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The Options Portfolio Excel Spreadsheet: 1 The Mechanics of The Workbook

The document describes an Excel workbook containing options portfolio data and pivot tables. It contains four worksheets: one with options data and Greeks calculated in VBA; one with implied volatility surfaces; and two with pivot tables relating portfolio performance to shifts in underlying prices and implied volatilities. The document also provides online sources for learning to use pivot tables and program in VBA.

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Manoj Kumar Singh
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216 views2 pages

The Options Portfolio Excel Spreadsheet: 1 The Mechanics of The Workbook

The document describes an Excel workbook containing options portfolio data and pivot tables. It contains four worksheets: one with options data and Greeks calculated in VBA; one with implied volatility surfaces; and two with pivot tables relating portfolio performance to shifts in underlying prices and implied volatilities. The document also provides online sources for learning to use pivot tables and program in VBA.

Uploaded by

Manoj Kumar Singh
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
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Download as PDF, TXT or read online on Scribd
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IEOR E4602: Quantitative Risk management Spring 2015

c 2015 by Martin Haugh

The Options Portfolio Excel Spreadsheet


These notes provide a brief description of the Excel workbook OptionsPivotTables.xls and also identifies good
online sources for those needing to learn some VBA.

1 The Mechanics of the Workbook


The workbook has four work-sheets and two modules. The four work-sheets are:
1. OptionsData: This sheet contains position data on SX5E, SP X and N KY option portfolios. In addition
to various data columns describing quantities associated with each position, e.g. ‘Underlying Price’,
‘Security Type’, ‘Maturity’, ‘Position’ etc, there are several columns that provide the Greeks for each
position. The VBA code that is used to calculate the options prices and their Greeks can be found in the
VBA module PricesGreeks. This module may be viewed in the VBA editor which can be opened from the
workbook by typing Alt-F11.

The Greek columns should be self-explanatory but some additional comments are in order.

$Delta(ESP): this is the usual Black-Scholes delta multiplied by the price, St say, of the underlying
security and it represents the Equivalent Stock Position.

$Gamma: this is St2 /2× the regular Black-Scholes gamma.

Example: Let P (S) denote the price of some derivative security when the underlying security price is S.
Then a simple second order Taylor expansion implies
2
(∆S) 00
P (S + ∆S) − P (S) ≈ (∆S)P 0 (S) + P (S)
2
 2
∆S ∆S
= $Delta + $Gamma
S S
= Return × $Delta + Return2 × $Gamma

which gives a simple approximation for the P&L due to a change in the underlying security.

Vega 1%: This is .01× the Black-Scholes vega. It represents the change in the value of the option due to
a 1 percentage point change in the implied volatility.

Similar interpretations apply to 1 Day Theta and Rho (1%). The VBA code in the PricesGreeks
module can be consulted for further details.

Other columns contain the P&L resulting from stressing the underlying security price or the implied
volatilities.
2. PriceData: This sheet contains the current implied volatility surface for each of the three underlying
indices. The implied volatilities are found using a function ComputeSVIImpliedVol which may be found in
the VBA module ImpliedVols. This function uses the SVI parameterization to calculate the implied
volatilities. This sheet also contains dividend yields, exchange rates and risk-free interest rate curves.
The Options Portfolio Excel Spreadsheet 2

3. PivotTablesUnderlyingShift: This worksheet contains pivot tables relating to the P&L from stressing the
prices of the underlying securities. There are two pivot tables corresponding to the ‘Total $Delta’ and
‘Total $Gamma’ data columns. A third pivot table contains the P&L resulting from stressing the prices of
the underlying securities. You should be able to check that the three tables are consistent with one
another. In particular, for reasonable, i.e. not too large, stresses of the underlying security you should see
that the P&L is consistent with that predicted by the delta and gamma pivot tables.
Pivot tables provide a very convenient mechanism for viewing and summarizing data and it is certainly
worthwhile learning how to use pivot tables in Excel. Some useful online sources are listed below.
4. PivotTablesVolShift: This worksheet contains pivot tables relating to the P&L from stressing the implied
volatilities of the underlying securities. For reasonable, i.e. not too large, stresses of the implied volatilities
you should see that the P&L is consistent with that predicted by the vega and volga pivot tables.

2 Online Sources for Learning How to Use Pivot Tables


There are many online tutorials for learning how to use pivot tables in Excel. Some of these can be found at:

1. < http://www.youtube.com/watch?v=l0a0dCgFA5g >

2. < http://www.dummies.com/how-to/content/the-essentials-of-excel-2010-pivot-tables-and-pivo.html >


3. < http://www.gcflearnfree.org/excel2010/20 >

3 Online Sources for Learning VBA


While the best way to learn any programming language is by diving in and writing code, there are several good
online primers / tutorials that may be used for learning VBA. They can be found at:

1. < http://faculty.virginia.edu/ribando/modules/xls/VBAPrimer.pdf >

2. < http://www.anthony-vba.kefra.com/ >

Note that a particular easy way to get started is by using the Excel macro tool to generate VBA code. While the
resulting code is often inefficient, it can be a useful to learn how to do write VBA code for more complicated
objects such as charts or pivot tables.

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