Option Value based on the Black-Scholes Model:

Black-Scholes Option Pricing Model

Inputs:
Stock Price (S)
$10.00
Strike Price (X)
$10.00
Volatility (s)
40.00%
Risk-free Rate
4.27%
Time to expiration (T)
10 yrs
Dividend Yield
0.00%
# of Options (000)
10,000
# Shares Outstanding (000)
100,000
Tax Rate
40.00%
Output:
D1
D2
N(D1)
N(D2)
Call Price
Put Price
Value of Call Options (000)
After-tax Option Value (000)

0.97003
-0.29488
0.83398
0.38404
$5.83411
$2.35874
$58,341
$35,005

Black-Scholes Option Pricing Model (with dilution)

Inputs (with dilution effects):
Stock Price (S)
$10.00
Strike Price (X)
$10.00
Volatility (s)
40.00%
Risk-free Rate
4.27%
Time to expiration (T)
10 yrs
Dividend Yield
0.00%
# of Options (000)
10,000
# Shares Outstanding (000)
100,000
Tax Rate
40.00%
\
Adjusted S (dilution)
$9.59
D1
0.93696
D2
-0.32795
N(D1)
0.82561
N(D2)
0.37148
Call Price
$5.49418
Put Price
$2.42844
Value of Call Options (000)
$54,942
After-tax Option Value (000)
$32,965

*Note: This spreadsheet requires iterative calculations which may result in circular references.
To correct this problem, go to "Tools" - "Options" - Calculation and check the "iteration" box.

Date
28-Feb-13
28-Feb-13
1-Mar-13
1-Mar-13
4-Mar-13
4-Mar-13
5-Mar-13
5-Mar-13
6-Mar-13
6-Mar-13
7-Mar-13
7-Mar-13
8-Mar-13
8-Mar-13
11-Mar-13
11-Mar-13
12-Mar-13
12-Mar-13
13-Mar-13
13-Mar-13
14-Mar-13
14-Mar-13
15-Mar-13
15-Mar-13
18-Mar-13
18-Mar-13
19-Mar-13
19-Mar-13
20-Mar-13
20-Mar-13
21-Mar-13
21-Mar-13
22-Mar-13
22-Mar-13
25-Mar-13
25-Mar-13
26-Mar-13
26-Mar-13
28-Mar-13
28-Mar-13
1-Apr-13
1-Apr-13
2-Apr-13
2-Apr-13
3-Apr-13
3-Apr-13
4-Apr-13
4-Apr-13
5-Apr-13
5-Apr-13
8-Apr-13

Time

Price
14:08:00
16:16:00
14:13:00
16:16:00
14:16:00
16:12:00
14:11:00
16:07:00
14:11:00
16:16:00
14:11:00
16:09:00
14:14:00
16:13:00
14:15:00
16:11:00
14:14:00
16:11:00
14:26:00
16:19:00
14:13:00
16:12:00
14:11:00
16:12:00
14:14:00
16:18:00
14:16:00
16:12:00
14:09:00
16:16:00
14:14:00
16:11:00
14:17:00
16:14:00
14:13:00
16:06:00
14:32:00
16:14:00
14:11:00
16:21:00
14:15:00
16:15:00
14:15:00
16:15:00
14:12:00
16:18:00
14:31:00
16:13:00
14:11:00
16:20:00
14:12:00

29597
29615
29438
29477
29633.5
29660
29420
29632
29475
29475
29566
29520
29300
29225
29297.5
29315
29300
29320
29400
29475
29367
29360
29380
29320
29533.5
29530
29626.5
29649
29769.5
29754
29638
29666
29780.5
29737.5
29897
29550
29560
29490
29560
29541
29540
29670
29512.5
29500
29075
29105
28910
28900
29162.5
29370
29499

8-Apr-13
9-Apr-13
9-Apr-13
10-Apr-13
10-Apr-13
11-Apr-13
11-Apr-13
12-Apr-13
12-Apr-13
15-Apr-13
15-Apr-13

16:10:00
14:10:00
16:15:00
14:13:00
16:05:00
14:11:00
16:37:00
14:09:00
16:05:00
14:12:00
16:12:00

29490
29385
29399
29600
29500
29071
29055
29062.5
28937.5
26904.5
26520