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As per ques

Start Date 40485


End Date 40510

Stock Price 100


Strike Price 90
Risk Free Rate 0.06
Dividend Yield 0
Volatility 0.4

Greeks
Greeks for:Call Put

Delta 0.86391 -0.13609


Gamma 0.020855 0.020855
Theta -5.658704 -0.28085
Vega 5.713658 5.713658
Rho 5.155219 -0.983883
Rho2 -5.917189 0.932126
Inputs Outputs

Start Date 3-Nov-10 Option Price


End Date 28-Nov-10 Call Option 11.1248
Put Option 0.7557
Stock Price 100.0000
Strike Price 90.0000
Risk Free Rate 6.00% Greeks
Dividend Yield 0.00% Greeks for: Call Put
Volatility 40.00%
Delta 0.8639 (0.1361)
Gamma 0.0209 0.0209

Calculations Theta (5.6587) (0.2808)

Time to Maturity 0.068 yrs Vega 5.7137 5.7137


Rho 5.1552 (0.9839)
Rho2 (5.9172) 0.9321

Inputs Outputs

Start Date 3-Nov-10 Option Price


End Date 28-Nov-10 Call Option 12.4998
Put Option 2.1307
Stock Price 100.0000
Strike Price 90.0000
Risk Free Rate 6.00% Greeks
Dividend Yield 0.00% Greeks for: Call Put
Volatility 60.00%
Delta 0.7810 (0.2190)
Gamma 0.0188 0.0188

Calculations Theta (6.2547) (0.8768)


Time to Maturity 0.068 yrs Vega 7.7284 7.7284
Rho 4.4933 (1.6458)
Rho2 (5.3495) 1.4998

Inputs Outputs

Start Date 3-Nov-10 Option Price


End Date 8-Nov-10 Call Option 10.0918
Put Option 0.0178
Stock Price 100.0000
Strike Price 90.0000
Risk Free Rate 6.00% Greeks
Dividend Yield 0.00% Greeks for: Call Put
Volatility 40.00%
Delta 0.9890 (0.0110)
Gamma 0.0062 0.0062

Calculations Theta (5.3963) (0.0007)


Time to Maturity 0.014 yrs Vega 0.3381 0.3381
Rho 1.2166 (0.0153)
Rho2 (1.3548) 0.0150

Inputs Outputs

Start Date 3-Nov-10 Option Price


End Date 8-Nov-10 Call Option 10.2637
Put Option 0.1898
Stock Price 100.0000
Strike Price 90.0000
Risk Free Rate 6.00% Greeks
Dividend Yield 0.00% Greeks for: Call Put
Volatility 60.00%
Delta 0.9391 (0.0609)
Gamma 0.0172 0.0172

Calculations Theta (5.4419) (0.0464)


Time to Maturity 0.014 yrs Vega 1.4108 1.4108
Rho 1.1458 (0.0860)
Rho2 (1.2864) 0.0834
Inputs Outputs

Start Date 3-Nov-10 Option Price


End Date 25-Nov-10 Call Option 4.0922
Put Option 3.7312
Stock Price 100.0000
Strike Price 100.0000
Risk Free Rate 6.00% Greeks
Dividend Yield 0.00% Greeks for: Call Put
Volatility 40.00%
Delta 0.5342 (0.4658)
Gamma 0.0405 0.0405

Calculations Theta (4.9115) 1.0668


Time to Maturity 0.060 yrs Vega 9.7582 9.7582
Rho 2.9734 (3.0322)
Rho2 (3.2201) 2.8073

Inputs Outputs

Start Date 3-Nov-10 Option Price


End Date 25-Nov-10 Call Option 6.0430
Put Option 5.6820
Stock Price 100.0000
Strike Price 100.0000
Risk Free Rate 6.00% Greeks
Dividend Yield 0.00% Greeks for: Call Put
Volatility 60.00%
Delta 0.5391 (0.4609)
Gamma 0.0270 0.0270

Calculations Theta (5.7963) 0.1821


Time to Maturity 0.060 yrs Vega 9.7472 9.7472
Rho 2.8852 (3.1204)
Rho2 (3.2495) 2.7779

Inputs Outputs

Start Date 3-Nov-10 Option Price


End Date 8-Nov-10 Call Option 1.9081
Put Option 1.8260
Stock Price 100.0000
Strike Price 100.0000
Risk Free Rate 6.00% Greeks
Dividend Yield 0.00% Greeks for: Call Put
Volatility 40.00%
Delta 0.5163 (0.4837)
Gamma 0.0851 0.0851

Calculations Theta (3.9166) 2.0785


Time to Maturity 0.014 yrs Vega 4.6654 4.6654
Rho 0.6812 (0.6876)
Rho2 (0.7073) 0.6626

Inputs Outputs

Start Date 3-Nov-10 Option Price


End Date 8-Nov-10 Call Option 2.8411
Put Option 2.7589
Stock Price 100.0000
Strike Price 100.0000
Risk Free Rate 6.00% Greeks
Dividend Yield 0.00% Greeks for: Call Put
Volatility 60.00%
Delta 0.5187 (0.4813)
Gamma 0.0567 0.0567

Calculations Theta (4.3408) 1.6543


Time to Maturity 0.014 yrs Vega 4.6642 4.6642
Rho 0.6716 (0.6971)
Rho2 (0.7105) 0.6594
Inputs Outputs

Start Date 3-Nov-10 Option Price


End Date 28-Nov-10 Call Option 1.1588
Put Option 10.7076
Stock Price 100.0000
Strike Price 110.0000
Risk Free Rate 6.00% Greeks
Dividend Yield 0.00% Greeks for: Call Put
Volatility 40.00%
Delta 0.2064 (0.7936)
Gamma 0.0273 0.0273

Calculations Theta (2.6624) 3.9105


Time to Maturity 0.068 yrs Vega 7.4668 7.4668
Rho 1.3346 (6.1688)
Rho2 (1.4139) 5.4354

Inputs Outputs

Start Date 3-Nov-10 Option Price


End Date 28-Nov-10 Call Option 2.8551
Put Option 12.4040
Stock Price 100.0000
Strike Price 110.0000
Risk Free Rate 6.00% Greeks
Dividend Yield 0.00% Greeks for: Call Put
Volatility 60.00%
Delta 0.3077 (0.6923)
Gamma 0.0224 0.0224

Calculations Theta (4.4361) 2.1368


Time to Maturity 0.068 yrs Vega 9.2034 9.2034
Rho 1.9122 (5.5911)
Rho2 (2.1078) 4.7415

Inputs Outputs

Start Date 3-Nov-10 Option Price


End Date 8-Nov-10 Call Option 0.0397
Put Option 9.9493
Stock Price 100.0000
Strike Price 110.0000
Risk Free Rate 6.00% Greeks
Dividend Yield 0.00% Greeks for: Call Put
Volatility 40.00%
Delta 0.0230 (0.9770)
Gamma 0.0117 0.0117

Calculations Theta (0.2635) 6.3311


Time to Maturity 0.014 yrs Vega 0.6384 0.6384
Rho 0.0310 (1.4746)
Rho2 (0.0315) 1.3383

Inputs Outputs

Start Date 3-Nov-10 Option Price


End Date 8-Nov-10 Call Option 0.3039
Put Option 10.2135
Stock Price 100.0000
Strike Price 110.0000
Risk Free Rate 6.00% Greeks
Dividend Yield 0.00% Greeks for: Call Put
Volatility 60.00%
Delta 0.0950 (0.9050)
Gamma 0.0241 0.0241

Calculations Theta (1.1455) 5.4490


Time to Maturity 0.014 yrs Vega 1.9787 1.9787
Rho 0.1260 (1.3796)
Rho2 (0.1302) 1.2397

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