Option Strategy Simulator

Download Now

$45 one-time payment
Instant download

How It Works & Screenshots

Enter position details. Use up to 5 legs and set each to Call / Put / Stock / None. Set number of contracts or shares for each, expiration, strike and initial price.

Set parameters – valuation date and time, current underlying price, dividend yield and interest rate. The buttons allow you to change the key parameters quickly and easily.

You can work with flat volatility (same for all legs), which is simpler but can be inaccurate at times. Alternatively you can set different volatility for each leg and model changes in volatility skew or surface.

The simulator instantly shows option prices, dollar value, profit or loss and Greeks for individual legs and for the entire position.

You can choose to view the values, P/L and Greeks either per share or as total dollar values for your position size.

Chart & Simulations

The chart shows effects of individual parameters on P/L or any of the individual Greeks. The one below shows how your profit or loss changes with underlying price. In the bottom right corner you can see exact values for the important points, such as break-evens, minimums and maximums.

You can also display the effect of volatility on P/L, for example.

In this particular example, the position breaks even at implied volatility of 29.45% – under current conditions (underlying price 202.79 and valuation at 17 March close). You can see summary of the parameters on the right. If you change any of the parameters (in rows 3-4), the chart is updated automatically. This allows you to quickly simulate various scenarios and visualize the effects.

Besides the behaviour of P/L under different scenarios, you can also model the effects of individual parameters on any of the Greeks. The example below shows how the aggregate delta changes with underlying price (180/190/210/220 iron condor). In the corner you can again see the exact price where the delta crosses zero (200.45), where it is highest (183.04) and lowest (217.85).

Besides entire position you can also analyse individual legs, so you can better identify the main sources of particular risk exposures.

You can see a summary of all chart options below. Any combination of these will work.

If you want to explore a particular area in greater detail, you can quickly zoom in and move along the X-axis, using the buttons. No need to change Excel chart settings manually.

The simulator helps you stay in control, understand the risks and behaviour of a position under any possible situation, and make faster and better decisions.

Download Now

$45 one-time payment
Instant download

It’s Easy to Customize

When entering position details, expirations are selected from drop-down boxes, which is much faster than typing them in repeatedly.

The preset expirations are for the standard US options monthly cycle. If you work with weeklies or some other options, you can easily change the expirations or the date formats in a designated sheet.

You can also customize the number of shares per option contract (which is 100 by default) either by setting it globally or by setting a different multiplier for each leg.

The latter can be useful for positions containing different types of options on the same underlying.

Download Now

$45 one-time payment
Instant download

Frequently Asked Questions

Is it a one-time payment or monthly/recurring?
One-time payment, yours forever.

Does it work in my version of Excel?
The simulator works in all versions of Excel from Excel 97 to Excel 2016. It was developed in Excel 2010 and tested in other versions. For older versions you may need to use a different version of the simulator, which is also included.

Does it work in OpenOffice / LibreOffice / Apple Numbers / other spreadsheet software?
It may work in some, but unfortunately we can’t guarantee it and can’t provide support for software other than Microsoft Excel. Generally you need your software to support Excel formulas and macros.

How do I pay? Is it secure?
You can pay by credit/debit card or PayPal. All payments are processed by PayPal, which provides world-class security and buyer protection. You don’t need a PayPal account to check out when paying with a card.

I have other questions / need more information.
Please contact us.

Download Now

$45 one-time payment
Instant download

Related Calculators – Often Bought Together

Option Strategy Payoff Calculator – Good to learn about individual option strategies and their payoffs at expiration.

Implied Volatility Calculator – Calculates IV from option prices and helps you understand the essential volatility input.

Related pages

calculation formulas in excelmean revertingblack-scholes valuation modelvolatility calculation formulaavco methodintrinsic value vs market valuecalculating standard deviation on calculatorhow to calculate the coefficient of skewnessxl formulascboe vix optionsgamma function in excelvix methodologycalculating historical volatilitywhat does macd stand forexcel formula for square rootinterpretation of skewness and kurtosisdow jones weightinghow to calculate rsi of stockcost accounting formulassample skewnesscall spread payoffoptions pricing black scholess&p 500 vix mid term futures indexannualizingcot cftcformulas on profit and losscalculate coefficient of skewnessexcel formula macroweighted avg cost of capitaltotal sum of squares calculatorsymbol for vixetf correlationetc etfrate of return calculator for stocksstatistical skewcalculating the variance in excelbear call spread exampledefinition sharpe ratiooption trading booksmeaning of skewness in statisticshow to calculate volatility for black scholescalculating rate of return in excelweighted average return formulasample covariance excelforex volatility calculatorderivation of black scholes modelstandard deviation finance calculatorblack and scholes formulastraddle optionsput option payoff diagramstrangle positionsma and emaweighted average inventory methodinverse vxxindexation formulafree black scholes calculatorvariance and standard deviation for grouped datathe black scholes formulashare price volatility calculatorcurrent djia divisorskew equationvix option priceslog formula in excelgeometric mean on excelvix real time quoteexcel option calculatorformula for finding the sample meanvix index chartcboe options chainexponential moving average definitionnormsdist calculatorstandard deviation spreadsheetcoefficient in excelwhat does macd stand forvix inverse etf 2xarbitrage hedge fundcalculating averages in excelstraddle options strategygamma options trading