Excel for Options Trading

Discussion in 'General Discussion' started by Kevin Lee, May 22, 2018.

  1. Jeffrey Suckow

    Jeffrey Suckow Active Member

    Do you use the RTD from TOS to Excel to check if the positions mid price (of a butterfly, spread, put) is off compared to the same synthetic position to get better entry, exit prices or better realistic P&L on any given day ?

  2. Kevin Lee

    Kevin Lee Well-Known Member

    I used to record synthetic mid prices along with many other parameters using VBA every 15 mins every day. That was part of my learning and getting familiar with prices in different market environment. But I don't do that anymore. Nowadays I just use OV Spread function to compare before I do a trade.
  3. Jeffrey Suckow

    Jeffrey Suckow Active Member


    Have you seen the end of the Trading Group 2 - June 19, 2018 where Bruno Voisin showed IB Options Pricer (BIBOP) excel spreadsheet which works with Interactive Brokers ?

    starting at 46 miuntes.
  4. Kevin Lee

    Kevin Lee Well-Known Member

    Yes, I think I have seen the IB spreadsheet before in other presentations that he presented. But I haven't used it myself. I use TOS primarily as the live data source.

    This reminds me I haven't had time to update the youtube video... totally swamped. Hopefully I can get back to that soon.
  5. status1

    status1 Well-Known Member

    I have seen that presentation a few minutes ago
    It looks pretty good
    He said he will start working on a version that will use TOS instead of IB but I am guessing it will use VBA
    I was wondering if those 3D charts could be done with older version of excel or will we have to get Office 365 to be able to create them
    One thing I don't like about it that it's all protected and cannot be customized that;s why I like Kevin's version because it's done with excel and you get to construct it yourself from scratch and also learn a few things along the way
    While waiting for the next presentation I upgraded my excel from 2003 to 2007 which I didn't really wanted to do because I hate that ribbon but I guess I had to do it at some point so I might as well start getting used to it
  6. Marcas

    Marcas Well-Known Member

    :) I thought it was just me.
  7. Kevin Lee

    Kevin Lee Well-Known Member

    3D charts is an Excel function. Once you have the data, creating it is easy. VBA is more convenient but not necessary in most cases. The objecitve of the videos is to help traders create applications without VBA in most part. In the later videos, I might introduce some simple VBA that can spice up the application a lot.

    My belief is trading is becoming a data science. My goal to do is help fellow traders get the first step into data analysis by using Excel and that hopefully would lead some people into algorithmic back testing, analysis and eventually algo trading.
  8. Robert Kender

    Robert Kender New Member

    Kevin you are doing a great job. Do not be discouraged. Markets are always changing. I am very interested in what you are doing. Some of us started on Lotus 1-2-3. And maybe even before that. So the important thing to do is to be one step ahead. So you have to think. What is that next step? But being a statistician harnessing data is important if you have not lived through what was before.
  9. status1

    status1 Well-Known Member

    Hi Kevin,
    Is there any visibility as to when you might have time to continue with this project or is it pretty much abandoned for this year ?
  10. Kevin Lee

    Kevin Lee Well-Known Member

    Sorry for the delay. My July schedule is packed and I’ll be traveling most of August. I’ll try to find time to do it Sep.
  11. status1

    status1 Well-Known Member

    Ok,no problem
    Thanks for the update

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