How do you like your greeks? Does an at-the-money call have a delta of 0.50 or of 50 ? The Excel Option Calculator allows both, select your preference using the buttons at N29/N30 on the position sheet or AM25/AM26 on the graphs sheet.
There are two pages with different options for charting the greeks. Basically they allow you to look at the greeks from three different angles and combinations of those angles:
The passage of time, the underlying's price action and the options' implied volatility changes. Greeks vs. price An Iron Condor is a trade that benefits from time value decay. Theta is the daily rate of time value decay.
Like with the risk graph, we'll override the chart settings. Change AI2 and AI3 to 300 and 15, respectively.
Click on the "simple graph" button, then on the "theta" button. Or vice versa ... the buttons at the top choose the graph type, the buttons on the right the greek you want to see.
Then try the button "with IV variation". Looks like at this moment, with GOOG around 300, the Iron Condor's theta goes up with falling implied volatility, and vice versa.
Greeks vs. time The second page with for graphing the greeks deals with the passage of time. As an extra feature you can also select the trade value over time.
These graphs can be quite crazy and sometimes hard to understand. I suggest that later on you enter a simpler trade, like a single long call or put, and try out the different "greeks vs. time" graphs to get a better understanding.
If there are dividends and different risk free rates for different time frames defined on the "settings" sheet, some of these graphs can look a bit strange, with sudden jumps and jerks. All they do though is try to show reality as accurately as possible. |
