Mastering the Black Scholes Option Value Calculation with MarketXLS
The Black Scholes Option Value function, accessible via “fn_00995” (internally named BlackScholesOptionValueWithUserInputs) in MarketXLS, helps you calculate theoretical option pricing directly in Excel. By pulling data from a secure web endpoint, this function eliminates the need to build your own intricate spreadsheet models—yet it remains highly flexible when tailoring inputs such as volatility, risk-free rate, and dividend yield.
Why Use This Function?
- Accurate Valuation: Leverages the Black-Scholes formula to help you determine a fair theoretical price for calls or puts.
- Integration with Excel: Works seamlessly within familiar spreadsheet environments—no additional coding required.
- Automated Data Retrieval: Conencts to a web API for fresh data, reducing manual data entry needs.
- Risk Management: Adjust parameters such as Sigma (volatility), RiskFreeRate, and DividendYield to see how changes affect option valuation.
- Scenario Testing: Easily run “what-if” analyses in real-world US market contexts by varying inputs directly in your spreadsheet.
How to Use in Excel
Simply enter the function in your Excel cell with the required parameters:
=BlackScholesOptionValueWithUserInputs(StockPrice, StrikePrice, OptionType, ExpiryDate, RiskFreeRate, DividendYield, Sigma)• Make sure your MarketXLS license is valid.
• Supply all parameters; leaving them blank or zero may trigger error messages like “Please enter all user input fields.”
• If you omit a nonzero RiskFreeRate, the function uses a default of 0.04 (i.e., 4%).
When the function is called for the first time or data is refreshing, it may return “Refreshing.” If an internal error occurs, it returns “NA.”
Parameters Explained
| Parameter | Description | Example Values | Notes |
|---|---|---|---|
| StockPrice | The current market price of the underlying asset (the stock). | 100, 234.50 | Must be > 0 |
| StrikePrice | The strike price of the option. | 95, 250 | Must be > 0 |
| OptionType | “C” for calls or “P” for puts (function also accepts any string, but typically denotes call/put). | “C”, “P” | Keep it consistent (function expects a non-empty string). |
| ExpiryDate | The expiration date of the option (Excel date format). | 12/31/2024, 6/18/2025 | Must not be empty (returns “Please fill expiry date field” if blank). |
| RiskFreeRate | The annual risk-free interest rate. If zero, defaults to 0.04. | 0.03, 0.05 | Enter a numeric value in decimal form (e.g., 0.03 for 3%). |
| DividendYield | The annual dividend yield of the underlying asset (in decimal). | 0, 0.02 | Typically relevant for dividend-paying stocks. |
| Sigma | The annualized implied volatility (in decimal). | 0.20, 0.35 | Must be > 0 |
Example Usage
Basic Examples
-
Calculate Call Option on a $100 Stock
=BlackScholesOptionValueWithUserInputs(100, 95, "C", "12/31/2024", 0.03, 0.00, 0.25)
• Stock at $100, strike at $95, call option, expires at year-end.
• 3% risk-free rate, no dividend, 25% volatility. -
Put Option, Default Risk-Free Rate
=BlackScholesOptionValueWithUserInputs(250, 250, "P", "6/18/2025", 0, 0.02, 0.30)
• If 0 is entered for RiskFreeRate, the function defaults to 4%.
• Stock at $250, strike $250, put option, dividend yield 2%, volatility 30%.
Focus on seeing how different OptionTypes (“C” or “P”), or changes to Sigma, shift the returned option value.
Advanced Scenarios
• Combining with Other Excel Functions
- For risk management or portfolio analysis, embed this function in a larger Excel model.
• High Dividend Yield Stocks - Increase DividendYield to see the effect of dividends on calls vs. puts.
• Intraday Refreshes - When MarketXLS updates data, you may see “Refreshing.” The system will automatically retrieve new quotes if available.
Common Questions and Troubleshooting
• “Please enter all user input fields.”
- Happens if all critical parameters (ExpiryDate, OptionType, StockPrice, StrikePrice, Sigma) are missing or zero.
• “Please fill optiontype field”
- Occurs if you haven’t passed “C” or “P” (or any non-empty string).
• “Please fill expiry date field”
- Make sure you’re providing a valid Excel date.
• “NA” Response
- Indicates an internal error, possibly from the web API or invalid data. Double-check your inputs.
• Rapid Fire Calls / Caching
- Function caches data; if repeated calls use the same parameters, you’ll see consistent responses unless the data is refreshed.
By using the Black Scholes Option Value function in Excel with MarketXLS, you can quickly assess and compare option pricing, slicing through multiple “what-if” scenarios in real US market environments—all accompanied by user-friendly returns and integrated data prompts. Enjoy seamless, accurate, and rapid option calculations directly in your Excel workbook!
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