Dan Harvey has a spreadsheet he uses to help guide his contract sizes and manage his Weirdor trades. I extracted the option Greeks portion of it and created an online version which is at http://capitaldiscussions.com/option-position-greeks-calculator Here's a screen shot of it: As the instructions say, you just enter in the price of the … [Read more...] about R Option Position Greeks Calculator Online
I posted in the forums about seting up OptionVue correctly to get the correct greeks for VIX options. Jim sent me an interesting link to six figure investing's article on "Thirteen Things Your Should Know About Trading VIX Options." Bullet point number four says "The option greeks for VIX options (e.g. Implied Volatility, Delta, … [Read more...] about R Are your Greeks correct for VIX options?