Black-76 Model Implied Volatility Calculator in Excel

I recently needed a calculator for implied volatility in the Black-76 model (options on futures).

This simple Excel Spreadsheet does the calculation.  Simply enter the other parameters and press the button to calculate the implied volatility.  You could use it repeatedly to build a commodity volatility smile.  Note that it assumes European options whereas many commodity options are American.

The Black-76 model is essentially the same as the normal Black-Scholes model, but takes into account that you only pay to take delivery of a future on expiry, hence you don’t incur funding costs prior to that date.

 

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One Response to Black-76 Model Implied Volatility Calculator in Excel

  1. Phil says:

    Great (and user-friendly) spreadsheet! I had never come across Haug’s book before…thanks for the reference.

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