The ExtremeSpread function calculates the theoretical price, sensitivities, the implied volatility, and the implied strike value of a European extreme spread option using Bermin’s model. See Lookback Options for a further explanation.
ExtremeSpread 
(SpreadType, OptionType, ModelStatistic, Asset, Strike, Time1stPeriod, TimeExpire, Volatility, InterestRate, YieldRate, MarketPrice, TimeFormat, InterestType, YieldType) 
Note: Optional arguments are shown in Italics. MarketPrice is not Optional for the Implied Calculations.
Argument 
Description 
SpreadType 
Alphanumeric value indicating the type of extreme spread option: •Standard = 1 or “s” (Standard extreme spread option) •Reverse = 2 or “r” (Reverse extreme spread option) 
OptionType 
Alphanumeric value indicating the type of option: •Call = 1 or "c" (case insensitive) •Put = 2 or "p" (case insensitive) 
ModelStatistic 
Numeric value indicating the type of function required for the return value: •Theoretical = 1 •Delta = 2 •Gamma = 3 •Theta = 4 •ImpliedVol = 5 •Vega = 6 •Rho = 7 •Psi = 8 •Lambda = 9 •StrikeSensitivity = 11 •ImpliedStrike = 13 
Asset 
The price of the underlying asset. Must be > 0. 
Strike 
The price at which the asset can be purchased if the option is a call or sold if the option is a put. Must be > 0. 
Time1stPeriod 
Time, expressed in either Days or Years (depending on the TimeFormat value), until the ending of the first period. Must be 0 > Time1stPeriod > TimeExpire 
TimeExpire 
Time, expressed in either Days or Years (depending on the TimeFormat value), until the options expiration. Must be > 0. 
Volatility 
Annualized volatility of the underlying security. Must be > 0. 
InterestRate 
Riskfree interest rate expressed as a percentage. This rate is interpreted as a continuously compounded rate unless otherwise specified in the InterestType argument. Must be > 0. 
YieldRate 
Yield, expressed as a percentage (dividends or interest yield), of the underlying asset price. This rate is interpreted as a continuously compounded rate unless specified otherwise in the YieldType argument. 
MarketPrice 
Optional. The selling price of the option in the marketplace. This input is required when implied volatility and strike are calculated. Price must be > 0. 
TimeFormat 
Optional. Alphanumeric value indicating the format of the time arguments (i.e. TimeExpire). If omitted, Days are used as the default. Specified as either: •Days = 0 or "D" (case insensitive) •Years = 1 or "Y" (case insensitive) 
InterestType 
Optional. Alphanumeric value indicating the type of InterestRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used. 
YieldType 
Optional. Alphanumeric value indicating the type of YieldRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used. 
Example
Calculate all of functions for a standard extreme spread call option whose asset price 180 days from expiration is $33.25, the exercise price is $35, the time to the first period is 90 days, the riskfree interest rate is 9% per annum, the yield rate is 6% per annum, and the annual volatility is 30%. All of the rates are considered continuous. So, 
Input 

Output 

Variable 
Value 

Function 
Name 
Value 
SpreadType 
Standard 

1 
Theoretical: 
2.318034 
OptionType 
Call 

2 
Delta: 
0.239090 
Asset 
33.25 

3 
Gamma: 
0.033824 
Strike 
35 

4 
Theta: 
0.004535 
Time1stPeriod 
90 

5 
Implied Vol.: 
0.264987 
TimeExpire 
180 

6 
Vega: 
0.092732 
InterestRate 
9% 

7 
Rho: 
0.048745 
YieldRate 
6% 

8 
Psi: 
0.117666 
Volatility 
30% 

9 
Lambda: 
3.429522 
TimeFormat 
Days 

11 
Strike Sensitivity: 
0.160906 
MarketPrice 
2 

13 
Implied Strike: 
36.743299 
For a further example on this model see the included Excel Template located in the root directory of the addin. This example can be accessed through the Lookback Template menu item after the addin has been installed properly.
A list of all of the possible Error Messages is included for convenience.