How to Calculate Greek Delta in Excel – 4 Steps

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.

Input the Entity to calculate option greek delta in Excel

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.

Calculate the Distribution for option greek delta in Excel

  • Press ENTER and drag down the Fill Handle.

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.

Norm.Dist function to calculate option greek delta in Excel

Get the N (d1) value after dragging down the Fill Handle.


Step 3 – Evaluate the Call Option

The Call options are evaluated as Call Delta= N(d1).  N(d1) was calculated in D10:D22.

  • To enter the value in E10:E22, enter the following in E10:
=D10

Evaluate the Call Option to calculate option greek delta in Excel

  • Press ENTER and drag down the Fill Handle.


Step 4 –  Estimate the Put Option

The formula for the Put option is =N(d1)-1.

  • Go to F10 and use the formula
=E10-1

1 is subtracted from E10.

  • Press ENTER and drag down the Fill Handle.

Estimate the Put Option

This is the output.


Practice Section

Practice here.

Practice Section


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Download the practice workbook.


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Fahim Shahriyar Dipto
Fahim Shahriyar Dipto

Fahim Shahriyar Dipto is a graduate of Mechanical Engineering at BUET. With over 1.5 years of experience at Exceldemy, he authored 70+ articles on ExcelDemy. He has expertise in designing worksheets at You’ve Got This Math. Currently, He is a Team Leader at Brainor. Dipto's passion extends to exploring various aspects of Excel. Beyond tech, he enjoys creating engaging kids' worksheets using Illustrator. A dedicated employee and innovative content developer, He incorporates a commitment to academic excellence and... Read Full Bio

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