Kumar August 29th, 2012 at 10:23pm

thanks for your prompt response.

a query on Historical Vol Calc spreadsheet.

when I press GETDATA latest Nifty data is getting updated in the spreadhsheet.

Last row shows date of 28th Aug only

29th Aug Nifty closing prices is NOT Getting automatically picked up.

am I missing anything here

thanks

Peter August 29th, 2012 at 7:58pm

Hi Kumar,

Yes, IV (implied volatility) is only for derivatives (e.g. options). The historical volatility spreadsheet calculates the historical volatility.

Historical volatility = past volatility
Implied volatility = future estimate volatility

Peter August 29th, 2012 at 7:15pm

Hi Mojalefa,

Are you after an online course? If so, check out the Members Area here for video courses on learning options.

Kumar August 29th, 2012 at 5:20am

Thanks for the Historical value spreadsheet It was useful.

a query

I thought IV can be only for different strike price of an underlying index / stock, then how come I see IV for underlying index / stock itself.

thanks

Mojalefa Mokotedi August 17th, 2012 at 5:55am

Hi Peter

I am interested in Financial Markets,could you please advise on which courses should be taken to understand currency options etc.

Peter June 20th, 2012 at 1:18am

Hi James,

Sure, send me an email and I'll reply back with the file.

James June 15th, 2012 at 8:58am

Hi Peter,

I came across some of your previous work where you created a Historical Volatility spreadsheet.

The spreadsheet downloaded historical stock prices from the web and calculated the historical standard deviation for the range of values.

Would you be able to provide me with the VBA code?

Thanks in advance and great work

Peter April 20th, 2012 at 12:30am

Hi Allan,

No worries about the replies - happy to help ;-)

Ok, I think there's some confusion between the market value of the position and the P&L.

So, you bought an option with a strike price of 440, which you paid 16,803. The current price of AAPL is 608.34.

You exercise the option. This means you buy the stock at a purchase price (strike price) of 440. Total cost to buy the stock = 44,000 (440 x 100).

BUT - you have also already "paid" 16,803 for the right to have this position (option premium). So the total "cost" of this position = 60,803.

So now you are long 100 shares of APPL worth 60,803.

The current market value of this position is 60,834 (608.34 x 100).

With the price of AAPL being 608.34 and you having a "long" position of 100 shares worth 60,803 means your profit if you sell the shares back is $31.

allan April 19th, 2012 at 8:49pm

You have a lot of patience Peter-I can tell reading thru all the comments responding to questions. I dont want to beat a dead horse but I still dont have my arms around the value of my appl call if at expiration it has not increased in value. I think at expiration I will receive appl shares worth 608/share since 608 is a price greater than the 440 strike. If correct I will receive shares with a mkt value of 608x100=60,800 for a call that I paid 16,800 in prem (168x100) for a strike price of 440 (440x100=44,000) I think Im even-no out of pocket loss. I know Im wrong and I know it has something to do with extrinsic value but its still not clear to me how much $ I will lose on this trade:(

Peter April 19th, 2012 at 6:30pm

Hi Allan,

I see where you're coming from: that the intrinsic value = the premium? Not always.

The price of an option that you see in the market will be made up of two types of value: intrinsic value and extrinsic value.

For a call option, yes, you're right that the intrinsic value is the maximum between 0 and the stock minus the strike price. But there is also value in the expectation that the option could be worth a lot more by the expiration date - this is called extrinsic value (or time value).

If you did pay 168.03 for the option (that being the market price) then, yes, it is all intrinsic value. It's not worthless - it is worth 168.03, which is the price you paid for it. So, you've not made any profits yet. You've paid money to the option seller and in return received an asset worth 168.03.

If the value of this asset increases and you sell it for a higher price then you will receive money - the difference between what you have paid and received will be your profit.

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