Version 2.1
Introduction
This spreadsheet is provided free of charge for you to use to further your education in options trading. The formulas used were taken from two great books on option trading
Option Volatility and Pricing by Sheldon Natenberg Financial Models using Excel by Simon Benninga
You can read more about these books from the www.OptionTradingTips.com website
http://www.optiontradingtips.com
If you have any suggestions for this workbook or even have a bug to report, please feel free to email me at [email protected]
To stay up to date with changes to this workbook and other modifications to the website, please feel free to subscribe:
http://www.optiontradingtips.com/subscribe.html
I have written all the formulas in Visual Basic using modules and are freely disclosed, so you may examine the logic, edit and change the calculations as you like.
Troubleshooting
You will need to have Macros enabled for the calculations to work. Follow the steps below to enable Macros:
Excel 97 - 2003 Go to Tools/Options Click on the Security tab Go to Macro Security
Change the setting to Medium
Close and reopen the workbook. It will ask you if you want to enable Macros, click Yes Excel 2007
First, make sure that you can see the Developer tab
If there is no Developer tab, click on the Office icon to the top left of the application and choose Excel Options, which is located at the bottom right of the popup.
Now click on Popular at the top left. Check the box titled "Show developer tab in the ribbon". Now, click on the Developer tab.
Click on Macro Security.
Select "Disable all macros with notification" and press ok. Close and reopen spreadsheet.
Now you should see a Security Warning appear in the toolbar
that reads "Macros have been disabled". Click on the options button. Select "Enable this content" and press ok.
Release Updates
11/06/07 - Fixed a bug on the OptionStrategies tab. The greeks for Stock positions were previously displaying as Put options. 27/04/06 - Fixed a bug that failed to calculate the theoretical change in P&L for stocks in the strategies tab.
28/08/06 - Fixed a small calculation bug for the Option Theta, which now has a near perfect accuracy. 1/10/06 - Added support for Dividend Yield, which can be used as a workaround to price options on futures
by making the Dividend Yield the same as the Interest Rate.
Basic
The worksheet labelled Basic is a simple option pricer.
You simply enter the option details into the yellow shaded areas and the output values will be displayed underneath in the blue shaded cells.
OptionPage
OptionPage is a worksheet that allows you to price a string of calls and puts for the same expiration date. Again, you enter the option details into the yellow cells and the output values are in the blue shaded cells.
You can calculate the market implied volatility for each option by simply typing in the market price of the option in the column labelled "Market Price" and the volatility implied by the option's market value will show in the column "Implied Volatility".
Column's A and L are where you can change the strike prices used for the calculations. Or you can just have the values derive straight from the Underlying Price by default.
OptionStrategies
This worksheet lets you enter combinations of options positions so you can view the payoff/risk graphs. The underlying data for the options is taken from the information entered into the OptionPage worksheet. Then just enter the number of contracts for each position and remember to put a negative number for sell positions.
For Type, just enter "c" for call options, "p" for put options and "s" for stock/futures position.
If you know what the option is trading at, you can enter the market price in the "override premium" row to calculate the P&L of the position after taking into account the actual price of the option.
StrategyGraphs
This worksheet will show the current Greek position values of your option strategy while referencing the
a range of underlying prices. You can change the range of values by changing the cell A17 in the OptionStrategies worksheet.
This spreadsheet is provided free of charge for you to use to further your education in options trading.
You can read more about these books from the www.OptionTradingTips.com website If you have any suggestions for this workbook or even have a bug to report, please feel free to email To stay up to date with changes to this workbook and other modifications to the website, please feel free
I have written all the formulas in Visual Basic using modules and are freely disclosed, so you may examine
Now click on Popular at the top left. Check the box titled "Show developer tab in the ribbon".
11/06/07 - Fixed a bug on the OptionStrategies tab. The greeks for Stock positions were previously displaying as Put options. 27/04/06 - Fixed a bug that failed to calculate the theoretical change in P&L for stocks in the strategies tab.
28/08/06 - Fixed a small calculation bug for the Option Theta, which now has a near perfect accuracy. 1/10/06 - Added support for Dividend Yield, which can be used as a workaround to price options on futures
OptionPage is a worksheet that allows you to price a string of calls and puts for the same expiration date. Again, you enter the option details into the yellow cells and the output values are in the blue You can calculate the market implied volatility for each option by simply typing in the market price of the option in the column labelled "Market Price" and the volatility implied by the option's market value Column's A and L are where you can change the strike prices used for the calculations. Or you can just
This worksheet lets you enter combinations of options positions so you can view the payoff/risk graphs. The underlying data for the options is taken from the information entered into the OptionPage worksheet. Then just enter the number of contracts for each position and remember to put a negative number for sell For Type, just enter "c" for call options, "p" for put options and "s" for stock/futures position.
If you know what the option is trading at, you can enter the market price in the "override premium" row to calculate the P&L of the position after taking into account the actual price of the option.
This worksheet will show the current Greek position values of your option strategy while referencing the
http://www.OptionTradingTips.com
Underlying Price 1000 The current base price of the instrument, eg, the closing price of Microsft Stock
Exercise Price 1000 The price at which the underlying instrument will be exchanged. Also called Strike Price Today's Date 7/23/2013
Expiry Date 8/15/2013 The Date which the contract expires
Historical Volatility 20% The Historical Volatility of the asset's returns
Risk Free Rate 5.00% The current risk free interest rate i.e. your return on cash held in the bank Dividened Yield 0.00% The Annualized Dividend Growth Rate of the Stock
DTE (Years) 0.06
Call Option Put Option
Theoretical Price 21.6075 18.4618
Delta 0.5350 -0.4650 The amount that the theoretical price will change if the market moves up/down 1 point Gamma 0.0079 0.0079 The amount that the Delta will change if the market moves up/down 1 point
Theta -0.5041 -0.3675 The amount that the theoretical price will change when 1 day passes.
Vega 0.9976 0.9976 The amount that the theoretical price will change if the volatility of the asset moves up/down by 1 percentage point Rho 0.3235 -0.3046 The amount that the theoretical price will change if interest rates move up/down by 1 percentage point
The current base price of the instrument, eg, the closing price of Microsft Stock
The price at which the underlying instrument will be exchanged. Also called Strike Price
The current risk free interest rate i.e. your return on cash held in the bank
The amount that the theoretical price will change if the market moves up/down 1 point The amount that the Delta will change if the market moves up/down 1 point
The amount that the theoretical price will change when 1 day passes.
The amount that the theoretical price will change if the volatility of the asset moves up/down by 1 percentage point The amount that the theoretical price will change if interest rates move up/down by 1 percentage point
25.00 Underlying Price <-- Yellow cells are for user input 23-Jul-13 Today's Date <-- Blue cells are the calculated outputs
30.00% Historical Volatility This worksheet allows you to price multiple strikes for calls and puts for the same Expiry 17-Aug-13 Expiry Date with the same Underlying Price. Remember, you can customise your own workbook any way
3.50% Risk Free Rate you like by using the formulas provided. 2.00% Dividend Yield
25 DTE
0.07 DTE in Years
TheoreticalMarket Implied
Strike Prices Price Price Volatility Delta Gamma Vega Theta Rho 22.50 ITM 2.59 0.00% 0.92 0.0769 0.0099 -0.0079 0.0139 23.00 ITM 2.16 0.00% 0.87 0.1092 0.0140 -0.0103 0.0134 23.50 ITM 1.75 0.00% 0.80 0.1428 0.0183 -0.0127 0.0125 24.00 ITM 1.38 0.00% 0.72 0.1725 0.0222 -0.0149 0.0113 24.50 ITM 1.06 0.00% 0.62 0.1937 0.0249 -0.0163 0.0099 25.00 ATM 0.79 0.00% 0.52 0.2030 0.0261 -0.0168 0.0084 25.50 OTM 0.58 0.19% 0.42 0.1992 0.0256 -0.0163 0.0068 26.00 OTM 0.40 0.39% 0.33 0.1839 0.0236 -0.0149 0.0053 26.50 OTM 0.27 0.58% 0.25 0.1602 0.0206 -0.0129 0.0040 27.00 OTM 0.18 0.77% 0.18 0.1322 0.0170 -0.0106 0.0029 27.50 OTM 0.12 0.96% 0.12 0.1035 0.0133 -0.0083 0.0020 Option Greeks Call Options
This worksheet allows you to price multiple strikes for calls and puts for the same Expiry with the same Underlying Price. Remember, you can customise your own workbook any way
TheoreticalMarket Implied
Strike Prices Price Price Volatility Delta Gamma Vega Theta Rho 22.50 OTM 0.08 1.09% -0.08 0.0769 0.0099 -0.0057 -0.0014 23.00 OTM 0.14 0.86% -0.13 0.1092 0.0140 -0.0081 -0.0024 23.50 OTM 0.23 0.64% -0.20 0.1428 0.0183 -0.0105 -0.0036 24.00 OTM 0.36 0.42% -0.28 0.1725 0.0222 -0.0126 -0.0051 24.50 OTM 0.54 0.22% -0.38 0.1937 0.0249 -0.0140 -0.0068 25.00 ATM 0.77 0.01% -0.48 0.2030 0.0261 -0.0144 -0.0087 25.50 ITM 1.05 0.00% -0.58 0.1992 0.0256 -0.0139 -0.0106 26.00 ITM 1.38 0.00% -0.67 0.1839 0.0236 -0.0124 -0.0124 26.50 ITM 1.74 0.00% -0.75 0.1602 0.0206 -0.0104 -0.0141 27.00 ITM 2.15 0.00% -0.82 0.1322 0.0170 -0.0080 -0.0156 27.50 ITM 2.58 0.00% -0.88 0.1035 0.0133 -0.0056 -0.0168 Option Greeks Put Options
Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7
Contracts 1 -1
Type Stock Call
Strike 25 25 Calculated Premium 0.77 0.79 0.00 0.00 0.00 0.00 0.00 Override Premium Premium Used 0.77 0.79 0.00 0.00 0.00 0.00 0.00 Delta 1.00 -0.52 0.00 0.00 0.00 0.00 0.00 Gamma 0.00 -0.20 0.00 0.00 0.00 0.00 0.00 Theta 0.00 0.02 0.00 0.00 0.00 0.00 0.00 Vega 0.00 -0.03 0.00 0.00 0.00 0.00 0.00 Rho 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 Graph Increment 1.00
P&L Payoff at Expiration Matrix
Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7
20 -5.00 0.79 0.00 0.00 0.00 0.00 0.00 21 -4.00 0.79 0.00 0.00 0.00 0.00 0.00 22 -3.00 0.79 0.00 0.00 0.00 0.00 0.00 23 -2.00 0.79 0.00 0.00 0.00 0.00 0.00 24 -1.00 0.79 0.00 0.00 0.00 0.00 0.00 25 0.00 0.79 0.00 0.00 0.00 0.00 0.00 26 1.00 -0.21 0.00 0.00 0.00 0.00 0.00 27 2.00 -1.21 0.00 0.00 0.00 0.00 0.00 28 3.00 -2.21 0.00 0.00 0.00 0.00 0.00 29 4.00 -3.21 0.00 0.00 0.00 0.00 0.00 30 5.00 -4.21 0.00 0.00 0.00 0.00 0.00
Current Theoretical P&L Relative to Underlying Price Changes Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7
20 -5.00 0.79 0.00 0.00 0.00 0.00 0.00 21 -4.00 0.79 0.00 0.00 0.00 0.00 0.00 22 -3.00 0.75 0.00 0.00 0.00 0.00 0.00 23 -2.00 0.65 0.00 0.00 0.00 0.00 0.00 24 -1.00 0.42 0.00 0.00 0.00 0.00 0.00 25 0.00 0.00 0.00 0.00 0.00 0.00 0.00 26 1.00 -0.62 0.00 0.00 0.00 0.00 0.00 -5.00 -4.00 -3.00 -2.00 -1.00 0.00 1.00 2.00 20 21 22 23 24 25 26 27 28 29 30
27 2.00 -1.40 0.00 0.00 0.00 0.00 0.00
28 3.00 -2.29 0.00 0.00 0.00 0.00 0.00
29 4.00 -3.25 0.00 0.00 0.00 0.00 0.00
30 5.00 -4.23 0.00 0.00 0.00 0.00 0.00
Current Position Delta Relative to Underlying Price Changes
Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7
20 1.00 0.00 0.00 0.00 0.00 0.00 0.00 21 1.00 -0.02 0.00 0.00 0.00 0.00 0.00 22 1.00 -0.06 0.00 0.00 0.00 0.00 0.00 23 1.00 -0.16 0.00 0.00 0.00 0.00 0.00 24 1.00 -0.32 0.00 0.00 0.00 0.00 0.00 25 1.00 -0.52 0.00 0.00 0.00 0.00 0.00 26 1.00 -0.71 0.00 0.00 0.00 0.00 0.00 27 1.00 -0.85 0.00 0.00 0.00 0.00 0.00 28 1.00 -0.93 0.00 0.00 0.00 0.00 0.00 29 1.00 -0.97 0.00 0.00 0.00 0.00 0.00 30 1.00 -0.99 0.00 0.00 0.00 0.00 0.00
Current Position Gamma Relative to Underlying Price Changes Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7
20 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 21 0.00 -0.02 0.00 0.00 0.00 0.00 0.00 22 0.00 -0.07 0.00 0.00 0.00 0.00 0.00 23 0.00 -0.13 0.00 0.00 0.00 0.00 0.00 24 0.00 -0.19 0.00 0.00 0.00 0.00 0.00 25 0.00 -0.20 0.00 0.00 0.00 0.00 0.00 26 0.00 -0.17 0.00 0.00 0.00 0.00 0.00 27 0.00 -0.11 0.00 0.00 0.00 0.00 0.00 28 0.00 -0.06 0.00 0.00 0.00 0.00 0.00 29 0.00 -0.03 0.00 0.00 0.00 0.00 0.00 30 0.00 -0.01 0.00 0.00 0.00 0.00 0.00
Current Position Theta Relative to Underlying Price Changes
Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7
20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 21 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22 0.00 0.00 0.00 0.00 0.00 0.00 0.00 23 0.00 0.01 0.00 0.00 0.00 0.00 0.00 24 0.00 0.01 0.00 0.00 0.00 0.00 0.00 25 0.00 0.02 0.00 0.00 0.00 0.00 0.00 26 0.00 0.02 0.00 0.00 0.00 0.00 0.00 27 0.00 0.01 0.00 0.00 0.00 0.00 0.00 28 0.00 0.01 0.00 0.00 0.00 0.00 0.00 29 0.00 0.01 0.00 0.00 0.00 0.00 0.00 30 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Current Position Vega Relative to Underlying Price Changes
Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7
20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 21 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 23 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 24 0.00 -0.02 0.00 0.00 0.00 0.00 0.00 25 0.00 -0.03 0.00 0.00 0.00 0.00 0.00 26 0.00 -0.02 0.00 0.00 0.00 0.00 0.00
27 0.00 -0.02 0.00 0.00 0.00 0.00 0.00
28 0.00 -0.01 0.00 0.00 0.00 0.00 0.00
29 0.00 0.00 0.00 0.00 0.00 0.00 0.00
30 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Current Position Rho Relative to Underlying Price Changes
Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7
20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 21 0.00 0.00 0.00 0.00 0.00 0.00 0.00 22 0.00 0.00 0.00 0.00 0.00 0.00 0.00 23 0.00 0.00 0.00 0.00 0.00 0.00 0.00 24 0.00 0.00 0.00 0.00 0.00 0.00 0.00 25 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 26 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 27 0.00 -0.01 0.00 0.00 0.00 0.00 0.00 28 0.00 -0.02 0.00 0.00 0.00 0.00 0.00 29 0.00 -0.02 0.00 0.00 0.00 0.00 0.00 30 0.00 -0.02 0.00 0.00 0.00 0.00 0.00
Strat8 Strat9 Strat10 Total 0.00 0.00 0.00 0.00 0.00 0.00 -0.03 Total Cost 0.00 0.00 0.00 0.48 Position Delta 0.00 0.00 0.00 -0.20 Position Gamma 0.00 0.00 0.00 0.02 Position Theta 0.00 0.00 0.00 -0.03 Position Vega 0.00 0.00 0.00 -0.01 Position Rho
Strat8 Strat9 Strat10 P&L Intercept
0.00 0.00 0.00 -4.21 0.00 0.00 0.00 0.00 -3.21 0.00 0.00 0.00 0.00 -2.21 0.00 0.00 0.00 0.00 -1.21 0.00 0.00 0.00 0.00 -0.21 24.21 0.00 0.00 0.00 0.79 0.00 0.00 0.00 0.00 0.79 0.00 0.00 0.00 0.00 0.79 0.00 0.00 0.00 0.00 0.79 0.00 0.00 0.00 0.00 0.79 0.00 0.00 0.00 0.00 0.79 #DIV/0!
Strat8 Strat9 Strat10 P&L
0.00 0.00 0.00 -4.21 0.00 0.00 0.00 -3.21 0.00 0.00 0.00 -2.25 0.00 0.00 0.00 -1.35 0.00 0.00 0.00 -0.58 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.38
0.00 0.00 0.00 0.60
0.00 0.00 0.00 0.71
0.00 0.00 0.00 0.75
0.00 0.00 0.00 0.77
Strat8 Strat9 Strat10 Total
0.00 0.00 0.00 1.00 0.00 0.00 0.00 0.98 0.00 0.00 0.00 0.94 0.00 0.00 0.00 0.84 0.00 0.00 0.00 0.68 0.00 0.00 0.00 0.48 0.00 0.00 0.00 0.29 0.00 0.00 0.00 0.15 0.00 0.00 0.00 0.07 0.00 0.00 0.00 0.03 0.00 0.00 0.00 0.01
Strat8 Strat9 Strat10 Total
0.00 0.00 0.00 -0.01 0.00 0.00 0.00 -0.02 0.00 0.00 0.00 -0.07 0.00 0.00 0.00 -0.13 0.00 0.00 0.00 -0.19 0.00 0.00 0.00 -0.20 0.00 0.00 0.00 -0.17 0.00 0.00 0.00 -0.11 0.00 0.00 0.00 -0.06 0.00 0.00 0.00 -0.03 0.00 0.00 0.00 -0.01
Strat8 Strat9 Strat10 Total
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.02 0.00 0.00 0.00 0.02 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.00
Strat8 Strat9 Strat10 Total
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -0.01 0.00 0.00 0.00 -0.01 0.00 0.00 0.00 -0.02 0.00 0.00 0.00 -0.03 0.00 0.00 0.00 -0.02
0.00 0.00 0.00 -0.02
0.00 0.00 0.00 -0.01
0.00 0.00 0.00 0.00
0.00 0.00 0.00 0.00
Strat8 Strat9 Strat10 Total
0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -0.01 0.00 0.00 0.00 -0.01 0.00 0.00 0.00 -0.01 0.00 0.00 0.00 -0.02 0.00 0.00 0.00 -0.02 0.00 0.00 0.00 -0.02
-5.00 -4.00 -3.00 -2.00 -1.00 0.00 1.00 2.00 20 21 22 23 24 25 26 27 28 29 30 P&L at Expiration 0.00 0.20 0.40 0.60 0.80 1.00 1.20 20 21 22 23 24 Delta -0.25 -0.20 -0.15 -0.10 -0.05 0.00 20 21 22 23 24 25 26 27 28 29 30 Gamma 0.00 0.00 0.00 0.01 0.01 0.01 0.01 0.01 0.02 0.02 20 21 22 23 24 Theta -0.03 -0.03 -0.02 -0.02 -0.01 -0.01 0.00 20 21 22 23 24 25 26 27 28 29 30 Vega -0.02 -0.02 -0.01 -0.01 -0.01 -0.01 -0.01 0.00 0.00 0.00 20 21 22 23 24 Rho
25 26 27 28 29 30 Delta 25 26 27 28 29 30 Theta 24 25 26 27 28 29 30 Rho
Low Neutral
Buy Naked Puts Sell the
Bear Vertical Spreads: Underlying Buy ATM Call/Sell ITM Call
Buy ATM Put/Sell OTM Put Sell OTM (ITM) Call (Put) Butterflies Buy ITM (OTM) Call (Put) Time Spreads
Backspreads Do Nothing
Buy Straddles/Strangles Sell ATM Call Or Put Butterflies Buy ATM Call Or Put Time Spreads
Buy Naked Calls Buy the
Bull Vertical Spreads Underlying Buy ATM Call/Sell OTM Call
Buy ATM Put/Sell ITM Put Sell ITM (OTM) Call (Put) Butterflies Buy OTM (ITM) Call (Put) Time Spreads
IMPLIED VOLATILITY M A R K E T D I R E C T I O N Bearish Neutral Bullish
High Sell Naked Calls Bear Vertical Spreads:
Buy OTM Call/Sell ATM Call
Buy OTM (ITM) Call (Put) Time Spreads Buy ITM (OTM) Call (Put) Butterflies Sell OTM (ITM) Call (Put) Time Spreads Ratio Vertical Spreads
Sell Straddles/Strangles Buy ATM Call Or Put Butterflies Sell ATM Call Or Put Time Spreads Sell Naked Puts
Bull Vertical Spreads Buy ITM Call/Sell ATM Call Buy OTM Put/Sell ATM Put Buy OTM (ITM) Call (Put) Butterflies Sell ITM (OTM) Call (Put) Time Spreads IMPLIED VOLATILITY
100 Underlying Price 100 Exercise Price 23-Jul-13 Today's Date
25.00% Historical Volatility 21-Sep-13 Expiry Date
0% Risk Free Rate 0% Dividend Yield 60 DTE 0.16 DTE in Years 75 80 85 90 95 100 105 110 90 0.011388 0.026531 0.04059 0.043676 0.034933 0.021726 0.010904 0.004554 100 0.001078 0.004869 0.013871 0.026822 0.03735 0.039308 0.032538 0.021898 110 5.04E-05 0.000414 0.00207 0.006803 0.015644 0.026496 0.034487 0.035735 0 0.005 0.01 0.015 0.02 0.025 0.03 0.035 0.04 0.045 0.05 75 80 85 90 95 100 105 110 115 120 125 Gamma vs Underlying Price
90 100 110
115 120 125 0.001624 0.000505 0.00014 0.012319 0.005931 0.002493 0.030365 0.021697 0.013318
100 Underlying Price 100 Exercise Price 23-Jul-13 Today's Date
25.00% Historical Volatility 21-Sep-13 Expiry Date
0% Risk Free Rate 0% Dividend Yield 60 DTE 0.16 DTE in Years 75 80 85 90 95 100 105 110 90 0.026324 0.069781 0.12052 0.145386 0.129563 0.089285 0.049404 0.022646 100 0.002492 0.012806 0.041186 0.089285 0.138527 0.161541 0.147422 0.108888 110 0.000116 0.001089 0.006147 0.022646 0.05802 0.108888 0.156255 0.177695 0 0.02 0.04 0.06 0.08 0.1 0.12 0.14 0.16 0.18 0.2 75 80 85 90 95 100 105 110 115 120 125 Vega vs Underlying Price
90 100 110
115 120 125 0.008827 0.002991 0.000897 0.066954 0.035099 0.016008 0.16503 0.128396 0.085516
100 Underlying Price 100 Exercise Price 23-Jul-13 Today's Date
25.00% Historical Volatility 21-Sep-13 Expiry Date
0% Risk Free Rate 0% Dividend Yield 60 DTE 0.16 DTE in Years 100 90 80 70 60 50 40 30 100 -0.02605 -0.02746 -0.02913 -0.03115 -0.03365 -0.03687 -0.04124 -0.04762 100 -0.02605 -0.02746 -0.02913 -0.03115 -0.03365 -0.03687 -0.04124 -0.04762 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 86 85 84 83 82 81 80 79 78 77 76 75 74 73 72 71 70 69 68 67 66 65 64 63 62 61 60 59 58 57 56 55 54 53 52 51 -0.3 -0.25 -0.2 -0.15 -0.1 -0.05 0 100 90 80 70 60 50 40 30 20 10 1 Call Theta -0.3 -0.25 -0.2 -0.15 -0.1 -0.05 0 100 90 80 70 60 50 Call Option Price
50 49 48 47 46 45 44 43 42 41 40 39 38 37 36 35 34 33 32 31 30 29 28 27 26 25 24 23 22 21 20 19 18 17 16 15 14 13 12 11 10 9 8 7 6 5 4 3 2 1
DTE Theta Theo % Diff 100 -0.03 5.22 -0.50% 99 -0.03 5.19 -0.50% 98 -0.03 5.16 -0.51% 97 -0.03 5.14 -0.51% 96 -0.03 5.11 -0.52% 95 -0.03 5.08 -0.53% 94 -0.03 5.06 -0.53% 93 -0.03 5.03 -0.54% 20 10 1 92 -0.03 5.00 -0.54% -0.05834 -0.08252 -0.26101 91 -0.03 4.98 -0.55% -0.05834 -0.08252 -0.26101 90 -0.03 4.95 -0.55% 100.00% 100.00% 100.00% 89 -0.03 4.92 -0.56% 88 -0.03 4.89 -0.57% 87 -0.03 4.87 -0.57% 86 -0.03 4.84 -0.58% 85 -0.03 4.81 -0.59% 84 -0.03 4.78 -0.59% 83 -0.03 4.75 -0.60% 82 -0.03 4.72 -0.61% 81 -0.03 4.70 -0.62% 80 -0.03 4.67 -0.62% 79 -0.03 4.64 -0.63% 78 -0.03 4.61 -0.64% 77 -0.03 4.58 -0.65% 76 -0.03 4.55 -0.66% 75 -0.03 4.52 -0.67% 74 -0.03 4.49 -0.67% 73 -0.03 4.46 -0.68% 72 -0.03 4.43 -0.69% 71 -0.03 4.40 -0.70% 70 -0.03 4.37 -0.71% 69 -0.03 4.33 -0.72% 68 -0.03 4.30 -0.73% 67 -0.03 4.27 -0.75% 66 -0.03 4.24 -0.76% 65 -0.03 4.21 -0.77% 64 -0.03 4.17 -0.78% 63 -0.03 4.14 -0.79% 62 -0.03 4.11 -0.81% 61 -0.03 4.08 -0.82% 60 -0.03 4.04 -0.83% 59 -0.03 4.01 -0.85% 58 -0.03 3.97 -0.86% 57 -0.03 3.94 -0.88% 56 -0.03 3.91 -0.89% 55 -0.04 3.87 -0.91% 54 -0.04 3.83 -0.93% 53 -0.04 3.80 -0.94% 52 -0.04 3.76 -0.96% 51 -0.04 3.73 -0.98% 50 40 30 20 10 1 Call Option Price
50 -0.04 3.69 -1.00% 49 -0.04 3.65 -1.02% 48 -0.04 3.62 -1.04% 47 -0.04 3.58 -1.06% 46 -0.04 3.54 -1.09% 45 -0.04 3.50 -1.11% 44 -0.04 3.46 -1.14% 43 -0.04 3.42 -1.16% 42 -0.04 3.38 -1.19% 41 -0.04 3.34 -1.22% 40 -0.04 3.30 -1.25% 39 -0.04 3.26 -1.28% 38 -0.04 3.22 -1.32% 37 -0.04 3.17 -1.35% 36 -0.04 3.13 -1.39% 35 -0.04 3.09 -1.43% 34 -0.04 3.04 -1.47% 33 -0.05 3.00 -1.51% 32 -0.05 2.95 -1.56% 31 -0.05 2.91 -1.61% 30 -0.05 2.86 -1.67% 29 -0.05 2.81 -1.72% 28 -0.05 2.76 -1.79% 27 -0.05 2.71 -1.85% 26 -0.05 2.66 -1.92% 25 -0.05 2.61 -2.00% 24 -0.05 2.56 -2.08% 23 -0.05 2.50 -2.17% 22 -0.06 2.45 -2.27% 21 -0.06 2.39 -2.38% 20 -0.06 2.33 -2.50% 19 -0.06 2.28 -2.63% 18 -0.06 2.21 -2.78% 17 -0.06 2.15 -2.94% 16 -0.07 2.09 -3.12% 15 -0.07 2.02 -3.33% 14 -0.07 1.95 -3.57% 13 -0.07 1.88 -3.85% 12 -0.08 1.81 -4.17% 11 -0.08 1.73 -4.54% 10 -0.08 1.65 -5.00% 9 -0.09 1.57 -5.55% 8 -0.09 1.48 -6.25% 7 -0.10 1.38 -7.14% 6 -0.11 1.28 -8.33% 5 -0.12 1.17 -10.00% 4 -0.13 1.04 -12.50% 3 -0.15 0.90 -16.67% 2 -0.18 0.74 -25.00% 1 -0.26 0.52 -50.00%
1.01% 1.02% 1.03% 1.04% 1.05% 1.07% 1.08% 1.09% 1.10% 1.11% 1.13% 1.14% 1.15% 1.16% 1.18% 1.19% 1.21% 1.22% 1.24% 1.25% 1.27% 1.28% 1.30% 1.32% 1.33% 1.35% 1.37% 1.39% 1.41% 1.43% 1.45% 1.47% 1.49% 1.52% 1.54% 1.56% 1.59% 1.61% 1.64% 1.67% 1.70% 1.73% 1.76% 1.79% 1.82% 1.85% 1.89% 1.92% 1.96%
2.00% 2.04% 2.08% 2.13% 2.18% 2.22% 2.27% 2.33% 2.38% 2.44% 2.50% 2.57% 2.63% 2.70% 2.78% 2.86% 2.94% 3.03% 3.13% 3.23% 3.33% 3.45% 3.57% 3.71% 3.85% 4.00% 4.17% 4.35% 4.55% 4.76% 5.00% 5.26% 5.56% 5.88% 6.25% 6.67% 7.14% 7.69% 8.33% 9.09% 10.00% 11.11% 12.50% 14.29% 16.67% 20.00% 25.00% 33.34% 50.00% 100.00%