Calculate Black-Scholes Option Values in Excel with MarketXLS

The BlackScholesOptionValue function allows you to compute theoretical option prices directly in Excel. By providing a valid option symbol, this function taps into underlying market data (via “Last” price) and calculates a result from an external API call, making option pricing simpler for US market securities. It streamlines your workflow by returning a quick computation for calls or puts, once the function confirms that your license is valid and that your parameters are in the correct format.

Why Use This Function?

• Compute theoretical option values quickly within Excel without specialized software.
• Ideal for tracking US market securities when analyzing strategies or testing fair market pricing assumptions.
• Eliminates manual parsing of option symbols—just supply the standardized OptionSymbol format, and MarketXLS does the rest.
• Great for power users who want immediate theoretical values for multiple options in one spreadsheet.
• Helps automate analytics: You can combine this with Excel’s built-in tools (like conditional formatting or pivot tables) for in-depth strategy analysis.

How to Use in Excel

Below is the general syntax:

=BlackScholesOptionValue(OptionSymbol, [RiskFreeRate], [Sigma])

• Enter the cell reference or typed string for the OptionSymbol.
• Optionally specify a RiskFreeRate (e.g., "0.03"), or it defaults to 0.04 if left blank.
• Sigma is included in the function signature but is not currently utilized in the backend code for this specific version—it can be left at "0" or another value.

Once entered, the function attempts to parse the OptionSymbol, retrieve the underlying stock’s last price, and call an external service to compute a theoretical option value using the Black-Scholes model. If successful, a numeric result is returned. If certain checks fail (like invalid licensing or an unrecognized symbol), you may see messages such as "NA," "Please enter optionsymbol," or "Optionsymbol format is not valid."

Parameters Explained

Example Usage

Basic Examples

1. Basic Call Option:
   Suppose you have a Microsoft call option with an option symbol recognized by MarketXLS.
   In a cell, type:
   =BlackScholesOptionValue("MSFT231215C00230000")
   Here, 23 indicates the year, 12 is the month, 15 is the day, C stands for Call, and 00230000 references a 230.00 strike.
   • If your license is valid and the symbol is well-formed, the function will fetch the MSFT last price, parse the parameters, and return a Black-Scholes calculated value.

2. Overriding the Risk-Free Rate:
   =BlackScholesOptionValue("MSFT231215C00230000", "0.05")
   • This uses a 5% annual risk-free rate in the computation.

3. Leaving RiskFreeRate blank:
   =BlackScholesOptionValue("MSFT231215C00230000", "")
   • Defaults to 4%.

Advanced Scenarios

1. Bulk Option Pricing:
   • Set up a list of valid US market option symbols in one column.
   • Use the same cell structure with different OptionSymbols to systematically retrieve theoretical values for dozens of contracts at once.
   • Combine with Excel’s data analysis (e.g., pivot tables) to compare mispriced options quickly.

2. Automated Strategy Testing:
   • Retrieve option values for both calls and puts over varying strikes (e.g., "C" vs. "P" in the symbol) in a strategy backtest sheet.
   • Compare theoretical option pricing to market quotes and look for discrepancies that might indicate potential trades.

3. Integration with Probability Calculations:
   • Combine the BlackScholesOptionValue output with other Excel formulas to estimate profit/loss scenarios, expected value calculations, or “Greeks” if you are calculating them externally.

Common Questions and Troubleshooting

• “NA” or “Refreshing” appears instead of a numeric value:
– Typically indicates the server call is waiting for updated data, or the symbol cannot be verified. Wait to see if the data refreshes automatically or re-check the symbol.
• “Please enter optionsymbol.” or “Optionsymbol format is not valid.”:
– Ensure the option symbol matches a recognized format (e.g., five characters for the underlying, then date/strike/flag portions).
• RiskFreeRate not specifying decimals:
– If you type a numeric value without quotes, Excel may transform it. Always wrap in quotes or store in a cell as text.
• Sigma parameter usage:
– In this version, Sigma is optional and not actively factored into the backend. You can leave it as “0” or pass any numeric value without affecting the final result.
• License Issues:
– The function will return custom messages if your license isn’t valid. Ensure your MarketXLS license is active.

Remember:

• Validate that your OptionSymbol formatting aligns with MarketXLS’s standards.
• Real US market scenarios typically involve standard option symbols like “MSFT230120C00230000.”
• Be sure to keep an eye out for data refresh messages.
• For the most accurate results, your MarketXLS environment should be properly licensed and up to date.

By following these guidelines, you can seamlessly integrate theoretical option pricing into your Excel-based market analysis, making it easier than ever to explore new trading ideas or manage existing portfolios. Use the BlackScholesOptionValue function for swift, intuitive, and direct computations of call or put option values right inside Excel.