Monitoring Options Deltas in Excel

If you set up a Microsoft Excel® dashboard to monitor options prices and their respective deltas you may see the delta values disappear occasionally in the dashboard. In other words, the value for the options deltas, especially far out of the money options, will be temporarily blank. This has nothing to do with Excel. It is due to the settings used in your CQG Options Windows that are for the calculations. Two settings in the Options Preferences will insure the deltas are calculated and displayed continuously: Volatility and Price filter.

Open the Options Window, Right-click on the title bar and then select “Preferences.”

Click on the Volatility tab, select “Use Average Volatility” and select “RTD & Operator values.” Then click “Apply.”

Next, click on the Price Filter tab.

Select “Bid, Ask, Last Trade and Yesterday’s Close” for both Option price and Underlying price and select “RTD & Operator values.”  Last, click “Apply”.

This Excel sample will pull in the at-the-money (ATM) call and put option symbols, option symbols ten strikes above and below the ATM option and their respective deltas.

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Disclaimer

Trading and investment carry a high level of risk, and CQG, Inc. does not make any recommendations for buying or selling any financial instruments. We offer educational information on ways to use our sophisticated CQG trading tools, but it is up to our customers and other readers to make their own trading and investment decisions or to consult with a registered investment advisor. The opinions expressed here are solely those of the author and do not reflect the opinions of CQG, Inc. or its affiliates.