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Rishav Joshi - Derivative Pricing (11909605)
Rishav Joshi - Derivative Pricing (11909605)
Spot Price =
Expiery =
At the Money =
Risk Free Rate of Return =
Volatility =
y =
Time Period =
Strike Prices
₹50.00 ITM
₹65.00 ITM
₹67.50 ITM
₹70.00 ITM
₹72.50 ITM
₹75.00 ITM
₹77.50 ITM
₹80.00 ITM
₹82.50 ITM
₹85.00 ITM
₹87.50 ITM
₹90.00 ITM
₹92.50 ATM
₹95.00 OTM
₹97.50 OTM
₹100.00 OTM
₹102.50 OTM
₹105.00 OTM
₹107.50 OTM
₹110.00 OTM
₹112.50 OTM
₹115.00 OTM
₹117.50 OTM
₹120.00 OTM
₹122.50 OTM
₹125.00 OTM
Strike Price = ₹92.50
Premium price (Call Option) = ₹5.95
Premium price (Put Option) = ₹3.95
₹115.29 ₹16.84
₹105.24 ₹6.79
₹98.14 -₹0.31
₹94.35 -₹4.10
₹94.19 -₹4.26
₹92.29 -₹5.95
₹92.50 -₹5.95
₹88.39 -₹5.95
₹85.44 -₹5.95
₹81.04 -₹5.95
₹71.24 -₹5.95
₹50.00 -₹5.95
Returns F rom Price Changes
Payoff Diagaram: Options Long Position for Strike Price 92.50 (Call Option)
₹20.00
Payoff Diagram: Options Short Position for Strike P
₹10.00
₹15.00
Returns From Price Changes
₹5.00
₹10.00
₹0.00
₹50.00 ₹60.00 ₹70.00 ₹80.00 ₹90.00
₹5.00
- ₹5.00
₹0.00
₹50.00 ₹60.00 ₹70.00 ₹80.00 ₹90.00 ₹100.00 ₹110.00 ₹120.00
- ₹10.00
-₹5.00
- ₹15.00
-₹10.00
- ₹20.00
Expected Prices of the Underlying at Expiery Expected Prices of the Underlying at Exp
turns From Price Changes
₹30.00
-₹20.00
₹20.00
-₹30.00
₹10.00
-₹40.00
₹0.00
₹50.00 ₹60.00 ₹70.00 ₹80.00 ₹90.00 ₹100.00 ₹110.00 ₹120.00
-₹50.00
- ₹10.00
Expected Prices of Underlying at Expi
Expected Prices of Underlying at Expiery
₹115.29 ₹18.84
₹105.24 ₹8.79
₹98.14 ₹1.69
₹94.35 -₹2.10
₹94.19 -₹2.26
₹92.29 -₹4.16
₹92.50 -₹3.95
₹88.39 -₹8.06
₹85.44 -₹11.01
₹85.00 -₹11.45
₹81.04 -₹11.45
₹71.24 -₹11.45
₹50.00 -₹11.45
₹20.00 ₹10.00
₹5.00
hanges
₹15.00
anges
Payoff Diagram: Options Long PositionPayoff Diagram:
for Strike Price Options Short
85.00 (Call Position for Strike Pri
Option)
₹25.00 ₹15.00
₹20.00 ₹10.00
₹5.00
₹10.00 ₹0.00
₹50.00 ₹60.00 ₹70.00 ₹80.00 ₹90.00
₹5.00 -₹5.00
₹0.00 -₹10.00
₹50.00 ₹60.00 ₹70.00 ₹80.00 ₹90.00 ₹100.00 ₹110.00 ₹120.00
-₹5.00 -₹15.00
-₹10.00 -₹20.00
-₹15.00 -₹25.00
Payoff
Payoff Diagram: Options Long Position Diagram:
for Strike PriceOptions Short
85.00 (Put Position for Strike Pric
Option)
₹40.00 ₹5.00
₹35.00 ₹0.00
₹50.00 ₹60.00 ₹70.00 ₹80.00 ₹90.00
-₹5.00
₹30.00
Returns From Price Changes
Returns From Price Changes
-₹10.00
₹25.00
-₹15.00
₹20.00
-₹20.00
₹15.00
-₹25.00
₹10.00
-₹30.00
₹5.00
-₹35.00
₹0.00
₹50.00 ₹60.00 ₹70.00 ₹80.00 ₹90.00 ₹100.00 ₹110.00 ₹120.00
-₹40.00
-₹5.00
Expected Prices of Underlying at Expiery
Expected Prices of Underlying at Expiery
₹115.29 ₹10.69
₹105.24 ₹0.64
₹102.50 -₹2.10
₹98.14 -₹2.10
₹94.35 -₹2.10
₹94.19 -₹2.10
₹92.29 -₹2.10
₹92.50 -₹2.10
₹88.39 -₹2.10
₹85.44 -₹2.10
₹85.00 -₹2.10
₹81.04 -₹2.10
₹71.24 -₹2.10
₹50.00 -₹2.10
Payoff Diagram: Options Long Position for
Payoff
Strike
Diagram:
Price 102.50
Options
(Call
Short
Option)
Position for Strike P
₹12.00 ₹4.00
₹10.00 ₹2.00
₹8.00 ₹0.00
Returns From Price Changes
Returns From Price Changes
₹4.00 -₹4.00
₹2.00 -₹6.00
₹0.00 -₹8.00
₹50.00 ₹60.00 ₹70.00 ₹80.00 ₹90.00 ₹100.00 ₹110.00 ₹120.00
-₹2.00 -₹10.00
-₹4.00 -₹12.00
Payoff
Payoff Diagram: Options Long Position for Diagram:
Strike Options
Price 102.50 Short
(Put Position for Strike P
Option)
₹50.00 ₹20.00
₹40.00 ₹10.00
Returns From Price Changes
Returns From Price Changes
₹30.00 ₹0.00
₹50.00 ₹60.00 ₹70.00 ₹80.00 ₹90.00
₹20.00 -₹10.00
₹10.00 -₹20.00
₹0.00 -₹30.00
₹50.00 ₹60.00 ₹70.00 ₹80.00 ₹90.00 ₹100.00 ₹110.00 ₹120.00
Returns From Price Changes
Returns From Price Changes
₹30.00 ₹0.00
₹50.00 ₹60.00 ₹70.00 ₹80.00 ₹90.00
₹20.00 -₹10.00
₹10.00 -₹20.00
₹0.00 -₹30.00
₹50.00 ₹60.00 ₹70.00 ₹80.00 ₹90.00 ₹100.00 ₹110.00 ₹120.00
-₹10.00 -₹40.00
-₹20.00 -₹50.00
Expected Prices of Underlying at Expiery Expected Prices of Underlying at Expi
PTION PRICING AND PAYOFF DIAGRAM
₹93.70
24/09/2020
₹92.50
5.77% GS 2030 @
0.5
5.61%
20 days = 0.22 part of year
ram: Options Short Position for Strike Price 92.50 (Put Option)
Price 92.50 (Put Option)
he Price Change (Call option) Returns From the Price Change (Put Option)
m:
ce Options Short
85.00 (Call Position for Strike Price 85.00 (Call Option)
Option)
m:
ce Options Short
85.00 (Call Position for Strike Price 85.00 (Call Option)
Option)
m:ceOptions Short
85.00 (Put Position for Strike Price 85.00 (Put Option)
Option)
he Price Change (Call option) Returns From the Price Change (Put Option)
Short Position Long Position Short Position
am: Options(Put
ce 102.50 Short Position for Strike Price 102.50 (Put Option)
Option)
N(d1) N(d2)
0.9974 0.9948
0.9534 0.9257
0.9355 0.9003
0.9135 0.8704
0.8874 0.8361
0.8573 0.7979
0.8234 0.7562
0.7861 0.7118
0.7459 0.6654
0.7035 0.6179
0.6594 0.5700
0.6143 0.5224
0.5689 0.4758
0.5239 0.4307
0.4797 0.3877
0.4369 0.3470
0.3958 0.3090
0.3568 0.2738
0.3201 0.2414
0.2859 0.2119
0.2542 0.1852
0.2251 0.1612
0.1985 0.1398
0.1745 0.1208
0.1528 0.1040
0.1333 0.0893
NMDC Ltd: FUTURES PRICING A
Risk Free Rate of Return =
Rate of Dividend Paid =
Spot Market Price of Underlying =
Time Period Left to Expiery =
Date of Expiery =
Actual Future Market Price =
₹115.29 ₹20.94
₹105.24 ₹10.89
₹98.14 ₹3.79
₹94.35 ₹0.00
₹94.19 -₹0.16
₹92.29 -₹2.06
₹88.39 -₹5.96
₹85.44 -₹8.91
₹81.04 -₹13.31
₹71.24 -₹23.11
20
e Changes
10
Payoff Diagram: Futures Long Position
30
10
0
₹60.00 ₹70.00 ₹80.00 ₹90.00 ₹100.00 ₹110.00 ₹120.00
-10
-20
-30
Expected Prices of the Underlying at the Expiery
RES PRICING AND PAYOFF DIAGRAM
= 5.77% 0.0577
= ₹5.29 5.61% 0.000561
ng = ₹93.70
= 20 = 0.05479
= 9/24/2020
= ₹94.35
₹93.94
Short position
-₹20.94
-₹10.89
-₹3.79
₹0.00
₹0.16
₹2.06
₹5.96
₹8.91
₹13.31
₹23.11
R eturns F rom Price Chang es
on
₹20.00
R eturns F rom Price C
on
₹20.00
₹10.00
₹110.00 ₹120.00
₹0.00
₹60.00 ₹70.00 ₹80.00 ₹90.00 ₹100.00 ₹110.00 ₹12
- ₹10.00
- ₹20.00
- ₹30.00
Expected Prices of the Underlying at the Expiery
M
on
on
₹110.00 ₹120.00
y
Date Adj Close NMDC % returns for NMDC
-0.67%