Appendix 1. Excel VBA Program for Counting Strike Price Crosses

Following is an Excel VBA program that tabulates strike price crosses for a single stock. Individual records can span any timeframe—minute, hour, day, and so on. Each row is assumed to contain a new record with columns A-G organized as follows: A=Symbol, B=Date/Time, C=Open, D=High, E=Low, F=Close, and G=Volume. Only columns D (High) and E (Low) are critical to the operation of the program. Three additional columns are automatically created: H=Crosses, I=Total, and J=Average.

The program also refers to a second worksheet containing a single column of strike prices (column A). A working copy of this data is created in the worksheet being tabulated. The working copy is automatically ...

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