The Greeks Explained: Options Analysis in Excel

In "The Greeks Explained: Options Analysis in Excel," Ryan O'Connell, CFA, FRM, provides a thorough tutorial on understanding the critical aspects of option Greeks using Excel. Starting with the fundamental inputs of the Black Scholes Model, this video offers detailed walkthroughs of calculations for d1, Delta, Gamma, d2, Theta, Vega, and Rho, along with their practical interpretations. Perfect for both beginners and advanced traders, the video makes complex concepts accessible, enhancing your options trading strategies with Excel's analytical power. Don't miss this chance to elevate your trading skills with expert insights into the Greeks in options trading!

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Chapters:
0:00 - Intro to "The Greeks Explained"
0:18 - Inputs to the Black Scholes Model
2:45 - d1: Calculation
3:56 - Delta: Calculation & Interpretation
12:25 - Gamma: Calculation & Interpretation
14:55 - d2: Calculation
15:22 - Theta: Calculation & Interpretation
18:42 - Vega: Calculation & Interpretation
21:06 - Rho: Calculation & Interpretation

*Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC. Some of the links above are affiliate links, meaning, at no additional cost to you, I will earn a commission if you click through and make a purchase.

[RyanOConnellCFA]

💾 Purchase Excel File:

🎓 Tutor With Me: 1-On-1 Video Call Sessions Available
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[andyyoo]

You Beautiful SoB - I've never seen anyone marry Excel with Financial Concepts as well as you. Please continue!!!

[MM-uznv]

Fantastic content (your whole channel) - this what YT was meant to be about, quality, factual, educational content. The examples in Excel make understanding of the Greeks so much easier in this case. Thank you!

[ashwinjanyani]

Hi Ryan, you are doing great job. thank you!

[visunashokkumar]

Hey Ryan This is some Good quality content thank you for the info. (Just a tip for your Video/ face cam) Your face cam feels a bit laggy or slow you could try to put the shutter speed on 1/60 or something near that to fix it. Or have something light up your face.

[jonathanmaynard]

When you compute theta, is that over the entire time the option has left or is that day by day? The value seems rather high for a single day move. Thanks in advance!

[winsonfang]

Hi Ryan, thanks for the video, very helpful. I have a quick question - at 21:46, when calculating the formula for call Rho, why the N(d2) use a different excel formula than that when we calculate N(d1). Do these two formula give the same results? Thanks!!!

[philguiang]

Hello Ryan, thank you sharing this. Just a quick question, how do you select the appropriate US Treasury tenor as input in the option pricing model? Should the US treasury tenor match the tenor/expiration of the option?

[lyntonbr]

Thanks for the video. Can you make another using the other Black-Scholes formula that takes the dividend of the stock in the greeks calculation?

[seanwoolsey]

@RyanOconnellCFA is your tutoring service strictly for business operators or for individual investors as well? Asking because I am not sure which, if any, of the pricing options would be best.

[victoricus]

ok, so, greeks are used to estimate risk vs potential gain for a number of contracts? we can use them to compare different contracts in terms of risk management? for higher greek values we earn more but incur more risk, and vice versa for less volatile derivatives?

[antoniocarvalho]

Hi, Ryan! First, thank you for your video. If the underlying asset was a dividend paying stock, would it be enough to adjust the calculation of N(d1) and N(d2) by subtracting the continuous dividend yield (q) on the numerator and keep all the rest equal in the computations of Delta, Gamma and Vega for call options? Or should those also be adjusted by multiplying the delta, gamma, and vega formulas by e^(-qT)?
Hope I was not too confusing, keep up the great work! :)

[Brown_Lightning]

Hi Ryan, thank you for posting this video. I am a bit confused about the call/put chart around the 12:00 minute mark. Why would you want your put to move towards a $60 strike price ? I thought you make money on puts as the price of the underlying stock goes down? So how would you make $20 by having a put that would move towards the $60 strike price?

[hernanalzate]

Great vid Ryan, would be great to make a new one explaining the rationale of N(d1), (-d1) and N(d2), (-d2); for Calls and Puts, respectively. Thx in advance.

[antoniousai]

Hi Ryan, congratulations on your videos. With Excel, is it possible to create, in a single graph, the pay off at expiry, the at now curve and manage different expiries of an options strategy?

[victoricus]

so d1 is the probability that the underlying asset's price will be above the strike price at expiration? d1 of 0 (underlying price is above or below strike price) is 50%?

[jens]

I am working on obtaining my Level 1 CFA certificate. Is it necessary to have an in-depth knowledge of company accounting to get started in practice?

[TheSherifsaad]

Hi, how do you interpret for ATM options for instance a theta call and put of -3.7 and -2.9, does it mean the option will lose this dollar amount per day?, and vega of 11.2, thanx

[billmietelski]

How can we change cell D6 to Days To Expiration? Never have I ever looked up an option chain that had 0.5 years to expiration. :)