Black-Scholes Directly in a Excel Sheet ("keep it simple stupid"), by Espen Gaarder Haug

http://www.espenhaug.com/black_scholes.html

Description of Inputs

Input Values Notations

Spot Price of Stock / Underlying Index

7900

Strike Price of Option

8000

14

Time to expiry of Option in Calendar Days

Risk-free Bank Interest Rate per annum
Implied Volatility or IV of Option

10.00%

14.71%

-0.2891

d1

-0.3179

d2

S= Stock Price / Spot Price of U

X=Strike price of Option
T=Time to expiration in years
r= Risk-free interest rate

Theoretical Price of Call Option 60.6720

Theoretical Price of Put Option 130.0459

v=Implied Volatility or IV

= Stock Price / Spot Price of Underlying

=Strike price of Option

=Time to expiration in years

= Risk-free interest rate

=Implied Volatility or IV

CALL OPTIONS Pricing

Description of Inputs

Input Values

Spot Price of Stock / Underlying Index

Strike Price of Call Option
Time to expiry of Option in Calendar Da
Risk-free Bank Interest Rate per annum
Implied Volatility or IV of Option

8335
8400
21
10.00%
12.11%
-0.0548
-0.0839
7/7/2016
7/28/2016

Date of Call Options Buy / Sell

Expiry Date

Call Price

88.51

PUT OPTIONS Pricing

Description of Inputs
Spot Price of Stock / Underlying Index
Strike Price of Put Option
Time to expiry of Option in Calendar Da
Risk-free Bank Interest Rate per annum
Implied Volatility or IV of Option

Date of Put Options Buy / Sell

Expiry Date

Input Values
7815
7800
13
10.00%
17.00%
0.1869
0.1549
5/13/2016
5/26/2016

Put Price

79.84

Days to Call
Expiry Price

Put
Price

1
2
3
4
5
6
7
8
9
10
11

3.08
8.93
14.68
20.12
25.27
30.16
34.84
39.35
43.69
47.90
51.99

19.98
30.30
38.04
44.42
49.94
54.83
59.26
63.31
67.06
70.55
73.83

12

55.98

76.91

13
14
15
16
17
18
19
20
21

59.87
63.68
67.41
71.07
74.67
78.21
81.69
85.12
88.51

79.84

Days to
Expiry
1
2
3
4
5
6
7
8
9
10
11
12
13

Days to d1 value of d2 value of

Expiry Call Option Call Option
1
2
3
4
5
6
7
8
9
10
11

-1.1791
-0.8010
-0.6272
-0.5200
-0.4443
-0.3867
-0.3405
-0.3021
-0.2693
-0.2408
-0.2156

-1.1855
-0.8099
-0.6382
-0.5327
-0.4585
-0.4022
-0.3572
-0.3200
-0.2883
-0.2609
-0.2367

12

-0.1931

-0.2150

13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54

-0.1726
-0.1540
-0.1368
-0.1208
-0.1060
-0.0920
-0.0789
-0.0666
-0.0548
-0.0437
-0.0331
-0.0229
-0.0131
-0.0038
0.0052
0.0139
0.0223
0.0303
0.0382
0.0458
0.0532
0.0603
0.0673
0.0741
0.0807
0.0872
0.0935
0.0996
0.1057
0.1116
0.1173
0.1230
0.1285
0.1340
0.1393
0.1445
0.1497
0.1547
0.1597
0.1646
0.1694
0.1741

-0.1955
-0.1777
-0.1613
-0.1462
-0.1321
-0.1189
-0.1066
-0.0949
-0.0839
-0.0734
-0.0635
-0.0539
-0.0448
-0.0361
-0.0277
-0.0197
-0.0119
-0.0044
0.0029
0.0099
0.0168
0.0234
0.0298
0.0361
0.0422
0.0481
0.0539
0.0595
0.0651
0.0705
0.0758
0.0809
0.0860
0.0910
0.0958
0.1006
0.1053
0.1099
0.1144
0.1189
0.1233
0.1276

55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90

0.1788
0.1834
0.1879
0.1924
0.1968
0.2011
0.2054
0.2096
0.2138
0.2179
0.2220
0.2260
0.2300
0.2339
0.2378
0.2417
0.2455
0.2492
0.2529
0.2566
0.2603
0.2639
0.2674
0.2710
0.2745
0.2779
0.2814
0.2848
0.2881
0.2915
0.2948
0.2981
0.3013
0.3046
0.3078
0.3109

0.1318
0.1360
0.1401
0.1441
0.1481
0.1520
0.1559
0.1597
0.1635
0.1672
0.1709
0.1745
0.1781
0.1817
0.1852
0.1886
0.1921
0.1954
0.1988
0.2021
0.2054
0.2086
0.2118
0.2150
0.2181
0.2212
0.2243
0.2274
0.2304
0.2334
0.2363
0.2393
0.2422
0.2451
0.2480
0.2508

Days to d1 value of
Expiry Put Option

d2 value of
Put Option

1
2
3
4
5
6
7
8
9
10
11

0.2512
0.2025
0.1857
0.1784
0.1754
0.1745
0.1748
0.1760
0.1777
0.1797
0.1820

0.2423
0.1899
0.1703
0.1606
0.1555
0.1527
0.1513
0.1508
0.1510
0.1516
0.1525

12

0.1844

0.1536

13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54

0.1869
0.1896
0.1922
0.1949
0.1977
0.2004
0.2031
0.2059
0.2086
0.2113
0.2140
0.2167
0.2194
0.2220
0.2247
0.2273
0.2299
0.2324
0.2350
0.2375
0.2400
0.2425
0.2450
0.2474
0.2498
0.2523
0.2546
0.2570
0.2594
0.2617
0.2640
0.2663
0.2686
0.2708
0.2731
0.2753
0.2775
0.2797
0.2819
0.2841
0.2862
0.2883

0.1549
0.1563
0.1578
0.1593
0.1610
0.1626
0.1643
0.1661
0.1678
0.1696
0.1713
0.1731
0.1749
0.1767
0.1784
0.1802
0.1819
0.1837
0.1854
0.1872
0.1889
0.1906
0.1923
0.1940
0.1957
0.1974
0.1991
0.2007
0.2024
0.2040
0.2057
0.2073
0.2089
0.2105
0.2121
0.2137
0.2152
0.2168
0.2183
0.2199
0.2214
0.2229

55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90

0.2905
0.2926
0.2946
0.2967
0.2988
0.3008
0.3029
0.3049
0.3069
0.3089
0.3109
0.3129
0.3148
0.3168
0.3187
0.3206
0.3226
0.3245
0.3264
0.3282
0.3301
0.3320
0.3338
0.3357
0.3375
0.3393
0.3411
0.3429
0.3447
0.3465
0.3483
0.3501
0.3518
0.3536
0.3553
0.3571

0.2245
0.2260
0.2275
0.2290
0.2304
0.2319
0.2334
0.2348
0.2363
0.2377
0.2391
0.2406
0.2420
0.2434
0.2448
0.2462
0.2476
0.2490
0.2503
0.2517
0.2530
0.2544
0.2557
0.2571
0.2584
0.2597
0.2611
0.2624
0.2637
0.2650
0.2663
0.2676
0.2688
0.2701
0.2714
0.2726

http://www.espenhaug.com/black_scholes.html

Description of Inputs
Notations Input Values
Spot Price of Stock / Underlying Index
7900
S
Strike Price of Option
7900
X
Time to expiry of Option in Years
0.038356164
T
Risk-free Bank Interest Rate per annum
10.00%
r
Implied Volatility or IV of Option
14.8%
v
Cumulative Normal Distribution Function
Cumulative Normal Distribution Function

d1
d2

10.00%
14.8%