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  • S K R T (Expiry Days) V T (Valuation Days)

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    debarpan
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    The document contains information about option pricing for different scenarios varying parameters like time to maturity, strike price, underlying price, interest rates, and volatility. It provides the theoretical values for Greeks like delta, gamma, theta and vega for call options across different scenarios. Tables show how the option price and Greeks change with changes in variables like volatility, time to expiration, and distance between stock price and strike price. Charts also visualize these relationships.

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    BSM

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    BSM_final

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    The document contains information about option pricing for different scenarios varying parameters like time to maturity, strike price, underlying price, interest rates, and volatility. It provides the theoretical values for Greeks like delta, gamma, theta and vega for call options across different scenarios. Tables show how the option price and Greeks change with changes in variables like volatility, time to expiration, and distance between stock price and strike price. Charts also visualize these relationships.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
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    Download as xlsx, pdf, or txt
    16 views18 pages

    S K R T (Expiry Days) V T (Valuation Days)

    Uploaded by

    debarpan
    The document contains information about option pricing for different scenarios varying parameters like time to maturity, strike price, underlying price, interest rates, and volatility. It provides the theoretical values for Greeks like delta, gamma, theta and vega for call options across different scenarios. Tables show how the option price and Greeks change with changes in variables like volatility, time to expiration, and distance between stock price and strike price. Charts also visualize these relationships.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    of 18

    S

    K
    r
    T (Expiry days)
    V
    t (Valuation days )
    T-t
    d1
    d2

    100 Calender day


    365
    110
    7.50%
    25
    15%
    0
    0.07
    -2.28 N(d1)
    0.01138177
    -2.32 N(d2)
    0.01026176

    C
    P

    0.0152
    9.4515

    OTM
    ATM
    ITM

    110
    100
    90

    5%
    0.0000
    #NAME?
    #NAME?

    10%
    #NAME?
    #NAME?
    #NAME?

    Call Option Price VS Volatility


    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0.0000
    0%

    10%

    20%

    30%
    110

    v
    T
    (T-t )/365 - >
    Days Left before expiry ->
    OTM
    ATM
    ITM

    15%
    28

    110
    100
    90

    0
    0.08
    28
    #NAME?
    #NAME?
    #NAME?

    100

    40%
    90

    3
    0.07
    25
    #NAME?
    #NAME?
    #NAME?

    Call Option price VS Days left before expi


    12.0000

    Call Option price VS Days left before expi


    12.0000
    10.0000
    8.0000
    6.0000
    4.0000
    2.0000
    0.0000

    10

    15
    110

    100

    20
    90

    N(-d1)
    N(-d2)

    0.988618
    0.989738

    15%
    20%
    #NAME? #NAME?
    #NAME? #NAME?
    #NAME? #NAME?

    v
    25%
    30%
    35%
    40%
    45%
    50%
    #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
    #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?
    #NAME? #NAME? #NAME? #NAME? #NAME? #NAME?

    Price VS Volatility
    1.2000
    1.0000
    0.8000
    0.6000
    0.4000
    0.2000
    30%
    100

    40%

    50%

    60%
    0.0000
    0%

    90

    t
    6
    0.06
    22
    #NAME?
    #NAME?
    #NAME?

    9
    0.05
    19
    #NAME?
    #NAME?
    #NAME?

    S Days left before expiry

    12
    0.04
    16
    #NAME?
    #NAME?
    #NAME?

    15
    0.04
    13
    #NAME?
    #NAME?
    #NAME?

    18
    0.03
    10
    #NAME?
    #NAME?
    #NAME?

    21
    0.02
    7
    #NAME?
    #NAME?
    #NAME?

    24
    0.01
    4
    #NAME?
    #NAME?
    #NAME?

    27
    0.00
    1
    #NAME?
    #NAME?
    #NAME?

    12.0000
    10.0000

    S Days left before expiry

    12.0000
    10.0000
    8.0000
    6.0000
    4.0000
    2.0000
    0.0000

    15
    100

    20
    90

    25

    30

    110
    100
    90

    5%
    0.0000
    0.6551
    1.0000

    10%
    #NAME?
    #NAME?
    #NAME?

    15%
    #NAME?
    #NAME?
    #NAME?

    20%
    #NAME?
    #NAME?
    #NAME?

    Delta
    25%
    30%
    #NAME? #NAME?
    #NAME? #NAME?
    #NAME? #NAME?

    35%
    #NAME?
    #NAME?
    #NAME?

    Delta Vs Volatility
    1.2000
    1.0000
    0.8000
    0.6000
    0.4000
    0.2000
    0.0000
    0%

    10%

    20%

    30%
    110

    100

    40%

    50%

    60%

    90

    Delta

    110
    100
    90

    28
    #NAME?
    #NAME?
    #NAME?

    25
    #NAME?
    #NAME?
    #NAME?

    22
    #NAME?
    #NAME?
    #NAME?

    19
    #NAME?
    #NAME?
    #NAME?

    16
    #NAME?
    #NAME?
    #NAME?

    Delta VS VS Days left before expiry


    12.0000
    10.0000

    13
    #NAME?
    #NAME?
    #NAME?

    10
    #NAME?
    #NAME?
    #NAME?

    Delta VS VS Days left before expiry


    12.0000
    10.0000
    8.0000
    6.0000
    4.0000
    2.0000
    0.0000

    10
    110

    15
    100

    20
    90

    25

    30

    40%
    #NAME?
    #NAME?
    #NAME?

    45%
    #NAME?
    #NAME?
    #NAME?

    50%
    #NAME?
    #NAME?
    #NAME?

    5%
    0.0000
    0.2815
    0.0000

    110
    100
    90

    10%
    0.0004
    0.1491
    0.0000

    15%
    0.0076
    0.1005
    0.0018

    Gamma Vs Volatility
    0.3000
    0.2500
    0.2000
    0.1500
    0.1000
    0.0500
    0.0000
    0%

    10%

    20%

    30%
    110

    60%

    7
    #NAME?
    #NAME?
    #NAME?

    4
    #NAME?
    #NAME?
    #NAME?

    1
    #NAME?
    #NAME?
    #NAME?

    110
    100
    90

    28
    0.0098
    0.0948
    0.0025

    100

    25
    0.0076
    0.1005
    0.0018

    40%
    90

    22
    0.0054
    0.1073
    0.0012

    50%

    Gamma VS Days left before expiry


    0.6000
    0.5000
    0.4000
    0.3000
    0.2000
    0.1000
    0.0000

    10

    15
    110

    100

    20
    90

    25

    Scenario : 1
    Option life 25
    Gamma
    25%
    30%
    0.0247
    0.0275
    0.0606
    0.0505
    0.0139
    0.0178

    20%
    0.0181
    0.0756
    0.0078

    35%
    0.0280
    0.0433
    0.0199

    40%
    0.0275
    0.0379
    0.0206

    45%
    0.0264
    0.0337
    0.0206

    50%
    0.0251
    0.0303
    0.0202

    Theta VS

    olatility
    0.0000
    0%

    20%

    -0.0050
    -0.0100
    -0.0150
    -0.0200

    10%

    40%

    50%

    -0.0250

    60%

    110

    90

    Gamma

    19
    0.0034
    0.1156
    0.0007

    16
    0.0018
    0.1261
    0.0003

    13
    0.0007
    0.1401
    0.0001

    10
    0.0001
    0.1600
    0.0000

    7
    0.0000
    0.1914
    0.0000

    4
    0.0000
    0.2536
    0.0000

    1
    0.0000
    0.5079
    0.0000

    Theta VS Days left b


    12.0000

    Theta VS Days left b

    fore expiry

    12.0000
    10.0000
    8.0000
    6.0000
    4.0000
    2.0000
    0.0000

    20
    90

    25

    30

    10
    110

    15
    100

    110
    100
    90

    5%
    0.0000
    -0.0229
    -0.0184

    10%
    #NAME?
    #NAME?
    #NAME?

    15%
    #NAME?
    #NAME?
    #NAME?

    20%
    #NAME?
    #NAME?
    #NAME?

    50%

    60%

    Theta
    25%
    30%
    #NAME? #NAME?
    #NAME? #NAME?
    #NAME? #NAME?

    35%
    #NAME?
    #NAME?
    #NAME?

    Theta VS Volatility
    10%

    20%

    30%

    110

    100

    40%

    90

    Theta

    110
    100
    90

    28
    #NAME?
    #NAME?
    #NAME?

    25
    #NAME?
    #NAME?
    #NAME?

    heta VS Days left before expiry

    22
    #NAME?
    #NAME?
    #NAME?

    19
    #NAME?
    #NAME?
    #NAME?

    16
    #NAME?
    #NAME?
    #NAME?

    13
    #NAME?
    #NAME?
    #NAME?

    10
    #NAME?
    #NAME?
    #NAME?

    heta VS Days left before expiry

    10
    110

    15
    100

    20
    90

    25

    30

    Vega
    40%
    #NAME?
    #NAME?
    #NAME?

    45%
    #NAME?
    #NAME?
    #NAME?

    50%
    #NAME?
    #NAME?
    #NAME?

    110
    100
    90

    5%
    0.0000
    0.0964
    0.0000

    10%
    0.0003
    0.1021
    0.0000

    15%
    0.0078
    0.1032
    0.0019

    20%
    0.0248
    0.1036
    0.0106

    Vega Vs Volatility
    0.1200
    0.1000
    0.0800
    0.0600
    0.0400
    0.0200
    0.0000
    0%

    10%

    20%

    30%

    110

    100

    40%

    50%

    60%

    90

    Vega

    7
    #NAME?
    #NAME?
    #NAME?

    4
    #NAME?
    #NAME?
    #NAME?

    1
    #NAME?
    #NAME?
    #NAME?

    110
    100
    90

    28
    0.0113
    0.1091
    0.0029

    25
    0.0078
    0.1032
    0.0019

    Vega VS Days left before expiry


    0.1200

    22
    0.0049
    0.0970
    0.0011

    19
    0.0027
    0.0902
    0.0005

    Vega VS Days left before expiry


    0.1200
    0.1000
    0.0800
    0.0600
    0.0400
    0.0200
    0.0000

    10

    15
    110

    100

    20
    90

    25

    30

    Vega
    25%
    30%
    0.0422
    0.0564
    0.1038
    0.1038
    0.0237
    0.0367

    35%
    0.0672
    0.1039
    0.0477

    40%
    0.0753
    0.1039
    0.0565

    45%
    0.0813
    0.1039
    0.0635

    50%
    0.0860
    0.1038
    0.0690

    10
    0.0001
    0.0657
    0.0000

    7
    0.0000
    0.0551
    0.0000

    4
    0.0000
    0.0417
    0.0000

    1
    0.0000
    0.0209
    0.0000

    Vega

    16
    0.0012
    0.0829
    0.0002

    13
    0.0004
    0.0748
    0.0000

    Scenario Current Date


    8/18/2016
    8/18/2016
    1
    8/18/2016
    Scenario Current Date
    8/18/2016
    8/18/2016
    2
    8/18/2016
    Scenario Current Date
    8/18/2016
    8/18/2016
    3
    8/18/2016
    Scenario Current Date
    8/18/2016
    8/18/2016
    4
    8/18/2016
    Scenario Current Date
    8/18/2016
    8/18/2016
    5
    8/18/2016

    Life of option
    25
    25
    25
    Life of option
    5
    5
    5
    Life of option
    5
    5
    5
    Life of option
    5
    5
    5
    Life of option
    5
    5
    5

    Maturity Date
    9/12/2016
    9/12/2016
    9/12/2016
    Maturity Date
    8/23/2016
    8/23/2016
    8/23/2016
    Maturity Date
    8/23/2016
    8/23/2016
    8/23/2016
    Maturity Date
    8/23/2016
    8/23/2016
    8/23/2016
    Maturity Date
    8/23/2016
    8/23/2016
    8/23/2016

    Option Type
    Call
    Call
    Call
    Option Type
    Call
    Call
    Call
    Option Type
    Call
    Call
    Call
    Option Type
    Call
    Call
    Call
    Option Type
    Call
    Call
    Call

    Rf
    7.50%
    7.50%
    7.50%
    Rf
    7.50%
    7.50%
    7.50%
    Rf
    7.50%
    7.50%
    7.50%
    Rf
    7.50%
    7.50%
    7.50%
    Rf
    7.50%
    7.50%
    7.50%

    CMP
    100
    100
    100
    CMP
    100
    100
    100
    CMP
    100
    100
    100
    CMP
    125
    125
    125
    CMP
    125
    125
    125

    Strike Price
    90
    100
    110
    Strike Price
    90
    100
    110
    Strike Price
    90
    100
    110
    Strike Price
    90
    100
    110
    Strike Price
    90
    100
    110

    Volatility
    15%
    15%
    15%
    Volatility
    15%
    15%
    15%
    Volatility
    30%
    30%
    30%
    Volatility
    15%
    15%
    15%
    Volatility
    30%
    30%
    30%

    Option Price
    10.4704
    1.8461
    0.0161
    Option Price
    10.0937
    0.7581
    0
    Option Price
    10.0949
    1.4623
    0.0044
    Option Price
    35.0937
    25.1041
    15.1145
    Option Price
    35.0937
    25.1041
    15.1147

    Delta
    0.9976
    0.5602
    0.0119
    Delta
    1
    0.527
    0
    Delta
    0.9988
    0.5188
    0.004
    Delta
    1
    1
    1
    Delta
    1
    1
    0.9999

    Gamma
    0.0019
    0.0998
    0.0079
    Gamma
    0
    0.2252
    0
    Gamma
    0.0012
    0.1127
    0.0034
    Gamma
    0
    0
    0
    Gamma
    0
    0
    0.0001

    Theta
    -0.0191
    -0.0427
    -0.0026
    Theta
    -0.0187
    -0.0849
    0
    Theta
    -0.0196
    -0.1588
    -0.0031
    Theta
    -0.0187
    -0.0208
    -0.0228
    Theta
    -0.0187
    -0.0208
    -0.0229

    Vega
    0.002
    0.1039
    0.0082
    Vega
    0
    0.0469
    0
    Vega
    0.0005
    0.047
    0.0014
    Vega
    0
    0
    0
    Vega
    0
    0
    0.0001

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