Scribd
Upload
233 views6 pages

Options Greeks Calculator

This document contains option pricing and greek output for calls and puts with varying underlying prices, strike prices, times to expiration, volatilities, and interest rates. It includes the Black-Scholes formula inputs of price of underlying, risk-free rate, strike price, time to expiration, volatility, and dividend yield. The output includes call and put prices, deltas, thetas, gammas, vegas, and rhos. It also contains the d1 and d2 values used in the Black-Scholes formula.

Uploaded by

prasch
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
233 views6 pages

Options Greeks Calculator

This document contains option pricing and greek output for calls and puts with varying underlying prices, strike prices, times to expiration, volatilities, and interest rates. It includes the Black-Scholes formula inputs of price of underlying, risk-free rate, strike price, time to expiration, volatility, and dividend yield. The output includes call and put prices, deltas, thetas, gammas, vegas, and rhos. It also contains the d1 and d2 values used in the Black-Scholes formula.

Uploaded by

prasch
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
You are on page 1/ 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
18445.00 100.00 500.00 500.00 500.00
5.0 6.0 8.0 8.0 8.0
35 100 520 490 480
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

20500.00 2.81 6.42 20.20 27.13


0.00 2.40 23.58 7.52 4.51

1.000 0.538 0.315 0.665 0.770


0.000 -0.462 -0.685 -0.335 -0.230

-0.005 -0.060 -0.265 -0.307 -0.277


0.000 -0.044 -0.152 -0.200 -0.172

0.000 0.061 0.011 0.011 0.009


0.000 0.061 0.011 0.011 0.009

0.000 0.104 0.465 0.477 0.397


0.000 0.104 0.465 0.477 0.397

0.029 0.035 0.103 0.214 0.245


0.000 -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 0.0684931507 0.0684931507
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
0.0684931507 0.0684931507 0.0684931507
0 0 0
-0.063 0.452 -0.228
-0.181 0.334 -0.345
Call 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

Call Option Price 248.06


Call Option Delta 0.542
Call Option Theta -5.212
Call Option Gamma 0.001
Call Option Vega 5.191
Call Option Rho 1.686

R : risk free rate of interest 0.08


o : volatility 0.45
T-t : time to expiration 0.0684931507
dividend yield 0
d1 : 0.105
d2 : -0.012
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