Download as xls, pdf, or txt
Download as xls, pdf, or txt
You are on page 1of 6

Price of the underlying

Risk-free interest rate (%)


Strike price
Time to expiration (days left)
Annual volatility (%)
Dividend yield (%)

Options Premium Call


Options Premium Put

Delta Call
Delta Put

Theta Call
Theta Put

Gamma Call
Gamma Put

Vega Call
Vega Put

Rho Call
Rho Put
100.00 100.00 500.00 500.00 500.00
5.0 6.0 8.0 8.0 8.0
100 100 520 490 480
30 25 25 25 25
25.0 25.0 25.0 25.0 25.0
0.0 0.0 0.0 0.0 0.0

3.06 2.81 6.42 20.20 27.13


2.65 2.40 23.58 7.52 4.51

0.537 0.538 0.315 0.665 0.770


-0.463 -0.462 -0.685 -0.335 -0.230

-0.054 -0.060 -0.265 -0.307 -0.277


-0.041 -0.044 -0.152 -0.200 -0.172

0.055 0.061 0.011 0.011 0.009


0.055 0.061 0.011 0.011 0.009

0.114 0.104 0.465 0.477 0.397


0.114 0.104 0.465 0.477 0.397

0.042 0.035 0.103 0.214 0.245


-0.040 -0.033 -0.251 -0.120 -0.082
Price of the underlying 5000.00 5000.00
Risk-free interest rate (%) 8.0 8.0
Strike price 5000 4900
Time to expiration (days left) 25 25
Annual volatility (%) 45.0 45.0
Dividend yield (%) 0.0 0.0

Call Option Price 248.06 300.68


Call Option Delta 0.542 0.609
Call Option Theta -5.212 -5.123
Call Option Gamma 0.001 0.001
Call Option Vega 5.191 5.024
Call Option Rho 1.686 1.880

Put Option Price 220.73 173.90


Put Option Delta -0.458 -0.391
Put Option Theta -4.122 -4.055
Put Option Gamma 0.001 0.001
Put Option Vega 5.191 5.024
Put Option Rho -1.720 -1.458

R : risk free rate of interest 0.08 0.08


o : volatility 0.45 0.45
T-t : time to expiration 0.0684931506849315 0.0684931506849315
dividend yield 0 0
d1 : 0.105 0.277
d2 : -0.012 0.159
5000.00 5000.00 5000.00
8.0 8.0 8.0
5100 4800 5200
25 25 25
45.0 45.0 45.0
0.0 0.0 0.0

202.15 360.07 162.74


0.475 0.674 0.410
-5.165 -4.902 -4.992
0.001 0.001 0.001
5.210 4.713 5.087
1.488 2.063 1.293

274.29 133.84 334.33


-0.525 -0.326 -0.590
-4.054 -3.856 -3.858
0.001 0.001 0.001
5.210 4.713 5.087
-1.986 -1.207 -2.250

0.08 0.08 0.08


0.45 0.45 0.45
0.0684931506849315 0.0684931506849315 0.0684931506849315
0 0 0
-0.063 0.452 -0.228
-0.181 0.334 -0.345
Call Option Calculator

Price of the underlying 841.00


Risk-free interest rate (%) 8.6
Strike price 860
Time to expiration (days left) 10
Annual volatility (%) 21.0
Dividend yield (%) 0.0

Call Option Price 10.00


Call Option Delta 0.289
Call Option Theta -0.555
Call Option Gamma 0.012
Call Option Vega 0.475
Call Option Rho 0.065

R : risk free rate of interest 0.086


o : volatility 0.21
T-t : time to expiration 0.0273972602739726
dividend yield 0
d1 : -0.558
d2 : -0.592
Put Option Calculator

Price of the underlying 5000.00


Risk-free interest rate (%) 8.0
Strike price 5000
Time to expiration (days left) 25
Annual volatility (%) 45.0
Dividend yield (%) 0.0

Put Option Price 220.73


Put Option Delta -0.458
Put Option Theta -4.122
Put Option Gamma 0.001
Put Option Vega 5.191
Put Option Rho -1.720

You might also like