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Option Position Greeks Calculator

Discussion in 'Options' started by tom, May 14, 2014.

  1. tom

    tom Administrator Staff Member

    I ported part of Dan Harvey's Weirdor spreadsheet to an online version last year. I converted the Greeks calculator to PHP today and got it live at

    http://capitaldiscussions.com/option-position-greeks-calculator/10316

    The tool helps you monitor your position Greeks and let you know if they are getting out of line.

    I store cookies with your latest information so you don't have to keep re-entering the same data (such as price and volatility). If you come back to the tool within 100 days, your data will still be there (assuming you use the same web browser).

    The tool was originally intended for Weirdor trades, but it should be useful for JEEP trades, Butterfliy trades and Iron Condor trades. Any trade that you want to keep balanced, neutral option Greeks.
     
  2. Could you tell us what the values are for each greek ratio and each color code?
    John
     
  3. tom

    tom Administrator Staff Member

    Hi John,

    I enter the volatility for the ATM put or call. In the case of my SPX trade, I use the ATM put vol for the expiry I’m trading.
    No extra weight for Delta/Gamma. That’s more important for gamma scalping I think. I use the flatness of the T+0 line as a better indicator for me, but some people love ratios :)

    Delta/Gamma should be as high as possible. The less it is, the more Gamma can hurt your position.
    Theta/Delta. Some people like it 10:1 but as long as it’s greater than 1:1 it should be ok generally.

    Here are the ratio thresholds. They are calculated without the sign (I use absolute values):
    Theta/Delta
    > 1.5 Orange
    > 1.0 Dark yellow
    > 0.5 Light yellow
    <= 0.5 Green

    Vega/Theta
    > 5.0 Orange
    <= 5.0 Green

    The estimated greeks for +/- 1 sigma are calculated from the form inputs.
    It assumes theta and IV do not change, which is obviously not correct and why it is just an estimate. :cool:
     

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