Options P&L and Greeks Workbook
Black-Scholes price, five Greeks, four-leg strategy payoff at expiry, verified
Black-Scholes price and five Greeks for a call and a put, a four-leg strategy priced leg by leg, and the payoff at expiry across a price grid, all verified.
Not on Gumroad yet: the store admits ten new listings a day and this one is in the queue. Follow below and the link arrives the day it goes live.
The price applies once the listing is live. Payment and VAT are handled by Gumroad, the merchant of record.
Pricer: underlying, strike, time, continuous rate and dividend yield, volatility. Out come the call and the put price, delta, gamma, vega per volatility point, theta per day and rho per rate point, with the put-call parity line showing the two prices agree. Strategy: up to four legs on the same underlying and expiry, each priced by the model at its own strike and by the fill you enter; net premium, the model value of the position, position delta in units. Then forty-one prices at expiry: each leg's payoff, the total, P&L after premium, max profit and max loss on the grid.
- Prices, every Greek, the parity check, every leg and the grid recalculated with a formula engine and matched to an independent Python replica before listing.
- Live formulas, no macros, no locked cells; opens in Excel and Google Sheets.
- European exercise, constant volatility, no costs: a model, not a market. The Guide says what that leaves out. No signals, no forecasts, not investment advice.
What is inside
1 Excel workbook (.xlsx), sheets: Pricer, Strategy (legs and the expiry grid), Guide.
Use it if
You trade or study options and want the model arithmetic shown and checked, not a black box.
Not for
You need American exercise, volatility surfaces or live data; this is Black-Scholes on your inputs.
Sheet previews
How buying works
- Choose a licenceSingle user for one person, team for up to 10, consultancy to use with clients. The buttons above go to the Gumroad page.
- Pay on GumroadCard or PayPal; Gumroad is the merchant of record and handles VAT and the receipt.
- Download the fileThe .xlsx arrives on the receipt page and by email. It opens in Excel and Google Sheets; nothing to install.
- Use itYellow cells are inputs, blue cells are formulas, every figure names its source. Questions: reply to the receipt; every reply is read and answered, usually the same day.
Advisers and accountants who recommend these workbooks to clients can earn 30% of each sale as a Gumroad affiliate: sign up on the store, no approval wait.
Search terms this page answers: black scholes excel template, options greeks calculator excel, options strategy payoff spreadsheet, iron condor payoff excel, option pricing workbook.