Using options
BLACK-SCHOLES OPTION PRICING FORMULA
Interest rate 3%
Stock price 100 Volatility 30%
Dividend yield 0.00%
Covered Covered
Prot.put
Strike price 100 Maturity call Price Delta call
Maturity (days) 91.25 Stock 1 100.00 1.00 1 1
Interest rate 3.00% Call 95 0.25 0 9.10 0.68 0 0
Volatility 30.00% Call 100 0.25 -1 6.34 0.55 -1 0
Call 105 0.25 0 4.23 0.42 0 0
Put 95 0.25 0 3.39 -0.32 0 0
Call Put Put 100 0.25 0 5.59 -0.45 0 1
Price 6.337 5.590 Put 105 0.25 0 8.44 -0.58 0 0
Delta 0.550 -0.450 Covered call 93.66 0.45
Gamma 0.026 0.026
Theta -13.334 -10.357
Elasticity 8.675 -8.055 10.00
Lambda 0.198 0.198
Rho 0.122 -0.127
5.00
Call Put
t 0.25 0.25 0.00
d1 0.125 -0.125 80 85 90 95 100 105 110 115 120
d2 -0.025 0.025 -5.00
N(d1) 0.549738 0.450261775
N(d2) 0.490027 0.509972518
-10.00
-15.00
-20.00
0bb764b0-7e1c-47fe-b04a-81dd5293e26a.xlsx 11/20/2011
Using options
Call Call Call Put Put Put 0
95 100 105 95 100 105
0 -1 0 0 0 0
Stock price
80 -13.66 -14.11 0.90 0.45 0.21 15.19 19.70 24.43 -14.59%
80.5 -13.16 -13.66 0.98 0.49 0.24 14.77 19.25 23.95 -14.05%
81 -12.66 -13.21 1.06 0.54 0.26 14.35 18.80 23.48 -13.52%
81.5 -12.16 -12.76 1.15 0.60 0.29 13.94 18.35 23.01 -12.99%
82 -11.66 -12.31 1.25 0.65 0.32 13.54 17.90 22.54 -12.45%
82.5 -11.16 -11.87 1.35 0.71 0.36 13.14 17.46 22.07 -11.92%
83 -10.66 -11.44 1.46 0.77 0.39 12.75 17.03 21.61 -11.38%
83.5 -10.16 -11.01 1.57 0.84 0.43 12.36 16.60 21.15 -10.85%
84 -9.66 -10.58 1.69 0.92 0.47 11.98 16.17 20.69 -10.32%
84.5 -9.16 -10.16 1.81 0.99 0.52 11.60 15.75 20.23 -9.78%
85 -8.66 -9.74 1.94 1.07 0.57 11.23 15.33 19.78 -9.25%
85.5 -8.16 -9.32 2.08 1.16 0.62 10.87 14.91 19.33 -8.72%
86 -7.66 -8.92 2.23 1.25 0.67 10.52 14.51 18.89 -8.18%
86.5 -7.16 -8.51 2.38 1.35 0.73 10.17 14.10 18.45 -7.65%
87 -6.66 -8.12 2.53 1.45 0.79 9.82 13.71 18.01 -7.11%
87.5 -6.16 -7.72 2.70 1.56 0.86 9.49 13.31 17.58 -6.58%
88 -5.66 -7.34 2.87 1.68 0.93 9.16 12.93 17.15 -6.05%
88.5 -5.16 -6.96 3.05 1.80 1.01 8.84 12.55 16.72 -5.51%
89 -4.66 -6.58 3.23 1.92 1.09 8.52 12.17 16.30 -4.98%
89.5 -4.16 -6.22 3.43 2.05 1.17 8.22 11.81 15.89 -4.44%
90 -3.66 -5.85 3.63 2.19 1.26 7.92 11.44 15.48 -3.91%
90.5 -3.16 -5.50 3.83 2.33 1.35 7.62 11.09 15.07 -3.38%
0bb764b0-7e1c-47fe-b04a-81dd5293e26a.xlsx 11/20/2011
Using options
91 -2.66 -5.15 4.05 2.48 1.45 7.34 10.74 14.67 -2.84%
91.5 -2.16 -4.80 4.27 2.64 1.56 7.06 10.39 14.27 -2.31%
92 -1.66 -4.47 4.50 2.81 1.67 6.79 10.06 13.88 -1.78%
92.5 -1.16 -4.14 4.73 2.98 1.78 6.52 9.73 13.50 -1.24%
93 -0.66 -3.81 4.98 3.15 1.90 6.27 9.40 13.12 -0.71%
93.5 -0.16 -3.50 5.23 3.34 2.03 6.02 9.09 12.75 -0.17%
94 0.34 -3.19 5.48 3.53 2.16 5.77 8.78 12.38 0.36%
94.5 0.84 -2.88 5.75 3.72 2.30 5.54 8.47 12.02 0.89%
95 1.34 -2.59 6.02 3.93 2.44 5.31 8.18 11.66 1.43%
95.5 1.84 -2.30 6.30 4.14 2.59 5.09 7.89 11.31 1.96%
96 2.34 -2.02 6.58 4.35 2.75 4.87 7.61 10.97 2.50%
96.5 2.84 -1.74 6.88 4.58 2.91 4.67 7.33 10.63 3.03%
97 3.34 -1.47 7.17 4.81 3.08 4.46 7.06 10.30 3.56%
97.5 3.84 -1.21 7.48 5.05 3.26 4.27 6.80 9.97 4.10%
98 4.34 -0.95 7.79 5.29 3.44 4.08 6.54 9.65 4.63%
98.5 4.84 -0.71 8.11 5.54 3.62 3.90 6.30 9.34 5.16%
99 5.34 -0.46 8.43 5.80 3.82 3.72 6.05 9.03 5.70%
99.5 5.84 -0.23 8.77 6.07 4.02 3.56 5.82 8.73 6.23%
100 6.34 0.00 9.10 6.34 4.23 3.39 5.59 8.44 6.77%
100.5 6.34 0.22 9.45 6.62 4.44 3.24 5.37 8.16 6.77%
101 6.34 0.44 9.79 6.90 4.66 3.08 5.15 7.88 6.77%
101.5 6.34 0.65 10.15 7.19 4.89 2.94 4.94 7.60 6.77%
102 6.34 0.85 10.51 7.49 5.12 2.80 4.74 7.34 6.77%
102.5 6.34 1.04 10.87 7.79 5.36 2.66 4.55 7.07 6.77%
103 6.34 1.23 11.24 8.10 5.61 2.53 4.36 6.82 6.77%
103.5 6.34 1.42 11.62 8.42 5.86 2.41 4.17 6.57 6.77%
104 6.34 1.60 12.00 8.74 6.12 2.29 3.99 6.33 6.77%
104.5 6.34 1.77 12.39 9.07 6.38 2.18 3.82 6.10 6.77%
105 6.34 1.93 12.78 9.40 6.65 2.07 3.66 5.87 6.77%
105.5 6.34 2.09 13.17 9.74 6.93 1.96 3.50 5.65 6.77%
106 6.34 2.25 13.57 10.09 7.22 1.86 3.34 5.43 6.77%
106.5 6.34 2.40 13.98 10.44 7.51 1.77 3.19 5.22 6.77%
107 6.34 2.54 14.38 10.80 7.80 1.67 3.05 5.02 6.77%
107.5 6.34 2.68 14.80 11.16 8.11 1.59 2.91 4.82 6.77%
0bb764b0-7e1c-47fe-b04a-81dd5293e26a.xlsx 11/20/2011
Using options
108 6.34 2.81 15.21 11.52 8.41 1.50 2.78 4.63 6.77%
108.5 6.34 2.94 15.63 11.90 8.73 1.42 2.65 4.44 6.77%
109 6.34 3.07 16.06 12.27 9.05 1.35 2.52 4.26 6.77%
109.5 6.34 3.18 16.48 12.65 9.37 1.27 2.41 4.09 6.77%
110 6.34 3.30 16.92 13.04 9.71 1.21 2.29 3.92 6.77%
110.5 6.34 3.41 17.35 13.43 10.04 1.14 2.18 3.76 6.77%
111 6.34 3.51 17.79 13.82 10.38 1.08 2.08 3.60 6.77%
111.5 6.34 3.61 18.23 14.22 10.73 1.02 1.98 3.45 6.77%
112 6.34 3.71 18.67 14.63 11.09 0.96 1.88 3.30 6.77%
112.5 6.34 3.80 19.12 15.03 11.44 0.91 1.79 3.16 6.77%
113 6.34 3.89 19.56 15.45 11.81 0.86 1.70 3.02 6.77%
113.5 6.34 3.98 20.02 15.86 12.17 0.81 1.61 2.89 6.77%
114 6.34 4.06 20.47 16.28 12.55 0.76 1.53 2.76 6.77%
114.5 6.34 4.14 20.93 16.70 12.92 0.72 1.45 2.64 6.77%
115 6.34 4.21 21.38 17.13 13.30 0.67 1.38 2.52 6.77%
115.5 6.34 4.28 21.85 17.56 13.69 0.64 1.31 2.41 6.77%
116 6.34 4.35 22.31 17.99 14.08 0.60 1.24 2.30 6.77%
116.5 6.34 4.41 22.77 18.42 14.48 0.56 1.18 2.19 6.77%
117 6.34 4.48 23.24 18.86 14.87 0.53 1.11 2.09 6.77%
117.5 6.34 4.53 23.71 19.30 15.28 0.50 1.06 1.99 6.77%
118 6.34 4.59 24.18 19.75 15.68 0.47 1.00 1.90 6.77%
118.5 6.34 4.64 24.65 20.19 16.09 0.44 0.95 1.81 6.77%
119 6.34 4.70 25.12 20.64 16.51 0.41 0.89 1.72 6.77%
119.5 6.34 4.74 25.60 21.09 16.93 0.39 0.85 1.64 6.77%
120 6.34 4.79 26.07 21.55 17.35 0.36 0.80 1.56 6.77%
0bb764b0-7e1c-47fe-b04a-81dd5293e26a.xlsx 11/20/2011
Using options
Bull Bear Butterfly Split
Straddle Strip Strap Strangle
spread spread spread strike
0 0 0 0 0 0 0 1
1 -1 1 0 0 0 0 0
0 0 -2 1 1 2 0 0
-1 1 1 0 0 0 1 -1
0 0 0 0 0 0 1 1
0 0 0 1 2 1 0 0
0 0 0 0 0 0 0 0
10.00%
5.00%
0.00%
80
82
86
88
90
92
94
98
84
96
100
102
104
108
110
112
114
118
120
106
116
-5.00%
-10.00%
-15.00%
-20.00%
0bb764b0-7e1c-47fe-b04a-81dd5293e26a.xlsx 11/20/2011
Using options
6.33722 95 100 105 5.590026 95 100 105
80 0.90 0.45 0.21 80 15.19 19.70 24.43
80.5 0.98 0.49 0.24 80.5 14.77 19.25 23.95
81 1.06 0.54 0.26 81 14.35 18.80 23.48
81.5 1.15 0.60 0.29 81.5 13.94 18.35 23.01
82 1.25 0.65 0.32 82 13.54 17.90 22.54
82.5 1.35 0.71 0.36 82.5 13.14 17.46 22.07
83 1.46 0.77 0.39 83 12.75 17.03 21.61
83.5 1.57 0.84 0.43 83.5 12.36 16.60 21.15
84 1.69 0.92 0.47 84 11.98 16.17 20.69
84.5 1.81 0.99 0.52 84.5 11.60 15.75 20.23
85 1.94 1.07 0.57 85 11.23 15.33 19.78
85.5 2.08 1.16 0.62 85.5 10.87 14.91 19.33
86 2.23 1.25 0.67 86 10.52 14.51 18.89
86.5 2.38 1.35 0.73 86.5 10.17 14.10 18.45
87 2.53 1.45 0.79 87 9.82 13.71 18.01
87.5 2.70 1.56 0.86 87.5 9.49 13.31 17.58
88 2.87 1.68 0.93 88 9.16 12.93 17.15
88.5 3.05 1.80 1.01 88.5 8.84 12.55 16.72
89 3.23 1.92 1.09 89 8.52 12.17 16.30
89.5 3.43 2.05 1.17 89.5 8.22 11.81 15.89
90 3.63 2.19 1.26 90 7.92 11.44 15.48
90.5 3.83 2.33 1.35 90.5 7.62 11.09 15.07
0bb764b0-7e1c-47fe-b04a-81dd5293e26a.xlsx 11/20/2011
Using options
91 4.05 2.48 1.45 91 7.34 10.74 14.67
91.5 4.27 2.64 1.56 91.5 7.06 10.39 14.27
92 4.50 2.81 1.67 92 6.79 10.06 13.88
92.5 4.73 2.98 1.78 92.5 6.52 9.73 13.50
93 4.98 3.15 1.90 93 6.27 9.40 13.12
93.5 5.23 3.34 2.03 93.5 6.02 9.09 12.75
94 5.48 3.53 2.16 94 5.77 8.78 12.38
94.5 5.75 3.72 2.30 94.5 5.54 8.47 12.02
95 6.02 3.93 2.44 95 5.31 8.18 11.66
95.5 6.30 4.14 2.59 95.5 5.09 7.89 11.31
96 6.58 4.35 2.75 96 4.87 7.61 10.97
96.5 6.88 4.58 2.91 96.5 4.67 7.33 10.63
97 7.17 4.81 3.08 97 4.46 7.06 10.30
97.5 7.48 5.05 3.26 97.5 4.27 6.80 9.97
98 7.79 5.29 3.44 98 4.08 6.54 9.65
98.5 8.11 5.54 3.62 98.5 3.90 6.30 9.34
99 8.43 5.80 3.82 99 3.72 6.05 9.03
99.5 8.77 6.07 4.02 99.5 3.56 5.82 8.73
100 9.10 6.34 4.23 100 3.39 5.59 8.44
100.5 9.45 6.62 4.44 100.5 3.24 5.37 8.16
101 9.79 6.90 4.66 101 3.08 5.15 7.88
101.5 10.15 7.19 4.89 101.5 2.94 4.94 7.60
102 10.51 7.49 5.12 102 2.80 4.74 7.34
102.5 10.87 7.79 5.36 102.5 2.66 4.55 7.07
103 11.24 8.10 5.61 103 2.53 4.36 6.82
103.5 11.62 8.42 5.86 103.5 2.41 4.17 6.57
104 12.00 8.74 6.12 104 2.29 3.99 6.33
104.5 12.39 9.07 6.38 104.5 2.18 3.82 6.10
105 12.78 9.40 6.65 105 2.07 3.66 5.87
105.5 13.17 9.74 6.93 105.5 1.96 3.50 5.65
106 13.57 10.09 7.22 106 1.86 3.34 5.43
106.5 13.98 10.44 7.51 106.5 1.77 3.19 5.22
107 14.38 10.80 7.80 107 1.67 3.05 5.02
107.5 14.80 11.16 8.11 107.5 1.59 2.91 4.82
0bb764b0-7e1c-47fe-b04a-81dd5293e26a.xlsx 11/20/2011
Using options
108 15.21 11.52 8.41 108 1.50 2.78 4.63
108.5 15.63 11.90 8.73 108.5 1.42 2.65 4.44
109 16.06 12.27 9.05 109 1.35 2.52 4.26
109.5 16.48 12.65 9.37 109.5 1.27 2.41 4.09
110 16.92 13.04 9.71 110 1.21 2.29 3.92
110.5 17.35 13.43 10.04 110.5 1.14 2.18 3.76
111 17.79 13.82 10.38 111 1.08 2.08 3.60
111.5 18.23 14.22 10.73 111.5 1.02 1.98 3.45
112 18.67 14.63 11.09 112 0.96 1.88 3.30
112.5 19.12 15.03 11.44 112.5 0.91 1.79 3.16
113 19.56 15.45 11.81 113 0.86 1.70 3.02
113.5 20.02 15.86 12.17 113.5 0.81 1.61 2.89
114 20.47 16.28 12.55 114 0.76 1.53 2.76
114.5 20.93 16.70 12.92 114.5 0.72 1.45 2.64
115 21.38 17.13 13.30 115 0.67 1.38 2.52
115.5 21.85 17.56 13.69 115.5 0.64 1.31 2.41
116 22.31 17.99 14.08 116 0.60 1.24 2.30
116.5 22.77 18.42 14.48 116.5 0.56 1.18 2.19
117 23.24 18.86 14.87 117 0.53 1.11 2.09
117.5 23.71 19.30 15.28 117.5 0.50 1.06 1.99
118 24.18 19.75 15.68 118 0.47 1.00 1.90
118.5 24.65 20.19 16.09 118.5 0.44 0.95 1.81
119 25.12 20.64 16.51 119 0.41 0.89 1.72
119.5 25.60 21.09 16.93 119.5 0.39 0.85 1.64
120 26.07 21.55 17.35 120 0.36 0.80 1.56
0bb764b0-7e1c-47fe-b04a-81dd5293e26a.xlsx 11/20/2011