See: http://www.golden.net/~pjponzo/black-scholes-3.htm
Have fun!
Enter the data in
red squares
like so:
gummy
(1) Strike Prices & Option Premiumsfor Example:
Strike =
$90.00
$100.00
$105.00
etc.
Premium =
Err:502
Err:502
Err:502
etc.
90%
100%
105%
These just give Strike Price
s a s p e rc e n ta g e s o f S to c k P r
(2) The Current Price of the stock
for Example:
(You can change them.)
Current Price =$100.0000
Initial Cost
Err:502
Mean Return =
10%
Std Devn =
25%
This just
Risk-free Rate
4%
gives the
(4) The start and increment for the plot (if you want to change these)
percentages
PLOT from
$80.00
increments of
$1.00
where you
(5) PLAY with the number of contracts which you write or buy
MAKE or
# contracts =
0
0
1
etc.
LOSE money
w ith in th e
NOW: gaze in awe and admiration at the plot of total gain and probabilities
\u2026 and, of course, repeat (5) till you see something you like!
This gives your initial outl
ay of m oney.
P.S. You can, of course, just INVENT a stock \u2026 with invented strike prices and
If it's negative, you RECEI
V E a (n e t) a m o u n t.
Current Stock Price.
BUT \u2026 what about the option premium?
(because of calls you WRI
T E ).
Just type in the Black-Scholes price; it's pretty accurate.
For Covered Calls, it includ
e s th e c o s t o f s h a re s .
You can choose to write C
o v e r e d o r U n c o v e r e d C a lls
price is close to the actual Option Premium. (This is an "implied volatility".)
COVE
R E D C a lls (y /n ) ?
Assuming a Log-normal Distribution of Returns,
this gives the probability that, at expiry, you'll LOSE!
Note:
Enter Expiry
M o n th a s
(3) The Return, Standard Deviation & Risk-free Rate for the stock (if you know these*)
RANGE OF T
HE PLOT
* If you don't know the Standard Deviation invent one so that the Black-Scholes
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