How to Calculate Option Greek Delta in Excel

What Are Option Greeks?

Option Greeks are monetary indicators of how sensitive the price of an option is to the factors that determine it, such as volatility or the value of the underlying asset. There are 5 commonly used options for Greeks.

Name	Dependent Variable	Independent Variable
Delta	Strike Value	Value of Underlying Asset
Gamma	Delta	Value of Underlying Asset
Vega	Strike Value	Volatility
Theta	Strike Value	Time of Maturity
Rho	Strike Value	Rate of Interest

What Is Greek Delta?

Delta is a measurement of an option’s value changes in the value of the elemental asset. The formula for the DELTA function is:

⍙=N (d1)

N is the normal distribution of the share price, and the formula for d1 is

d1=log S/K+(r+σ^2/2)T/σ√T

S= Price of Underlying Asset.

K= Strike Price.

σ= Volatility.

r= Risk-Free Factor Rate.

The function is typically calculated as a decimal between -1 and 1. Puts have a value of -1 to 0, while Call options can have a value of 0 to 1. The money value is deep-in-the-money the closer its delta is near 1 or -1.

Another name for Option Greek Delta is the hedge ratio.

Step 1 – Inputting the Entities

Enter all entities related to the calculation.
Here, Strike Price (k), Time to Maturity (T), and Volatility. Risk-free factor, and Underlying Price of the Asset.

Read More: How to Calculate Delta in Excel

Step 2 – Calculate the Distribution

Go to C10 and enter the formula.

=(LN(B10/$C$4)+(($F$6+($F$5^2)/2))*$C$5)/($F$5*SQRT($C$5))

B10= Underlying Price of the Asset.

$C$4= Strike Price (k)

$C$5= Time to Maturity (T)

$F$5= Volatility ()

$F$6= Risk-free Rate ®

The LN function calculates the logarithmic value, and the SQRT function returns the square root value of C5.

Press ENTER and drag down the Fill Handle.

The distribution value will be displayed.

Go to D10 and enter the formula.

=NORM.DIST(C10,0,1,TRUE)

The NORM.DIST function returns the normal distribution for Mean and Standard deviation.The NORM.DIST(C10,0,1, TRUE) syntax returns the normal distribution of C10 where 0 is the mean and 1 is the standard deviation. Here, TRUE stands for cumulative.