How to auto calculate Live Option Greeks in excel| Nifty |Banknifty| Options

How to calculate Live Black–Scholes Option Greeks in excel for Nifty and Banknifty options auto refreshes with option chain. How to calculate Delta, Gamma, Theta, Vega, RHO, Option price/Intrinsic value. Please hit subscribe button for more such videos by @salujafintech Saluja Fintech
#optionstrading #nifty #banknifty

How to create Live Advanced Option Chain in Excel with Analysis | BankNifty Option Chain | Nifty Option Chain

VBA Code is in comments section:

Disclaimer: Any information provided on this channel is for educational purpose only, please contact your financial adviser before placing your trade. This channel/developer is not responsible for any profit/loss happened due to coding, logical or any type of error.

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[salujafintech]

VBA Code:
Function d1(UP, SP, T, r, V, D)
d1 = (Log(UP / SP) + (r - D + 0.5 * V ^ 2) * T) / (V * (Sqr(T)))
End Function
Function Nd1(UP, SP, T, r, V, D)
Nd1 = Exp(-(d1(UP, SP, T, r, V, D) ^ 2) / 2) / (Sqr(2 * 3.14159265358979))
End Function
Function d2(UP, SP, T, r, V, D)
d2 = d1(UP, SP, T, r, V, D) - V * Sqr(T)
End Function
Function Nd2(UP, SP, T, r, V, D)
Nd2 = Application.NormSDist(d2(UP, SP, T, r, V, D))
End Function
Function CallPrice(UP, SP, T, r, V, D)
CallPrice = Exp(-D * T) * UP * Application.NormSDist(d1(UP, SP, T, r, V, D)) - SP * Exp(-r * T) * Application.NormSDist(d1(UP, SP, T, r, V, D) - V * Sqr(T))
End Function
Function PutPrice(UP, SP, T, r, V, D)
PutPrice = SP * Exp(-r * T) * Application.NormSDist(-d2(UP, SP, T, r, V, D)) - Exp(-D * T) * UP * Application.NormSDist(-d1(UP, SP, T, r, V, D))
End Function
Function CallDelta(UP, SP, T, r, V, D)
CallDelta = Application.NormSDist(d1(UP, SP, T, r, V, D))
End Function
Function PutDelta(UP, SP, T, r, V, D)
PutDelta = Application.NormSDist(d1(UP, SP, T, r, V, D)) - 1
End Function
Function CallTheta(UP, SP, T, r, V, D)
CT = -((UP * V * Nd1(UP, SP, T, r, V, D)) / (2 * Sqr(T)) - r * SP * Exp(-r * (T)) * Nd2(UP, SP, T, r, V, D))
CallTheta = CT / 365
End Function
Function OptionGamma(UP, SP, T, r, V, D)
OptionGamma = Nd1(UP, SP, T, r, V, D) / (UP * (V * Sqr(T)))
End Function
Function OptionVega(UP, SP, T, r, V, D)
OptionVega = 0.01 * UP * Sqr(T) * Nd1(UP, SP, T, r, V, D)
End Function
Function PutTheta(UP, SP, T, r, V, D)
PT = -(UP * V * Nd1(UP, SP, T, r, V, D)) / (2 * Sqr(T)) + r * SP * Exp(-r * (T)) * (1 - Nd2(UP, SP, T, r, V, D))
PutTheta = PT / 365
End Function
Function CallRho(UP, SP, T, r, V, D)
CallRho = 0.01 * SP * T * Exp(-r * T) * Application.NormSDist(d2(UP, SP, T, r, V, D))
End Function
Function PutRho(UP, SP, T, r, V, D)
PutRho = -0.01 * SP * T * Exp(-r * T) * (1 - Application.NormSDist(d2(UP, SP, T, r, V, D)))
End Function
Function CallIV(UP, SP, T, r, MP, D)
Mx = 5
Mn = 0
Do While (Mx - Mn) > 0.0001
If CallPrice(UP, SP, T, r, (Mx + Mn) / 2, D) > MP Then
Mx = (Mx + Mn) / 2
Else: Mn = (Mx + Mn) / 2
End If
Loop
CallIV = (Mx + Mn) / 2
End Function
Function PutIV(UP, SP, T, r, MP, D)
Mx = 5
Mn = 0
Do While (Mx - Mn) > 0.0001
If PutPrice(UP, SP, T, r, (Mx + Mn) / 2, D) > MP Then
Mx = (Mx + Mn) / 2
Else: Mn = (Mx + Mn) / 2
End If
Loop
PutIV = (Mx + Mn) / 2
End Function

[vijayhiren]

Sabse pahle mene apke video se sikha tha 1 year pahle bahut mast bhai Apke sabhi video dekhe he bhai thanks for video

[ddtimes]

Sir, Gamma & Vega will be different for Call and Put it cannot be same it changes as per the Change in LTP

[SHIVAKUMARSOMA]

Sir, please check the calculation it's showing wrong values for all option greeks , I have checked 7 trading sessions but these calculation shows wrong direction only ...
Check your greeks formulas ...

[deepak]

Sir, how can we calculate CallVega and PutVega differently? it is showing same here. Also it is same for Gamma.

[babansadhu]

Sir, please make a video on iv percentile calculation of stocks in excel. Thanks

[saraleconomics]

Sir please advance excel sheet wale vba code bhi share kar dijiye please.

[khanbabar]

How to extract realtime average greeks of OTM call and put option ?

[nitinkshirsagar]

Sir Call put Vega is not same, u have shown both CE/ PE Vega in same coloumn.
How we can calculate separate value for Ce vega PE vega

[babulalmistry]

Please add max pain row with option chain. If we take 10 strikes there should be 21 rows, as one row with max pain in middle. Pls help on How to auto color ITM row. 🙏🙏

[avnisha]

But ye sab to sensibull mein fiya hota hi, iska fayada kya hi?

[dipteshroy]

Why don't you share the file? We do not want to learn technicalities. We want to make some money with this data for our families. Itna sikh ke kya karenge?

[kulbirsingh]

Latest excel kase download kare ...link send please

[ravindrapatel]

Sir Where can i got VBA Code for Greeks ?

[jayeshmestri]

not able to calculate greeks getting error "#VALUE!" please help kindly waiting for your response @Saluja Fintech

[babulalmistry]

Aaya tha roshni achanak, khil utha tha maan, ☺️gayab bhi ho gaya, dukhi hua....😔

[rajajls]

sir mujhe oi excel banana hai aap bana denge plz

[mohdkamran-gz]

dear sir aap ko mene mail kiya tha i am awaiting ur positive reply

[oumkaarrs]

Hello Sir nice VDO !!!
Will you please elaborate on how to fetch & print Nifty Option data Open High Low Close in excel. If possible how to set it up so that latest value will be on top let's say It should get printed in 3rd row starting from B3.

say current time is 09:30:15 am.
So, how to code, so that I will see the data in excel in following format.
Instrument Bank Nifty 45000 CE.

A B C D E F
1
2 Time OPEN HIGH LOW CLOSE
3 9:30 101 103 95 *
4 9:25 118 132 93 100
5 9:20 104 116 102 116
6 9:15 98 108 92 106


* it will show LTP of the 45000CE



How to get the data printed every 5 minutes ( new row will be added in every 5 minutes & the next row that will get printed will be 09:35 in B3 ) & the data in it should keep refreshing every second.

[sujitroy]

Sir nice vedio…but i want to find out call vega and put vega separtaly…can you pls make a function for that…