 45 DTE (days till expiration), is the ideal approach for the SPX. We performed two tests using the SPX. For the Monthly vs. The results: when comparing theta efficiency, we found the bull Put spread was more efficient by a factor of two (at 2 SD) to four (at 1 SD). Articles on Options and Markets. In Part 1, we will cover the Option Contract, Assignment and Exercise, and American and European style options.
In Part 2 we will discuss the components that comprise an option's price and the Greeks. In Part 3 we will be discussing Intrinsic and Extrinsic value: two components that comprise and option's overall value. In Part 4 we will be discussing the important topic of Volatility; specifically the differences between Historical and Implied volatilities. I had a recent discussion with another trader who expressed his surprise over the market reaction (the S&P500) to the announcement of tapering on December 18th. With a strong positive move. In this article, we will be looking at how you can trade the volatility expansion prior to the announcement and the expected collapse of volatility after the announcement; typically described as a binary event. Debit and Credit spreads are called Vertical Spreads.
Complex strategies when trading options. in excess of 90%. Called POT (probability of touch). Credit spread. James Bittman - Trading Options. 4 Must Know Options Expiration Day Traps To Avoid | Option Alpha. It’s options expiration day and time to decide what to do with your current positions right? If you sell options, it’s probably an anticipated event. When you buy options, it’s something usually something to dread. Either way, there are things you must know, and steps you should take, to avoid any unpleasant surprises on the third Friday of each month. Here are our Top 4 MUST-KNOW traps to avoid during this volatile time and some pointers for handling any crazy positions… #1 Don’t Exercise Your Long Option You really shouldn’t consider exercising options at expiration – it’s just not worth it unless you are a big “fan” of the stock and company. Unless you bought a call or put so that you could take a longer term position in the stock you are generally better off closing the option trade than purchasing the shares.
In addition, exercising options come with additional broker commission fees that you don’t want or need to pay. #2 European Options Are Different (Watch Out) pTheta Naked Options Trend Following System Overview and Trade Analysis - Theta Trend. Overview: The video below is intended to help explain the pTheta system. the pTheta system is a longer term short options trend following system that sells naked options in the direction of the trend. Trade Analysis: In the video I take a look at a potential trade in the Russell 2000 ($IWM). I currently have an open $IWM trade and I’m not planning to take the trade, but the risk/reward is favorable.
Backtesting suggests the trades have a greater than 50% probability of success so the 1:1 risk/reward for the sample trade creates a positive expectancy. Risk graph of the $IWM naked put trade evaluated in the video below. The Video: I apologize if I sounded a little distracted during the video. A Plan For Trading In The Bathroom With A Day Job - Theta Trend. Last week I mentioned that I recently started a full time job. Let me assure that working full time is far from my favorite thing in the world, but, at least for now, it’s what I need to do. While I was out on one of my 4 a.m. caffeine loaded, cold, dark jogs, I realized that it also presented an opportunity. Specifically, working a demanding day job (like being a Tax Accountant during Tax Season) gives you the (dis)ability to not watch the market. It’s extremely frustrating when trades go against you and you want to make an adjustment but you can’t because you’re at work, traveling, or whatever. The ability to react is critical in trading.
How can you trade without looking at the markets? I sure we all agree that working and not having access to the market is less than ideal, but what if you could structure your day around your trading? Essentially what we’d be doing is looking for a way to trade in a “hands off” way. Is there any hope for people who can’t watch the markets? What’s next? Option Pricing Calculators by Peter Hoadley. Calculate Probability of Profit | Monte Carlo Simulation | Black Scholes Option Model.
Probability of Profit We use a Monte Carlo method to determine probability. This involves modeling price using a lognormal distribution and then determining option price, at that modeled stock price, using a Black-Scholes option model. Here is the formula for modeling lognormal price distribution. Price(t+1) = Price(t)*exp(r-v²/2+v*d) where r = risk free interest rate v = volatility d = random deviate Following are the steps to determine probability: Your test criteria could be a percent profit, retained credit, or whatever.
This is the basic procedure we use each night to evaluate positions for tomorrow. Our calculations are a little more complex because we also model change in volatility. If you have tried out the Monte Carlo Simulation Probability Calculator, you have seen this basic procedure in action. Option Pricing - Invest Excel. Calculate Historical Volatility in Excel. This spreadsheet calculates the historical volatility of a stock. It uses returns data automatically downloaded from Yahoo. Historical volatility is the standard deviation of an asset’s historical returns. The standard deviation is calculated over a moving time window. The historical volatility of a stock is distinct from implied volatility of an option.
The former represents past movements in price. By comparing the historical volatility of the underlying to the implied volatility of the option, investors can judge if the option is cheap or expensive. How to Calculate Historical Volatility Calculate the natural log of the current stock price to yesterday’s stock price. Calculate Historical Volatility in Excel The spreadsheet automates the steps described above, and is simple to use. The end date is set to NOW() by default, which gives the current date. After clicking the button, the spreadsheet downloads returns data from Yahoo using VBA. Black Scholes Option Calculator. Download the zipped version Option Trading Workbook (63 KB) Download the Excel file Option Trading Workbook.xls (314 KB) The above option pricing spreadsheet will allow you to price European call and put options. You can also enter up to ten different option/stock leg combinations to view the expected payoff at expiration.
If you have trouble with the formulas, check out the support page. Alternatively, you can visit the online version of these calculations at Option-Price.com Just to note that much of what I have learnt that made this spreadsheet possible was taken from the highly acclaimed book on financial modeling by Simon Benninga - Financial Modeling - 3rd Edition If you're an Excel junkie, you'll love this book - Simon's a freak. Our Learning Center | Monthly Cash Thru Options. Click here to go to the Members Only Learning Center Figure 1 below shows a risk/reward graph for a Bear Call Credit Spread on the Russell 2000 index (RUT). In order to create this Bear Call Credit Spread we would open the following two "legs" shown below: Buy to open, RUT 10 contracts, 750 strike, January 2006 Call Sell to open, RUT 10 contracts, 740 strike, January 2006 Call Or alternatively: Buy 10, RUT 750 Jan 06 Call Sell 10, RUT 740 Jan 06 Call Or Alternatively: 10 RUT Jan 740/750 Bear Call Spread Options Risk/Reward Graph courtesy of Optionetics Platinum Figure 1 Dissecting the name "bear call credit spread", "Bear" denotes that we want the underlying RUT index to remain below 740, our short Call that we are selling, or writing.
This risk/reward graph (Figure 1) shows the Russell 2000 Index (RUT) on the left, (Y axis on left is the price of the RUT index) and how the seller of this Bear Call Credit Spread on the right will either make or lose money. Sell 10, RUT 610 Jan 06 Put Figure 2 1. Black Scholes Option Calculator. Historical Volatility Calculation. This page is a step-by-step guide how to calculate historical volatility. Examples and Excel formulas are available in the Historical Volatility Calculator and Guide.
Although you hear about the concept of historical volatility often, there is confusion regarding how exactly historical volatility is calculated. If you are using several different charting programs, it is quite likely that you will get slightly different historical volatility values for the same security with the same settings with different software. The following is the most common approach – calculating historical volatility as standard deviation of logarithmic returns, based on daily closing prices.
What Historical Volatility Is Mathematically When talking about historical volatility of securities or security prices, we actually mean historical volatility of returns. Deciding the Parameters There are 3 parameters we need to set: It is not as important whether you use 20 or 21 days, or 252 or 262 days. Option Pricing Models (Black-Scholes & Binomial) | Hoadley. Option Pricing Models and the "Greeks" The Black-Scholes model and the Cox, Ross and Rubinstein binomial model are the primary pricing models used by the software available from this site (Finance Add-in for Excel, the Options Strategy Evaluation Tool, and the on-line pricing calculators.)
Both models are based on the same theoretical foundations and assumptions (such as the geometric Brownian motion theory of stock price behaviour and risk-neutral valuation). However, there are also some some important differences between the two models and these are highlighted below. See also: The Black-Scholes model is used to calculate a theoretical call price (ignoring dividends paid during the life of the option) using the five key determinants of an option's price: stock price, strike price, volatility, time to expiration, and short-term (risk free) interest rate.
The original formula for calculating the theoretical option price (OP) is as follows: Where: The variables are: Capital Discussions Members Web Site. Today's Most Active Options. Welcome! Log In Register Symbol Lookup Home > Tools & Resources > Today's Most Active Options Today's Most Active Options Getting Started Strategies & Advanced Concepts Options Education Program Seminars & Events Tools & Resources News & Research Options for Advisors Sign Up for Email Updates Characteristics and Risks of Standardized Options Official OIC Sponsors This web site discusses exchange-traded options issued by The Options Clearing Corporation.
Today's Most Active Options. The_most_liquid_index_options. No-Hype Options Trading - Given_ Kerry. Log in to Questrade. Options Center - Most Active Options. Dough | options trading software - an investment platform for beginners and experts. Options Trading - Manage Iron Condors with the Condormax System - Sop… Options Trading - Manage Iron Condors with the Condormax System - Sop… POWERSHARES QQQ TRUST SERIE (QQQ) 25-Sep-15 105.50 C Price History. Tools. CBOE.com. Best Options Trading Strategies | Learn To Trade SPY Weekly Options. CBOE Margin Calculator. Capital Discussions Members Web Site. Options Strategy Builder & Analyzer Online — OptionCreator. Best Trading Books. Need an advanced options book | Elite Trader. Comprehensive List of Free Historical Market Data Sources – Computer Aided Finance - Excel, Matlab, Theta Suite etc. Kenneth R. French - Data Library. Historical Option Prices and Data in CSV and SQL Formats. Stock Options Analysis and Trading Tools on I Volatility.com.
Reviews of Warrior Trading at Investimonials. Reviews of SteadyOptions at Investimonials. Options Trading, Options Trading System, Uncovered Options. LIMITED TIME ONLY- GoogleTrader 2015 v2. ScamWatchdog.org: My Binary Options 101 Guide for Newbies - Learn how to make HUGE PROFITS with binary options. Implied Volatility Rank | What is IV Rank? Technical ta_p_channelup.