Option Trading Workbook

Version 2 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 admin@optiontradingtips.com 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. Release Updates 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.education in options trading. OptionTradingTips.com website please feel free to email disclosed, so you may examine for stocks in the strategies tab. a near perfect accuracy. workaround to price options on futures for the same expiration values are in the blue in the market price of the option's market value calculations. Or you can just view the payoff/risk graphs. the OptionPage worksheet. put a negative number for sell futures position. the "override premium" price of the option.strategy while referencing the the cell A17 in the OptionStrategieshttp://www.OptionTradingTips.com Underlying Price 25 The current base price of the instrument, eg, the closing price of Microsft Stock Exercise Price 25 The price at which the underlying instrument will be exchanged. Also called Strike Price Today's Date 1/30/2008 Expiry Date 3/6/2008 The Date which the contract expires Historical Volatility 30% The Historical Volatility of the asset's returns Risk Free Rate 3.50% The current risk free interest rate i.e. your return on cash held in the bank Dividened Yield 2.00% The Annualized Dividend Growth Rate of the Stock DTE (Years) 0.10 Call Option Put Option Theoretical Price 0.9553 0.9185 Delta 0.5250 -0.4750 The amount that the theoretical price will change if the market moves up/Gamma 0.1690 0.1690 The amount that the Delta will change if the market moves up/down 1 point Theta -0.0142 -0.0118 The amount that the theoretical price will change when 1 day passes. Vega 0.0313 0.0313 The amount that the theoretical price will change if the volatility of the asset Rho 0.0120 -0.0126 The amount that the theoretical price will change if interest rates move up/instrument, eg, the closing price of Microsft Stock instrument will be exchanged. Also called Strike Price your return on cash held in the bank theoretical price will change if the market moves up/down 1 point Delta will change if the market moves up/down 1 point theoretical price will change when 1 day passes. theoretical price will change if the volatility of the asset moves up/down by 1 percentage point theoretical price will change if interest rates move up/down by 1 percentage point25.00 Underlying Price <--Yellow cells are for user input 30-Jan-08 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 24-Feb-08 Expiry Date with the same Underlying Price. Remember, you can customise your 3.50% Risk Free Rate you like by using the formulas provided. 2.00% Dividend Yield 25 DTE 0.07 DTE in Years Theoretical Market 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 Optionsprice multiple strikes for calls and puts for the same Expiry Price. Remember, you can customise your own workbook any way Theoretical Market 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 OptionsStrat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 Contracts 1 Type Call Strike 25 Calculated Premium 0.79 0.00 0.00 0.00 0.00 0.00 0.00 Override Premium Premium Used 0.79 0.00 0.00 0.00 0.00 0.00 0.00 Delta 0.52 0.00 0.00 0.00 0.00 0.00 0.00 Gamma 0.20 0.00 0.00 0.00 0.00 0.00 0.00 Theta -0.02 0.00 0.00 0.00 0.00 0.00 0.00 Vega 0.03 0.00 0.00 0.00 0.00 0.00 0.00 Rho 0.01 0.00 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 -0.79 0.00 0.00 0.00 0.00 0.00 0.00 21 -0.79 0.00 0.00 0.00 0.00 0.00 0.00 22 -0.79 0.00 0.00 0.00 0.00 0.00 0.00 23 -0.79 0.00 0.00 0.00 0.00 0.00 0.00 24 -0.79 0.00 0.00 0.00 0.00 0.00 0.00 25 -0.79 0.00 0.00 0.00 0.00 0.00 0.00 26 0.21 0.00 0.00 0.00 0.00 0.00 0.00 27 1.21 0.00 0.00 0.00 0.00 0.00 0.00 28 2.21 0.00 0.00 0.00 0.00 0.00 0.00 29 3.21 0.00 0.00 0.00 0.00 0.00 0.00 30 4.21 0.00 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 -0.79 0.00 0.00 0.00 0.00 0.00 0.00 21 -0.79 0.00 0.00 0.00 0.00 0.00 0.00 22 -0.75 0.00 0.00 0.00 0.00 0.00 0.00 23 -0.65 0.00 0.00 0.00 0.00 0.00 0.00 24 -0.42 0.00 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 0.62 0.00 0.00 0.00 0.00 0.00 0.00 Profit /Loss at Expiration -2.00 -1.00 0.00 1.00 2.00 3.00 4.00 5.00 20 21 22 23 24 25 26 27 28 29 3027 1.40 0.00 0.00 0.00 0.00 0.00 0.00 28 2.29 0.00 0.00 0.00 0.00 0.00 0.00 29 3.25 0.00 0.00 0.00 0.00 0.00 0.00 30 4.23 0.00 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 0.00 0.00 0.00 0.00 0.00 0.00 0.00 21 0.02 0.00 0.00 0.00 0.00 0.00 0.00 22 0.06 0.00 0.00 0.00 0.00 0.00 0.00 23 0.16 0.00 0.00 0.00 0.00 0.00 0.00 24 0.32 0.00 0.00 0.00 0.00 0.00 0.00 25 0.52 0.00 0.00 0.00 0.00 0.00 0.00 26 0.71 0.00 0.00 0.00 0.00 0.00 0.00 27 0.85 0.00 0.00 0.00 0.00 0.00 0.00 28 0.93 0.00 0.00 0.00 0.00 0.00 0.00 29 0.97 0.00 0.00 0.00 0.00 0.00 0.00 30 0.99 0.00 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 0.01 0.00 0.00 0.00 0.00 0.00 0.00 21 0.02 0.00 0.00 0.00 0.00 0.00 0.00 22 0.07 0.00 0.00 0.00 0.00 0.00 0.00 23 0.13 0.00 0.00 0.00 0.00 0.00 0.00 24 0.19 0.00 0.00 0.00 0.00 0.00 0.00 25 0.20 0.00 0.00 0.00 0.00 0.00 0.00 26 0.17 0.00 0.00 0.00 0.00 0.00 0.00 27 0.11 0.00 0.00 0.00 0.00 0.00 0.00 28 0.06 0.00 0.00 0.00 0.00 0.00 0.00 29 0.03 0.00 0.00 0.00 0.00 0.00 0.00 30 0.01 0.00 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 -0.01 0.00 0.00 0.00 0.00 0.00 0.00 24 -0.01 0.00 0.00 0.00 0.00 0.00 0.00 25 -0.02 0.00 0.00 0.00 0.00 0.00 0.00 26 -0.02 0.00 0.00 0.00 0.00 0.00 0.00 27 -0.01 0.00 0.00 0.00 0.00 0.00 0.00 28 -0.01 0.00 0.00 0.00 0.00 0.00 0.00 29 -0.01 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 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 0.01 0.00 0.00 0.00 0.00 0.00 0.00 23 0.01 0.00 0.00 0.00 0.00 0.00 0.00 24 0.02 0.00 0.00 0.00 0.00 0.00 0.00 25 0.03 0.00 0.00 0.00 0.00 0.00 0.00 26 0.02 0.00 0.00 0.00 0.00 0.00 0.0027 0.02 0.00 0.00 0.00 0.00 0.00 0.00 28 0.01 0.00 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 0.01 0.00 0.00 0.00 0.00 0.00 0.00 26 0.01 0.00 0.00 0.00 0.00 0.00 0.00 27 0.01 0.00 0.00 0.00 0.00 0.00 0.00 28 0.02 0.00 0.00 0.00 0.00 0.00 0.00 29 0.02 0.00 0.00 0.00 0.00 0.00 0.00 30 0.02 0.00 0.00 0.00 0.00 0.00 0.00Strat8 Strat9 Strat10 Total 0.00 0.00 0.00 0.00 0.00 0.00 0.79 Total Cost 0.00 0.00 0.00 0.52 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 -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 25.79 0.00 0.00 0.00 0.21 0.00 0.00 0.00 0.00 1.21 0.00 0.00 0.00 0.00 2.21 0.00 0.00 0.00 0.00 3.21 0.00 0.00 0.00 0.00 4.21 #DIV/0! Strat8 Strat9 Strat10 P&L 0.00 0.00 0.00 -0.79 0.00 0.00 0.00 -0.79 0.00 0.00 0.00 -0.75 0.00 0.00 0.00 -0.65 0.00 0.00 0.00 -0.42 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.620.00 0.00 0.00 1.40 0.00 0.00 0.00 2.29 0.00 0.00 0.00 3.25 0.00 0.00 0.00 4.23 Strat8 Strat9 Strat10 Total 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.02 0.00 0.00 0.00 0.06 0.00 0.00 0.00 0.16 0.00 0.00 0.00 0.32 0.00 0.00 0.00 0.52 0.00 0.00 0.00 0.71 0.00 0.00 0.00 0.85 0.00 0.00 0.00 0.93 0.00 0.00 0.00 0.97 0.00 0.00 0.00 0.99 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 0.020.00 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 0.02P&L at Expiration -2.00 -1.00 0.00 1.00 2.00 3.00 4.00 5.00 20 21 22 23 24 25 26 27 28 29 30 Delta 0.00 0.20 0.40 0.60 0.80 1.00 1.20 20 21 22 23 24 25 26 Gamma 0.00 0.05 0.10 0.15 0.20 0.25 20 21 22 23 24 25 26 27 28 29 30 Theta -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 25 26 Vega 0.00 0.01 0.01 0.02 0.02 0.03 0.03 20 21 22 23 24 25 26 27 28 29 30 Rho 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 25 26Delta25 26 27 28 29 30 Theta25 26 27 28 29 30 Rho25 26 27 28 29 30Low 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 MARKET DIRECTION Bearish Neutral BullishHigh 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 VOLATILITY100 Underlying Price 100 Exercise Price 30-Jan-08 Today's Date 25.00% Historical Volatility 30-Mar-08 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 Gamma vs Underlying Price 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 90 100 110115 120 125 0.001624 0.000505 0.00014 0.012319 0.005931 0.002493 0.030365 0.021697 0.013318100 Underlying Price 100 Exercise Price 30-Jan-08 Today's Date 25.00% Historical Volatility 30-Mar-08 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 Vega vs Underlying Price 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 90 100 110115 120 125 0.008827 0.002991 0.000897 0.066954 0.035099 0.016008 0.16503 0.128396 0.085516100 Underlying Price 100 Exercise Price 30-Jan-08 Today's Date 25.00% Historical Volatility 30-Mar-08 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 -0.026046 -0.027461 -0.029133 -0.031151 -0.033654 -0.036874 -0.041236 -0.047625 100 -0.026046 -0.027461 -0.029133 -0.031151 -0.033654 -0.036874 -0.041236 -0.047625 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% 100.00% Call Theta -0.3 -0.25 -0.2 -0.15 -0.1 -0.050 100 90 80 70 60 50 40 30 20 10 1 Call Option Price -0.3 -0.25 -0.2 -0.15 -0.1 -0.050 100 90 80 70 60 50 40 30DTE 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% -0.058341 -0.082524 -0.261014 91 -0.03 4.98 -0.55% -0.058341 -0.082524 -0.261014 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% Call Option Price 50 40 30 20 10 150 -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%