Delta Calculator
Public Sub McDelta(Fprice As Double, Days As Double, Strike As Double, Cp As String, Prem As Double, Vol As Double, Delta As Double) ' CALCULATES ,delta etc using Black / Scholes algorithm
' FPRICE - futures price
' DAYS - number of days to expiry
' STRIKE - strike price
' CP - 'C'all OR 'P'ut
' PREM - premium
' DELTA - set = -99999 to indicate want PREM/DELTA to be calculated..
' Returns:
' VOL - implied volatility
' DELTA - delta factor
' Returns:
' PREM - premium
' DELTA - delta factor
Dim OptPrem As Boolean
Dim W As Double
Dim T As Double
Dim TT As Double
Dim Temp9 As Double
Dim K As Double
Dim X As Double
Dim M As Double
Dim N1 As Double
Dim N2 As Double
Dim QQ As Double
Dim CallPrem As Double
Dim PutPrem As Double
Dim Vvol As Double
Vol = 0 Delta = 0
OptPrem = False
If Delta = -99999 Then OptPrem = -1
Delta = 0
If OptPrem = False Then Vol = 0
If OptPrem = True Then Prem = 0
If Fprice <= 0 Then Exit Sub
If Strike <= 0 Then Exit Sub
If Days <= 0 Then Exit Sub
If Vol <= 0 And OptPrem = True Then Exit Sub
If Cp <> "C" And Cp <> "P" Then Exit Sub
If Cp = "C" Then W = 0
If Cp = "P" Then W = 1
T = Days ' do not clobber passed data
40 T = T / 365
TT = Sqr(T)
If OptPrem = True Then Vol = Vol / 100
If OptPrem = True Then GoTo 50
Temp9 = Strike * TT
If Cp = "C" Then
Vol = 0
If Temp9 <> 0 Then Vol = 2.5 * (Prem - 0.5 * (Fprice - Strike)) / Temp9
Else ' for a PUT
Vol = 0
If Temp9 <> 0 Then Vol = 2.5 * (Prem + 0.5 * (Fprice - Strike)) / Temp9
K = 0
End If
' VOLATILITY is ZERO for a CALL if the difference between the strike and futures price
' is twice the premium when the strike is lower than futures prices
' VOLATILITY is ZERO for a PUT if the difference between the strike and futures price
' is twice the premium when the strike is higher than futures prices
If Vol = 0 Then
Delta = 0
Exit Sub
End If
50 Vvol = Vol * TT
X = 0
If Vvol <> 0 Then X = Log(Fprice / Strike) / Vvol + 0.5 * Vvol
M = 0.39894228082 * Exp(-X ^ 2 / 2)
If M = 0 Then
Vol = 0
Delta = 0
Exit Sub
End If
60 If X >= 0 Then
N1 = FNN(X)
Else
N1 = 1 - FNN(-X)
End If
70 If X >= Vvol Then
N2 = FNN(X - Vvol)
Else
N2 = 1 - FNN(Vvol - X)
End If
If OptPrem = True Then GoTo 180
80 QQ = Fprice * N1 - Strike * N2
QQ = QQ + W * (Strike - Fprice)
If Abs(Prem - QQ) < 0.001 Then GoTo 100
90 Temp9 = (Fprice * TT * M)
If Temp9 <> 0 Then Vol = Vol + (Prem - QQ) / Temp9
If Vol > 0.01 And Vol < 10 Then
GoTo 50
Else
Vol = 0
Delta = 0
Exit Sub
End If
100 Vol = 100 * Vol
Delta = N1
If W = 1 Then Delta = -1 * N1 ' for a PUT
If W = 1 Then Delta = (1 - Abs(Delta)) * -1
GoTo 210
180 ' Mode for Option Premiums
CallPrem = Fprice * N1 - Strike * N2
Delta = N1
If W = 1 Then Delta = (1 - Abs(Delta)) * -1
PutPrem = CallPrem + Strike – Fprice
Prem = CallPrem
If W = 1 Then Prem = PutPrem
210 Exit Sub
Function FNN(X As Double) As Double
FNN = 1 - 0.39894228082 * Exp(-X ^ 2 / 2) * (0.31938153 _
/ (1 + 0.2316419 * X) - 0.356563782 _
/ (1 + 0.2316419 * X) ^ 2 + 1.781477937 _
/ (1 + 0.2316419 * X) ^ 3 - 1.821255978 _
/ (1 + 0.2316419 * X) ^ 4 + 1.330274429 _
/ (1 + 0.2319419 * X) ^ 5)
End Function