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Option Parameters

    Call Option Put Option
Underlying Price   Theoretical Price 3.019 2.691
Exercise Price   Delta 0.533 -0.467
Days Until Expiration   Gamma 0.055 0.055
Interest Rates   Gamma 1% 0.006 0.006
Dividend Yield   Vega 0.114 0.114
Volatility   Theta -0.054 -0.041
Rounding   Rho    
Graph Increment        

 

 

 

Option Payoff Graphs

Long Call Payoff

Short Call Payoff

Long Put Payoff

Short Put Payoff

Option Greek Graphs

Long Call Delta

Short Call Delta

Long Put Delta

Short Put Delta

Long Call Gamma

Short Call Gamma

Long Put Gamma

Short Put Gamma

Long Call Gamma 1%

Short Call Gamma 1%

Long Put Gamma 1%

Short Put Gamma 1%

Long Call Theta

Short Call Theta

Long Put Theta

Short Put Theta

Long Call Vega

Short Call Vega

Long Put Vega

Short Put Vega

Simulation Table

Point Movement in Underlying Price
Full Point Movement in Volatility

Call Price Simulation

  97 98 99 100 101 102 103
22 1.363 1.738 2.176 2.677 3.241 3.866 4.548
23 1.466 1.847 2.289 2.791 3.353 3.974 4.649
24 1.569 1.956 2.401 2.905 3.466 4.082 4.752
25 1.673 2.066 2.514 3.019 3.578 4.192 4.856
26 1.778 2.176 2.627 3.133 3.691 4.301 4.96
27 1.884 2.286 2.74 3.246 3.804 4.411 5.066
28 1.989 2.396 2.853 3.36 3.917 4.521 5.172