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Strategies & Market Trends : How To Write Covered Calls - An Ongoing Real Case Study!

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To: Herm who wrote (6598)	1/28/1998 10:40:00 AM
From: Douglas Webb	Read Replies (1) of 14162

Elden Tanaka sent me an email asking about Excel's Solver. It's an Add-in that comes either with Excel or MSOffice, but I don't think it's activated by default. You have to go to the Tools menu, choose Addins..., and make sure that 'Solve Add-In' is checked. You'll know it's active when the Tools menu has a 'Solve...' item on it. If you don't get the solver settings I created, here they are: Set Target Cell: $I$34 Equal to: Max By Changing Cells: $B$13,$B$18 Subject to the Constraints: $B$13 = Integer $B$18 <= $B$13 + $B$7/100 $B$18 = Integer $B$24 >= $B$27 ------------------------------------------------------ There's something else missing from this spreadsheet: it tells you about the maximum gain at expiration, and it tells you how the maximum loss compares to just owning the stock, but it doesn't tell you how the passage of time will affect the position value. I've started to look at this, but it requires a Black-Scholes add-in, and a three-axis chart (for time, stock price, and volatility.) I may be getting beyond myself, and beyond Excel. Doug.

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