Call ratio backspread

[medlarva]

Greetings to the list
I'm looking for a plan in excel to let me calculate the break even (upper and lower) and a better and fast way to recognize the relations 1:2 1:3 etc to detect a good entry point in CRB.
Does Anyone know any?

 

[Robertral]

Greetings to the list
I'm looking for a plan in excel to let me calculate the break even (upper and lower) and a better and fast way to recognize the relations 1:2 1:3 etc to detect a good entry point in CRB.
Does Anyone know any?

you want this at expiry or now or both?

try the following in excel

rates 5%
vol 10%
tau 0.5
C C C
+1 -2 +1
S Option 1 Option 2 Option 3 Portfolio
4850 ? ? ? sum(op1,2,3)
4848 ? ? ? sum(op1,2,3)
4846 ? ? ? sum(op1,2,3)
........
4800 ? ? ? sum(op1,2,3)
4798 ? ? ? sum(op1,2,3)

where the ? is jsut put in the BS equation using the parameters given.
The C and the number under C for each option is the option type and the quantity.
The above quantities describe a call fly. The Portfolio coloumb is the one you want to plot against S to give you the profile for time to expiry tau

Any help?
if someone tell me how to attach fiels i will make a simple excel sheet with the above

 

[RogerM]

Greetings to the list
I'm looking for a plan in excel to let me calculate the break even (upper and lower) and a better and fast way to recognize the relations 1:2 1:3 etc to detect a good entry point in CRB.
Does Anyone know any?

medlarva - why not just download the Hoadley Excel plugin which does all that and more?

http://www.hoadley.net/options/LatestVersion.htm

 

[Robertral]

medlarva - why not just download the Hoadley Excel plugin which does all that and more?

http://www.hoadley.net/options/LatestVersion.htm

Looks good, but if you want to learn something about the underlying model and a bit of basic excel then do it my way and compare your answers with that of the plug in recommned by RogerM......Of course with my way you can start adding vol smiles and sheeaaaa, wahtebver takes ur fancy....