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{"sheet":"PF","index":0,"n_rows":16,"n_cols":6,"rows_kept":16,"cut":false,"hidden":false,"merged":[[15,1,15,5],[14,1,14,5],[7,4,7,5],[7,1,7,2],[0,1,0,2],[0,4,0,5]]}
[null,"INPUTS",null,null,"RISK"]
[{"$f":"TODAY()","v":43929},"EXPIRY",{"$f":"A2+7*D2-WEEKDAY(A2+1)","v":"2020-05-01"},4,"STRIKE",{"$f":"IFERROR(C3-C9,0)","v":2680.6670884235441}]
[null,"SPOT",2747.3,null,"PF VAL",{"$f":"IFERROR(CallOption($C$3,$F$2,($C$2-$A$2)/365,$C$6,$C$5,0)+PutOption($C$3,$F$2,($C$2-$A$2)/365,$C$6,$C$5,0)*3,0)","v":130.3426118765608}]
[null,"50d IV",0.1211,null,"ATM*2",{"$f":"IFERROR(C9*2,0)","v":133.26582315291216}]
[null,"25d IV",0.15060000000000001,null,"RISK",{"$f":"IFERROR(F3-F4,0)","v":-2.9232112763513669}]
[null,"RF RATE",1.4500000000000001E-2,null,"SKEW",{"$f":"IFERROR(C5-C4,0)","v":2.9500000000000012E-2}]
[]
[null,"STRADDLE",null,null,"PITCH FORK"]
[null,"DEBIT",{"$f":"IFERROR(CallOption($C$3,$C$3,($C$2-$A$2)/365,$C$6,$C$4,0)+PutOption($C$3,$C$3,($C$2-$A$2)/365,$C$6,$C$4,0),0)","v":66.632911576456081},null,"CREDIT",{"$f":"IFERROR(CallOption($C$3,$F$2,($C$2-$A$2)/365,$C$6,$C$5,0)*1+PutOption($C$3,$F$2,($C$2-$A$2)/365,$C$6,$C$5,0)*3,0)","v":130.3426118765608}]
[null,"DELTA",{"$f":"IFERROR((CallDelta($C$3,$C$3,($C$2-$A$2)/365,$C$6,$C$4,0)+PutDelta($C$3,$C$3,($C$2-$A$2)/365,$C$6,$C$4,0))*100,0)","v":3.6096968724937284},null,"DELTA",{"$f":"IFERROR((CallDelta($C$3,$F$2,($C$2-$A$2)/365,$C$6,$C$5,0)*-1+PutDelta($C$3,$F$2,($C$2-$A$2)/365,$C$6,$C$5,0)*-3)*100,0)","v":-2.2808553838258305}]
[null,"GAMMA",{"$f":"IFERROR((CallGamma($C$3,$C$3,($C$2-$A$2)/365,$C$6,$C$4,0)+PutGamma($C$3,$C$3,($C$2-$A$2)/365,$C$6,$C$4,0))*100,0)","v":0.95439378014640275},null,"GAMMA",{"$f":"IFERROR((CallGamma($C$3,$F$2,($C$2-$A$2)/365,$C$6,$C$5,0)*-1+PutGamma($C$3,$F$2,($C$2-$A$2)/365,$C$6,$C$5,0)*-3)*100,0)","v":-1.2088542557288326}]
[null,"THETA",{"$f":"IFERROR((CallTheta($C$3,$C$3,($C$2-$A$2)/365,$C$6,$C$4,0)+PutTheta($C$3,$C$3,($C$2-$A$2)/365,$C$6,$C$4,0))*100,0)","v":-144.84147136388478},null,"THETA",{"$f":"IFERROR((CallTheta($C$3,$F$2,($C$2-$A$2)/365,$C$6,$C$5,0)*-1+PutTheta($C$3,$F$2,($C$2-$A$2)/365,$C$6,$C$5,0)*-3)*100,0)","v":283.20511051742119}]
[null,"VEGA",{"$f":"IFERROR((CallVega($C$3,$C$3,($C$2-$A$2)/365,$C$6,$C$4,0)+PutVega($C$3,$C$3,($C$2-$A$2)/365,$C$6,$C$4,0))*100,0)","v":549.6913302979541},null,"VEGA",{"$f":"IFERROR((CallVega($C$3,$F$2,($C$2-$A$2)/365,$C$6,$C$5,0)*-1+PutVega($C$3,$F$2,($C$2-$A$2)/365,$C$6,$C$5,0)*-3)*100,0)","v":-865.85677498305347}]
[]
[null,"*Values in yellow = Inputs"]
[null,"*Property of Vol Edge Trading"]