Option vega and delta

[Geoff Martin]

G'day!

I am trying to calculate option vega and delta for CEO stock options using Stata. My two remaining challenges are (1) how to create a rolling sd; and (2) how to calculate the sensitivity of Black and Scholes options valuations to a 1% change in volatility and share price (which equates to estimating the first derivative of the option valuation with respect to volatility and share price at a point in time). Regarding the rolling sd, i had used this, but it is taking days:

rolling sd_ret = r(sd), clear window(60) step(1) : summarize ccrw

Regarding the sensitivities, i had been trying to interpret this SAS code, which i believe does the job:
Rvest = exp(-bs_yield* matvest)*PDF('normal',Zvest,0,1)*prccf*sqrt( matvest)*0.01*opts_vested_num_excl_curryear; Any help would be very gratefully received.
Thank you!
Geoff

[Clyde Schechter]

Regarding the rolling sd, i had used this, but it is taking days:

rolling sd_ret = r(sd), clear window(60) step(1) : summarize ccrw

This is a job for Robert Picard, Nick Cox and Roberto Ferrer's ever-useful -rangestat- command, available from SSC.

ssc install rangestat
help rangestat

will get you going on a more efficient path.

I can't help you with the other matter. I gave up SAS in the late 80's and have never looked back. And not being in finance, I have no understanding of your description of the problem. (This is a multi-disciplinary international forum; you will increase your chances of getting a helpful reply by taking into account that jargon that is commonly understood in your field may be utterly indecipherable to many of the other well-educated people who populate this Forum. It is best, whenever possible, to explain things in simple terms that any educated person would understand. It may not be possible in this case, but, still, bear it in mind for the future.)

[Geoff Martin]

Thank you very much Cylde, it works brilliantly! Much appreciated.

[Kethan Chowdary]

Hi Geoff - could you please let me have your Stata code for delta and vega.
Many thanks in advance

[Shaquille Wijngaarde]

Thank you very much Cylde, it works brilliantly! Much appreciated.

Dear Geoff,

Would you be willing to share your code for CEO delta & vega with me?

Cheers!

[Christina Enders]

Dear Geoff,

would it be possible that you share your code with me? That would be great!

Best regards

[Lijuan Xie]

Dear Geoff,

could you please share your code with me? I am recently working on CEO delta&vega, but I really need help...
Thanks aaaaaaaaaaaaa lotttt!!!

Best regards

[Sahar Alabdullah]

Dear Geoff,

would it be possible to share your codes for Delta and Vega with me?

Many thanks.

Best regards.

[Attaullah Shah]

For those interested, we have Stata codes for:

1. R&D and growth rate in R&D
2. CEO relative leverage
3. Deferred Compensation and pension value
4. CEO equity calculated from stock holdings and options
5. Firm debt
6. Firm equity
7. CEO VEGA – CEO’s sensitivity with respect to a 0.01 change in stock-return volatility.
8. DELTA – CEO’s sensitivity with respect to a 1% change in stock price.
9. Cash surplus

The code is a paid resource. See this page for more details https://fintechprofessor.com/complet...s-stata-codes/