In the heat of the moment, when markets are moving fast, it’s very critical that you know the pricing for structures you trade – intuitively. With that in mind, the following excel spreadsheet presents comprehensive fly pricing across multiple strikes and widths in one shot. The spreadsheet is built for pricing butterflies and it can be easily adapted for any other structures you trade – like iron-condors, verticals etc.
The left side of the spreadsheet is setup to show direct fly pricing across strikes and widths, and the right side shows the delta in price between various flies at different strikes – for a given width fly.
It uses data from ToS using Excel RTD link (so you will need your tos client open for data to flow through). Only cell that might need updating based on when you download the file is cell “C1”, where it needs any opra-code for the series you are interested in (it can be copy/pasted from tos).
DOWNLOAD EXCEL FILE
Here is a screenshot for reference:
Happy Trading!
-gariki