T S S2 S1 S3 K r sigma d1(S2) d1(S1) d1(S3) d2(S2) T
1 0.1 50 60 40 50 4% 20% 0.30 1.21 -0.82
0.99 1 50 60 40 50 4% 20%
0.98 2 50 60 40 50 4% 20%
0.97 3 50 60 40 50 4% 20%
1.5
0.96 4 50 60 40 50 4% 20%
0.95 5 50 60 40 50 4% 20%
0.94 1
6 50 60 40 50 4% 20%
0.93 7 50 60 40 50 4% 20%
0.92 8 50 60 40
0.550 4% 20% 0.29 1.24 -0.88
0.91 9 50 60 40 50 4% 20%
0.9 10 50 60 40050 4% 20%
0.89 11 50 60 40 50 4% 20%
1
7
13
19
31
37
73
79
91
97
25
43
49
55
61
67
85
0.88 12 50 60 40 50 4% 20%
-0.5
0.87 13 50 60 40 50 4% 20%
0.86 14 50 60 40 50 4% 20%
-1
0.85 15 50 60 40 50 4% 20%
0.84 16 50 60 40 50 4% 20%
-1.5 50 4% 20%
0.83 17 50 60 40
0.82 18 50 60 40 50 4% 20%
0.81 19 50 60 40 50 4% 20%
0.8 20 50 60 40 50 4% 20%
0.79 21 50 60 40 50 4% 20%
0.78 22 50 60 40 50 4% 20%
0.77 23 50 60 40 50 4% 20%
0.76 24 50 60 40 50 4% 20%
0.75 25 50 60 40 50 4% 20%
0.74 26 50 60 40 50 4% 20%
0.73 27 50 60 40 50 4% 20%
0.72 28 50 60 40 50 4% 20%
0.71 29 50 60 40 50 4% 20%
0.7 30 50 60 40 50 4% 20%
0.69 31 50 60 40 50 4% 20%
0.68 32 50 60 40 50 4% 20%
0.67 33 50 60 40 50 4% 20%
0.66 34 50 60 40 50 4% 20%
0.65 35 50 60 40 50 4% 20%
0.64 36 50 60 40 50 4% 20%
0.63 37 50 60 40 50 4% 20%
0.62 38 50 60 40 50 4% 20%
0.61 39 50 60 40 50 4% 20%
0.6 40 50 60 40 50 4% 20%
0.59 41 50 60 40 50 4% 20%
0.58 42 50 60 40 50 4% 20%
0.57 43 50 60 40 50 4% 20%
Delta (call)
0.10 1 0.617911422
0.30 1.21 -0.82 0.10 0.99 0.617337774
0.30 1.22 -0.83 0.10 0.98 0.616760961
0.30 1.22 -0.84 0.10 0.97 0.616180938
0.29 1.22 -0.84 0.10 0.96 0.615597654
0.29 1.23 -0.85 0.10 0.95 0.61501106
0.29 1.23 -0.86 0.10 0.94 0.614421105
0.29 1.23 -0.87 0.10 0.93 0.613827737
0.10 0.92 0.613230902
0.29 1.24 -0.88 0.10 0.91 0.612630544
Delta(Call
0.28 1.25 -0.89 )
0.09 0.9 0.612026606
Delta(Put)
0.28 1.25 -0.90 0.09 0.89 0.61141903
0.28 1.25 -0.91 0.09 0.88 0.610807756
0.28 1.26 -0.92 0.09 0.87 0.610192723
0.28 1.26 -0.92 0.09 0.86 0.609573866
0.28 1.27 -0.93 0.09 0.85 0.60895112
0.27 1.27 -0.94 0.09 0.84 0.608324418
0.27 1.27 -0.95 0.09 0.83 0.607693691
0.27 1.28 -0.96 0.09 0.82 0.607058867
0.27 1.28 -0.97 0.09 0.81 0.606419873
0.27 1.29 -0.98 0.09 0.8 0.605776633
0.27 1.29 -0.99 0.09 0.79 0.605129068
0.26 1.30 -1.00 0.09 0.78 0.604477099
0.26 1.30 -1.01 0.09 0.77 0.603820641
0.26 1.31 -1.02 0.09 0.76 0.603159609
0.26 1.31 -1.03 0.09 0.75 0.602493914
0.26 1.32 -1.04 0.09 0.74 0.601823465
0.26 1.32 -1.05 0.09 0.73 0.601148166
0.25 1.33 -1.06 0.08 0.72 0.60046792
0.25 1.33 -1.07 0.08 0.71 0.599782624
0.25 1.34 -1.08 0.08 0.7 0.599092175
0.25 1.35 -1.09 0.08 0.69 0.598396464
0.25 1.35 -1.11 0.08 0.68 0.597695377
0.25 1.36 -1.12 0.08 0.67 0.596988797
0.24 1.37 -1.13 0.08 0.66 0.596276605
0.24 1.37 -1.14 0.08 0.65 0.595558673
0.24 1.38 -1.15 0.08 0.64 0.594834872
0.24 1.39 -1.17 0.08 0.63 0.594105065
0.24 1.39 -1.18 0.08 0.62 0.593369111
0.23 1.40 -1.19 0.08 0.61 0.592626864
0.23 1.41 -1.21 0.08 0.6 0.591878171
0.23 1.42 -1.22 0.08 0.59 0.591122873
0.23 1.43 -1.24 0.08 0.58 0.590360803
0.23 1.43 -1.25 0.08 0.57 0.589591789
0.56 44 50 60 40 50 4% 20% 0.22 1.44 -1.27 0.07 0.56 0.58881565
0.55 45 50 60 40 50 4% 20% 0.22 1.45 -1.28 0.07 0.55 0.588032197
0.54 46 50 60 40 50 4% 20% 0.22 1.46 -1.30 0.07 0.54 0.587241233
0.53 47 50 60 40 50 4% 20% 0.22 1.47 -1.31 0.07 0.53 0.586442551
0.52 48 50 60 40 50 4% 20% 0.22 1.48 -1.33 0.07 0.52 0.585635936
0.51 49 50 60 40 50 4% 20% 0.21 1.49 -1.35 0.07 0.51 0.58482116
0.5 50 50 60 40 50 4% 20% 0.21 1.50 -1.37 0.07 0.5 0.583997986
0.49 51 50 60 40 50 4% 20% 0.21 1.51 -1.38 0.07 0.49 0.583166163
0.48 52 50 60 40 50 4% 20% 0.21 1.52 -1.40 0.07 0.48 0.582325431
0.47 53 50 60 40 50 4% 20% 0.21 1.54 -1.42 0.07 0.47 0.581475512
0.46 54 50 60 40 50 4% 20% 0.20 1.55 -1.44 0.07 0.46 0.580616115
0.45 55 50 60 40 50 4% 20% 0.20 1.56 -1.46 0.07 0.45 0.579746934
0.44 56 50 60 40 50 4% 20% 0.20 1.57 -1.48 0.07 0.44 0.578867645
0.43 57 50 60 40 50 4% 20% 0.20 1.59 -1.50 0.07 0.43 0.577977906
0.42 58 50 60 40 50 4% 20% 0.19 1.60 -1.53 0.06 0.42 0.577077354
0.41 59 50 60 40 50 4% 20% 0.19 1.62 -1.55 0.06 0.41 0.576165606
0.4 60 50 60 40 50 4% 20% 0.19 1.63 -1.57 0.06 0.4 0.575242254
0.39 61 50 60 40 50 4% 20% 0.19 1.65 -1.60 0.06 0.39 0.574306865
0.38 62 50 60 40 50 4% 20% 0.18 1.66 -1.63 0.06 0.38 0.573358979
0.37 63 50 60 40 50 4% 20% 0.18 1.68 -1.65 0.06 0.37 0.572398104
0.36 64 50 60 40 50 4% 20% 0.18 1.70 -1.68 0.06 0.36 0.571423716
0.35 65 50 60 40 50 4% 20% 0.18 1.72 -1.71 0.06 0.35 0.570435253
0.34 66 50 60 40 50 4% 20% 0.17 1.74 -1.74 0.06 0.34 0.569432114
0.33 67 50 60 40 50 4% 20% 0.17 1.76 -1.77 0.06 0.33 0.568413654
0.32 68 50 60 40 50 4% 20% 0.17 1.78 -1.80 0.06 0.32 0.567379176
0.31 69 50 60 40 50 4% 20% 0.17 1.80 -1.84 0.06 0.31 0.566327931
0.3 70 50 60 40 50 4% 20% 0.16 1.83 -1.87 0.05 0.3 0.565259109
0.29 71 50 60 40 50 4% 20% 0.16 1.85 -1.91 0.05 0.29 0.56417183
0.28 72 50 60 40 50 4% 20% 0.16 1.88 -1.95 0.05 0.28 0.56306514
0.27 73 50 60 40 50 4% 20% 0.16 1.91 -1.99 0.05 0.27 0.561937997
0.26 74 50 60 40 50 4% 20% 0.15 1.94 -2.04 0.05 0.26 0.560789264
0.25 75 50 60 40 50 4% 20% 0.15 1.97 -2.08 0.05 0.25 0.559617692
0.24 76 50 60 40 50 4% 20% 0.15 2.01 -2.13 0.05 0.24 0.558421907
0.23 77 50 60 40 50 4% 20% 0.14 2.04 -2.18 0.05 0.23 0.55720039
0.22 78 50 60 40 50 4% 20% 0.14 2.08 -2.24 0.05 0.22 0.555951454
0.21 79 50 60 40 50 4% 20% 0.14 2.13 -2.30 0.05 0.21 0.554673221
0.2 80 50 60 40 50 4% 20% 0.13 2.17 -2.36 0.04 0.2 0.553363585
0.19 81 50 60 40 50 4% 20% 0.13 2.22 -2.43 0.04 0.19 0.552020173
0.18 82 50 60 40 50 4% 20% 0.13 2.28 -2.50 0.04 0.18 0.550640297
0.17 83 50 60 40 50 4% 20% 0.12 2.33 -2.58 0.04 0.17 0.54922089
0.16 84 50 60 40 50 4% 20% 0.12 2.40 -2.67 0.04 0.16 0.547758426
0.15 85 50 60 40 50 4% 20% 0.12 2.47 -2.76 0.04 0.15 0.546248821
0.14 86 50 60 40 50 4% 20% 0.11 2.55 -2.87 0.04 0.14 0.544687297
0.13 87 50 60 40 50 4% 20% 0.11 2.64 -2.99 0.04 0.13 0.543068206
0.12 88 50 60 40 50 4% 20% 0.10 2.74 -3.12 0.03 0.12 0.541384792
0.11 89 50 60 40 50 4% 20% 0.10 2.85 -3.26 0.03 0.11 0.539628857
0.1 90 50 60 40 50 4% 20% 0.09 2.98 -3.43 0.03 0.1 0.537790294
0.09 91 50 60 40 50 4% 20% 0.09 3.13 -3.63 0.03 0.09 0.535856393
0.08 92 50 60 40 50 4% 20% 0.08 3.31 -3.86 0.03 0.08 0.533810797
0.07 93 50 60 40 50 4% 20% 0.08 3.52 -4.14 0.03 0.07 0.531631845
0.06 94 50 60 40 50 4% 20% 0.07 3.80 -4.48 0.02 0.06 0.529289788
0.05 95 50 60 40 50 4% 20% 0.07 4.14 -4.92 0.02 0.05 0.526741804
0.04 96 50 60 40 50 4% 20% 0.06 4.62 -5.52 0.02 0.04 0.523922183
0.03 97 50 60 40 50 4% 20% 0.05 5.32 -6.39 0.02 0.03 0.520720324
0.02 98 50 60 40 50 4% 20% 0.04 6.49 -7.85 0.01 0.02 0.516920611
0.01 99 50 60 40 50 4% 20% 0.03 9.15 -11.13 0.01 0.01 0.511966473
Delta (call ITM) Delta (call OTM) Delta (put) Delta (put ITM) Delta (put OTM) Delta(Call)
0.8871687232481.50.2073307904522 -0.382088578 -0.11283127675 -0.792669209548 6.51446E-207
0.887759071124 0.2052988376835 -0.382662226 -0.11224092888 -0.794701162316 3.984846E-82
0.888359086493 0.2032523506666
1 -0.383239039 -0.11164091351 -0.796747649333 8.262577E-56
0.888968954464 0.2011911845908 -0.383819062 -0.11103104554 -0.798808815409 7.986653E-43
Delta (call)
0.8895888644990.50.1991151948523 -0.384402346 -0.1104111355 -0.800884805148 1.092793E-34
Delta (call
ITM)
0.890219010524 0.1970242372339 -0.38498894 -0.10978098948 -0.802975762766 5.427206E-29
Delta (call
0.890859591037 0.1949181680997 -0.385578895 -0.10914040896 -0.8050818319
OTM) 9.780025E-25
0 Delta (put)
0.891510809219 0.1927968446088
0 0.2 0.4
-0.386172263
0.6
-0.10848919078
0.8 1 1.2
-0.807203155391 2.039443E-21
Delta (put
0.892172873047 0.1906601249476 -0.386769098 -0.10782712695 -0.809339875052
ITM) 9.513905E-19
0.892845995409-0.5
0.1885078685825 -0.387369456 -0.10715400459 Delta (put
-0.811492131418 1.491746E-16
OTM)
0.893530394212 0.1863399365361 -0.387973394 -0.10646960579 -0.813660063464 1.027097E-14
0.894226292504 -10.1841561916868 -0.38858097 -0.1057737075 -0.815843808313 3.732435E-13
0.894933918587 0.1819564990954 -0.389192244 -0.10506608141 -0.818043500905 8.163765E-12
0.895653506127-1.5
0.1797407263597 -0.389807277 -0.10434649387 -0.82025927364 1.183875E-10
0.896385294276 0.1775087440006 -0.390426134 -0.10361470572 -0.822491255999 1.224456E-09
0.897129527777 0.1752604258812 -0.39104888 -0.10287047222 -0.824739574119 9.555391E-09
0.897886457083 0.1729956496627 -0.391675582 -0.10211354292 -0.827004350337 5.880514E-08
0.898656338459 0.1707142972994 -0.392306309 -0.10134366154 -0.829285702701 2.95633E-07
0.899439434093 0.1684162555761 -0.392941133 -0.10056056591 -0.831583744424 1.249225E-06
0.900236012193 0.1661014166926 -0.393580127 -0.09976398781 -0.833898583307 4.541615E-06
0.901046347091 0.1637696788978 -0.394223367 -0.09895365291 -0.836230321102 1.448256E-05
0.901870719323 0.1614209471783 -0.394870932 -0.09812928068 -0.838579052822 4.116698E-05
0.902709415724 0.1590551340062 -0.395522901 -0.09729058428 -0.840944865994 0.000105736
0.903562729493 0.1566721601515 -0.396179359 -0.09643727051 -0.843327839848 0.000248244
0.904430960262 0.1542719555637 -0.396840391 -0.09556903974 -0.845728044436 0.00053803
0.905314414144 0.1518544603288 -0.397506086 -0.09468558586 -0.848145539671 0.001085675
0.906213403774 0.1494196257097 -0.398176535 -0.09378659623 -0.85058037429 0.002054747
0.907128248325 0.1469674152746 -0.398851834 -0.09287175168 -0.853032584725 0.003670886
0.90805927351 0.1444978061234 -0.39953208 -0.09194072649 -0.855502193877 0.006225591
0.90900681156 0.1420107902193 -0.400217376 -0.09099318844 -0.857989209781 0.010072509
0.909971201172 0.139506375835 -0.400907825 -0.09002879883 -0.860493624165 0.015615063
0.910952787435 0.1369845891242 -0.401603536 -0.08904721256 -0.863015410876 0.02328561
0.91195192171 0.1344454758285 -0.402304623 -0.08804807829 -0.865554524172 0.033517782
0.912968961479 0.1318891031319 -0.403011203 -0.08703103852 -0.868110896868 0.046714832
0.914004270146 0.1293155616765 -0.403723395 -0.08599572985 -0.870684438323 0.063217496
0.915058216783 0.1267249677524 -0.404441327 -0.08494178322 -0.873275032248 0.083274999
0.916131175817 0.1241174656787 -0.405165128 -0.08386882418 -0.875882534321 0.107022321
0.917223526652 0.1214932303908 -0.405894935 -0.08277647335 -0.878506769609 0.134465983
0.918335653206 0.118852470254 -0.406630889 -0.08166434679 -0.881147529746 0.165479453
0.919467943369 0.116195430122 -0.407373136 -0.08053205663 -0.883804569878 0.199808124
0.920620788349 0.1135223946623 -0.408121829 -0.07937921165 -0.886477605338 0.237082822
0.921794581909 0.1108336919729 -0.408877127 -0.07820541809 -0.889166308027 0.276840025
0.922989719472 0.1081296975142 -0.409639197 -0.07701028053 -0.891870302486 0.318546577
0.924206597069 0.1054108383855 -0.410408211 -0.07579340293 -0.894589161615 0.361626557
0.925445610128 0.1026775979746 -0.41118435 -0.07455438987 -0.897322402025 0.4054881
0.926707152058 0.0999305210136 -0.411967803 -0.07329284794 -0.900069478986 0.449548328
0.927991612612 0.0971702190759 -0.412758767 -0.07200838739 -0.902829780924 0.493254987
0.929299376006 0.0943973765507 -0.413557449 -0.07070062399 -0.905602623449 0.536103915
0.930630818738 0.0916127571364 -0.414364064 -0.06936918126 -0.908387242864 0.577651878
0.931986307089 0.0888172108942 -0.41517884 -0.06801369291 -0.911182789106 0.617524813
0.933366194241 0.0860116819083 -0.416002014 -0.06663380576 -0.913988318092 0.655421742
0.934770816973 0.0831972165988 -0.416833837 -0.06522918303 -0.916802783401 0.691114935
0.936200491868 0.0803749727391 -0.417674569 -0.06379950813 -0.919625027261 0.724446979
0.937655510967 0.0775462292264 -0.418524488 -0.06234448903 -0.922453770774 0.755325476
0.939136136781 0.07471239666 -0.419383885 -0.06086386322 -0.92528760334 0.783716106
0.940642596583 0.0718750287778 -0.420253066 -0.05935740342 -0.928124971222 0.809634691
0.942175075872 0.069035834803 -0.421132355 -0.05782492413 -0.930964165197 0.833138841
0.943733710888 0.0661966927481 -0.422022094 -0.05626628911 -0.933803307252 0.85431965
0.945318580045 0.0633596637174 -0.422922646 -0.05468141996 -0.936640336283 0.873293778
0.946929694124 0.0605270072418 -0.423834394 -0.05307030588 -0.939472992758 0.890196197
0.948566985063 0.0577011976641 -0.424757746 -0.05143301494 -0.942298802336 0.905173747
0.950230293112 0.0548849415746 -0.425693135 -0.04976970689 -0.945115058425 0.918379586
0.951919352159 0.0520811962697 -0.426641021 -0.04808064784 -0.94791880373 0.929968558
0.953633772935 0.0492931891705 -0.427601896 -0.04636622707 -0.95070681083 0.940093456
0.955373023813 0.0465244380847 -0.428576284 -0.04462697619 -0.953475561915 0.948902104
0.957136408867 0.0437787721366 -0.429564747 -0.04286359113 -0.956221227863 0.956535199
0.958923042798 0.0410603530934 -0.430567886 -0.0410769572 -0.958939646907 0.963124795
0.960731822321 0.0383736967115 -0.431586346 -0.03926817768 -0.961626303289 0.968793344
0.962561393533 0.0357236935706 -0.432620824 -0.03743860647 -0.964276306429 0.973653202
0.964410114748 0.0331156286766 -0.433672069 -0.03558988525 -0.966884371323 0.97780649
0.966276014255 0.0305551988665 -0.434740891 -0.03372398574 -0.969444801133 0.981345254
0.968156742421 0.0280485267336 -0.43582817 -0.03184325758 -0.971951473266 0.984351831
0.970049517546 0.0256021693939 -0.43693486 -0.02995048245 -0.974397830606 0.986899366
0.97195106494 0.0232231199123 -0.438062003 -0.02804893506 -0.976776880088 0.989052434
0.973857548744 0.0209187985806 -0.439210736 -0.02614245126 -0.979081201419 0.990867715
0.975764496234 0.0186970304681 -0.440382308 -0.02423550377 -0.981302969532 0.9923947
0.977666714651 0.0165660047287 -0.441578093 -0.02233328535 -0.983433995271 0.993676391
0.979558201132 0.014534210033 -0.44279961 -0.02044179887 -0.985465789967 0.994749985
0.981432047189 0.0126103392089 -0.444048546 -0.01856795281 -0.987389660791 0.995647522
0.983280340447 0.0108031547583 -0.445326779 -0.01671965955 -0.989196845242 0.996396493
0.985094068384 0.0091213054737 -0.446636415 -0.01490593162 -0.990878694526 0.997020402
0.986863031708 0.0075730831275 -0.447979827 -0.01313696829 -0.992426916873 0.997539275
0.988575779343 0.0061661075422 -0.449359703 -0.01142422066 -0.993833892458 0.997970124
0.990219583179 0.0049069289699 -0.45077911 -0.00978041682 -0.99509307103 0.998327353
0.991780479487 0.0038005397607 -0.452241574 -0.00821952051 -0.996199460239 0.99862313
0.993243415881 0.0028497945838 -0.453751179 -0.00675658412 -0.997150205416 0.998867703
0.994592558511 0.0020547526536 -0.455312703 -0.00540744149 -0.997945247346 0.999069685
0.995811833456 0.0014119801075 -0.456931794 -0.00418816654 -0.998588019893 0.999236297
0.996885796816 0.0009138900402 -0.458615208 -0.00311420318 -0.99908610996 0.99937358
0.997800942323 0.0005482546732 -0.460371143 -0.00219905768 -0.999451745327 0.999486578
0.998547545414 0.0002980958751 -0.462209706 -0.00145245459 -0.999701904125 0.999579496
0.999122070563 0.0001422280105 -0.464143607 -0.00087792944 -0.99985777199 0.999655831
0.99952996292 5.673873768E-05 -0.466189203 -0.00047003708 -0.999943261262 0.999718487
0.999788199524 1.754449638E-05 -0.468368155 -0.00021180048 -0.999982455504 0.999769874
0.999926210366 3.707506045E-06 -0.470710212 -7.37896339E-05 -0.999996292494 0.999811985
0.999982928757 4.270980029E-07 -0.473258196 -1.70712435E-05 -0.999999572902 0.99984647
0.999998063082 1.708664053E-08 -0.476077817 -1.93691804E-06 -0.999999982913 0.99987469
0.99999994671 8.313948811E-11 -0.479279676 -5.32901595E-08 -0.999999999917 0.999897769
0.999999999957 2.132413396E-15 -0.483079389 -4.33570957E-11 -1 0.999916633
1 4.625935565E-29 -0.488033527 0 -1 0.999932042
 Delta(Put)
-1
-1
-1
-1
-1
-1
-1
-1
-1
-1
-1
-1
-1
-1
-0.999999999
-0.99999999
-0.999999941
-0.999999704
-0.999998751
-0.999995458
-0.999985517
-0.999958833
-0.999894264
-0.999751756
-0.99946197
-0.998914325
-0.997945253
-0.996329114
-0.993774409
-0.989927491
-0.984384937
-0.97671439
-0.966482218
-0.953285168
-0.936782504
-0.916725001
-0.892977679
-0.865534017
-0.834520547
-0.800191876
-0.762917178
-0.723159975
-0.681453423
-0.638373443
 -0.5945119
-0.550451672
-0.506745013
-0.463896085
-0.422348122
-0.382475187
-0.344578258
-0.308885065
-0.275553021
-0.244674524
-0.216283894
-0.190365309
-0.166861159
-0.14568035
-0.126706222
-0.109803803
-0.094826253
-0.081620414
-0.070031442
-0.059906544
-0.051097896
-0.043464801
-0.036875205
-0.031206656
-0.026346798
-0.02219351
-0.018654746
-0.015648169
-0.013100634
-0.010947566
-0.009132285
-0.0076053
-0.006323609
-0.005250015
-0.004352478
-0.003603507
-0.002979598
-0.002460725
-0.002029876
-0.001672647
-0.00137687
-0.001132297
-0.000930315
-0.000763703
-0.00062642
 -0.000513422
-0.000420504
-0.000344169
-0.000281513
-0.000230126
-0.000188015
-0.00015353
-0.00012531
-0.000102231
-8.336712E-05
-6.795807E-05
 T S S1 S2 S3 K r sigma d1 (S1)vsT d1 (S1)vsS d1(S2)vsT d1(S2)vsS d1(S3)vsT d1(S3)vsS
1 0.1 50 60 40 50 4% 20% 0.30 -30.77 1.21 -30.77 -0.82 -30.77
0.99 1 50 60 40 50 4% 20% 0.30 -19.26 1.21 -19.26 -0.82 -19.26
0.98 2 50 60 40 50 4% 20% 0.30 -15.79 1.22 -15.79 -0.83 -15.79
0.97 3 50 60 40 50 4% 20% 0.30 -13.77 1.22 -13.77 -0.84 -13.77
0.96 4 50 60 40 50 4% 20% 0.29 Gamma vs Time
-12.33 1.22 -12.33 -0.84 -12.33
0.95 5 50 60 40 50 4%
0.45 20% 0.29 -11.21 1.23 -11.21 -0.85 -11.21
0.94 6 50 60 40 50 4%0.4 20% 0.29 -10.30 1.23 -10.30 -0.86 -10.30
0.93 7 50 60 40 50 4% 20% 0.29 -9.53 1.23 -9.53 -0.87 -9.53
0.35
0.92 8 50 60 40 50 4% 20% 0.29 -8.86 1.24 -8.86 -0.88 -8.86
0.3
0.91 9 50 60 40 50 4% 20% 0.29 -8.27 1.24 -8.27 -0.88 -8.27
0.25 Gamma(ATM) vs Time
0.9 10 50 60 40 50 4% 20% 0.28 -7.75 1.25 -7.75 -0.89 -7.75
Gamma(ITM) vs Time
0.89 11 50 60 40 50 4% 20%
0.2 0.28 -7.27 1.25 -7.27 -0.90 -7.27
Gamma(OTM)vs Time
0.88 12 50 60 40 50 4%
0.15 20% 0.28 -6.84 1.25 -6.84 -0.91 -6.84
0.87 13 50 60 40 50 4%0.1 20% 0.28 -6.44 1.26 -6.44 -0.92 -6.44
0.86 14 50 60 40 50 4% 20% 0.28 -6.06 1.26 -6.06 -0.92 -6.06
0.05
0.85 15 50 60 40 50 4% 20% 0.28 -5.72 1.27 -5.72 -0.93 -5.72
0.84 16 50 60 40 50 4% 0020% 0.2 0.270.4 -5.40
0.6 0.8 1.27
1 -5.40
1.2 -0.94 -5.40
0.83 17 50 60 40 50 4% 20% 0.27 -5.09 1.27 -5.09 -0.95 -5.09
0.82 18 50 60 40 50 4% 20% 0.27 -4.81 1.28 -4.81 -0.96 -4.81
0.81 19 50 60 40 50 4% 20% 0.27 -4.54 1.28 -4.54 -0.97 -4.54
0.8 20 50 60 40 50 4% 20% 0.27 -4.28 1.29 -4.28 -0.98 -4.28
0.79 21 50 60 40 50 4% 20% 0.27 -4.04 1.29 -4.04 -0.99 -4.04
0.78 22 50 60 40 50 4% 20% 0.26 -3.80 1.30 -3.80 -1.00 -3.80
0.77 23 50 60 40 50 4% 20% 0.26 -3.58 1.30 -3.58 -1.01 -3.58
0.76 24 50 60 40 50 4% 20% 0.26 -3.37 1.31 -3.37 -1.02 -3.37
0.75 25 50 60 40 50 4% 20% 0.26 -3.17 1.31 -3.17 -1.03 -3.17
0.74 26 50 60 40 50 4% 20% 0.26 -2.97 1.32 -2.97 -1.04 -2.97
0.73 27 50 60 40 50 4% 20% 0.26 -2.78 1.32 -2.78 -1.05 -2.78
0.72 28 50 60 40 50 4% 20% 0.25 -2.60 1.33 -2.60 -1.06 -2.60
0.71 29 50 60 40 50 4% 20% 0.25 -2.42 1.33 -2.42 -1.07 -2.42
0.7 30 50 60 40 50 4% 20% 0.25 -2.25 1.34 -2.25 -1.08 -2.25
0.69 31 50 60 40 50 4% 20% 0.25 -2.09 1.35 -2.09 -1.09 -2.09
0.68 32 50 60 40 50 4% 20% 0.25 -1.93 1.35 -1.93 -1.11 -1.93
0.67 33 50 60 40 50 4% 20% 0.25 -1.78 1.36 -1.78 -1.12 -1.78
0.66 34 50 60 40 50 4% 20% 0.24 -1.63 1.37 -1.63 -1.13 -1.63
0.65 35 50 60 40 50 4% 20% 0.24 -1.48 1.37 -1.48 -1.14 -1.48
0.64 36 50 60 40 50 4% 20% 0.24 -1.34 1.38 -1.34 -1.15 -1.34
0.63 37 50 60 40 50 4% 20% 0.24 -1.21 1.39 -1.21 -1.17 -1.21
0.62 38 50 60 40 50 4% 20% 0.24 -1.07 1.39 -1.07 -1.18 -1.07
0.61 39 50 60 40 50 4% 20% 0.23 -0.94 1.40 -0.94 -1.19 -0.94
0.6 40 50 60 40 50 4% 20% 0.23 -0.82 1.41 -0.82 -1.21 -0.82
0.59 41 50 60 40 50 4% 20% 0.23 -0.69 1.42 -0.69 -1.22 -0.69
0.58 42 50 60 40 50 4% 20% 0.23 -0.57 1.43 -0.57 -1.24 -0.57
0.57 43 50 60 40 50 4% 20% 0.23 -0.45 1.43 -0.45 -1.25 -0.45
0.56 44 50 60 40 50 4% 20% 0.22 -0.34 1.44 -0.34 -1.27 -0.34
0.55 45 50 60 40 50 4% 20% 0.22 -0.23 1.45 -0.23 -1.28 -0.23
0.54 46 50 60 40 50 4% 20% 0.22 -0.12 1.46 -0.12 -1.30 -0.12
0.53 47 50 60 40 50 4% 20% 0.22 -0.01 1.47 -0.01 -1.31 -0.01
0.52 48 50 60 40 50 4% 20% 0.22 0.10 1.48 0.10 -1.33 0.10
0.51 49 50 60 40 50 4% 20% 0.21 0.20 1.49 0.20 -1.35 0.20
0.5 50 50 60 40 50 4% 20% 0.21 0.30 1.50 0.30 -1.37 0.30
0.49 51 50 60 40 50 4% 20% 0.21 0.40 1.51 0.40 -1.38 0.40
0.48 52 50 60 40 50 4% 20% 0.21 0.50 1.52 0.50 -1.40 0.50
0.47 53 50 60 40 50 4% 20% 0.21 0.59 1.54 0.59 -1.42 0.59
0.46 54 50 60 40 50 4% 20% 0.20 0.68 1.55 0.68 -1.44 0.68
0.45 55 50 60 40 50 4% 20% 0.20 0.78 1.56 0.78 -1.46 0.78
0.44 56 50 60 40 50 4% 20% 0.20 0.87 1.57 0.87 -1.48 0.87
0.43 57 50 60 40 50 4% 20% 0.20 0.96 1.59 0.96 -1.50 0.96
0.42 58 50 60 40 50 4% 20% 0.19 1.04 1.60 1.04 -1.53 1.04
0.41 59 50 60 40 50 4% 20% 0.19 1.13 1.62 1.13 -1.55 1.13
0.4 60 50 60 40 50 4% 20% 0.19 1.21 1.63 1.21 -1.57 1.21
0.39 61 50 60 40 50 4% 20% 0.19 1.29 1.65 1.29 -1.60 1.29
0.38 62 50 60 40 50 4% 20% 0.18 1.38 1.66 1.38 -1.63 1.38
0.37 63 50 60 40 50 4% 20% 0.18 1.46 1.68 1.46 -1.65 1.46
0.36 64 50 60 40 50 4% 20% 0.18 1.53 1.70 1.53 -1.68 1.53
0.35 65 50 60 40 50 4% 20% 0.18 1.61 1.72 1.61 -1.71 1.61
0.34 66 50 60 40 50 4% 20% 0.17 1.69 1.74 1.69 -1.74 1.69
0.33 67 50 60 40 50 4% 20% 0.17 1.76 1.76 1.76 -1.77 1.76
0.32 68 50 60 40 50 4% 20% 0.17 1.84 1.78 1.84 -1.80 1.84
0.31 69 50 60 40 50 4% 20% 0.17 1.91 1.80 1.91 -1.84 1.91
0.3 70 50 60 40 50 4% 20% 0.16 1.98 1.83 1.98 -1.87 1.98
0.29 71 50 60 40 50 4% 20% 0.16 2.05 1.85 2.05 -1.91 2.05
0.28 72 50 60 40 50 4% 20% 0.16 2.12 1.88 2.12 -1.95 2.12
0.27 73 50 60 40 50 4% 20% 0.16 2.19 1.91 2.19 -1.99 2.19
0.26 74 50 60 40 50 4% 20% 0.15 2.26 1.94 2.26 -2.04 2.26
0.25 75 50 60 40 50 4% 20% 0.15 2.33 1.97 2.33 -2.08 2.33
0.24 76 50 60 40 50 4% 20% 0.15 2.39 2.01 2.39 -2.13 2.39
0.23 77 50 60 40 50 4% 20% 0.14 2.46 2.04 2.46 -2.18 2.46
0.22 78 50 60 40 50 4% 20% 0.14 2.52 2.08 2.52 -2.24 2.52
0.21 79 50 60 40 50 4% 20% 0.14 2.59 2.13 2.59 -2.30 2.59
0.2 80 50 60 40 50 4% 20% 0.13 2.65 2.17 2.65 -2.36 2.65
0.19 81 50 60 40 50 4% 20% 0.13 2.71 2.22 2.71 -2.43 2.71
0.18 82 50 60 40 50 4% 20% 0.13 2.77 2.28 2.77 -2.50 2.77
0.17 83 50 60 40 50 4% 20% 0.12 2.83 2.33 2.83 -2.58 2.83
0.16 84 50 60 40 50 4% 20% 0.12 2.89 2.40 2.89 -2.67 2.89
0.15 85 50 60 40 50 4% 20% 0.12 2.95 2.47 2.95 -2.76 2.95
0.14 86 50 60 40 50 4% 20% 0.11 3.01 2.55 3.01 -2.87 3.01
0.13 87 50 60 40 50 4% 20% 0.11 3.07 2.64 3.07 -2.99 3.07
0.12 88 50 60 40 50 4% 20% 0.10 3.13 2.74 3.13 -3.12 3.13
0.11 89 50 60 40 50 4% 20% 0.10 3.18 2.85 3.18 -3.26 3.18
0.1 90 50 60 40 50 4% 20% 0.09 3.24 2.98 3.24 -3.43 3.24
0.09 91 50 60 40 50 4% 20% 0.09 3.29 3.13 3.29 -3.63 3.29
0.08 92 50 60 40 50 4% 20% 0.08 3.35 3.31 3.35 -3.86 3.35
0.07 93 50 60 40 50 4% 20% 0.08 3.40 3.52 3.40 -4.14 3.40
0.06 94 50 60 40 50 4% 20% 0.07 3.46 3.80 3.46 -4.48 3.46
0.05 95 50 60 40 50 4% 20% 0.07 3.51 4.14 3.51 -4.92 3.51
0.04 96 50 60 40 50 4% 20% 0.06 3.56 4.62 3.56 -5.52 3.56
0.03 97 50 60 40 50 4% 20% 0.05 3.61 5.32 3.61 -6.39 3.61
0.02 98 50 60 40 50 4% 20% 0.04 3.66 6.49 3.66 -7.85 3.66
0.01 99 50 60 40 50 4% 20% 0.03 3.72 9.15 3.72 -11.13 3.72
 Gamma(ATM) vs Time Gamma(ITM) vs Time Gamma(OTM)vs Time
Gamma vs Stock(ITM,ATM,OTM)
0.038138781546053 0.015957251810996 0.035754547895351 4.63213540081E-205
0.038348170476237 0.015977659062841 0.035725532965548 5.606218804535E-81
0.038560676221075
Gamma vs Stock(ITM,ATM,OTM)
0.015997538286963 0.035693782762025 6.741795955249E-55
0.05
0.038776378377383 0.016016861779946 0.035659200436071 4.639371046367E-42
0.045
0.038995359428753 0.016035600522327 0.035621685470113 4.925256418207E-34
0.04
0.039217704881734 0.016053724109677 0.035581133524191 1.99091698511E-28
0.035
0.039443503409965 0.016071200679626 0.035537436275643 3.010810041739E-24
0.03
0.039672847006797 0.016087996834579 0.035490481251709 5.381937382796E-21
0.025
0.039905831147002 0.016104077559834 0.035440151654768 2.185897372741E-18
0.02
0.040142554958225 0.01611940613681 0.035386326179912 3.01971760762E-16
ATM) vs Time 0.015
0.040383121402879 0.016133944051047 0.035328878824565 1.848977034907E-14
TM) vs Time 0.01
0.040627637471235 0.016147650894641 0.035267678689823 6.0201792240594E-13
OTM)vs Time 0.005
0.040876214386533 0.01616048426274 0.035202589773244 1.187012479606E-11
0
0.041128967823020 0.016172399643691
20 40
0.03513347075275
60 80
1.559583440966E-10
100 120
0.041386018137877 0.016183350302432 0.035060174761373 1.467611505015E-09
0.041647490618093 0.016193287156645 0.03498254915253 1.045722160176E-08
0.041913515743449 0.016202158645195 0.034900435255559 5.893568988111E-08
0.042184229466862 0.01620991058832 0.034813668121247 2.720233194273E-07
0.042459773513454 0.016216486039004 0.034722076257097 1.057570351324E-06
0.04274029569986 0.016221825124929 0.03462548135213 3.543841821403E-06
0.043025950275398 0.016225864880354 0.03452369799102 1.043175943862E-05
0.043316898286898 0.016228539067219 0.034416533357436 2.740629999877E-05
0.04361330796916 0.016229777984721 0.03430378692649 6.512607300219E-05
0.043915355163188 0.016229508266569 0.034185250146289 0.000141577446721
0.04422322376457 0.016227652665046 0.034060706108623 0.000284298713889
0.044537106204611 0.016224129820957 0.033929929208977 0.000531759973122
0.044857203967077 0.016218854018473 0.033792684796115 0.000933140044244
0.045183728143713 0.01621173492382 0.033648728811672 0.001545936724987
0.045516900032027 0.016202677306672 0.033497807420323 0.002431259164769
0.045856951779178 0.016191580743038 0.033339656631324 0.003647176824533
0.046204127076254 0.016178339298358 0.033174001912441 0.005240990402058
0.046558681907649 0.016162841189434 0.033000557797572 0.007241608265521
0.046920885360795 0.016144968423711 0.032819027489701 0.009653274504643
0.047291020502076 0.016124596414377 0.032629102461212 0.012451694406454
0.047669385325413 0.016101593569617 0.03243046205405 0.015583201248331
0.048056293780768 0.016075820854269 0.032222773082779 0.01896710792646
0.048452076890627 0.016047131322064 0.032005689444189 0.02250089969823
0.048857083963528 0.016015369616493 0.031778851737915 0.026067541598718
0.049271683914737 0.015980371438299 0.031541886903339 0.029543950100327
0.049696266705458 0.015941962977492 0.031294407879157 0.032809626484914
0.050131244913349 0.015899960307715 0.031036013293145 0.035754547895351
0.05057705544875 0.015854168740756 0.030766287191115 0.038285617791778
0.051034161432881 0.015804382138953 0.030484798815718 0.040331238821496
0.051503054256375 0.015750382183276 0.030191102447671 0.041843839268706
0.051984255839009 0.0156919375949 0.02988473732432 0.042800421285708
0.052478321114268 0.015628803308193 0.029565227653081 0.043201381058332
0.052985840765685 0.015560719593258 0.029232082740451 0.043067967884711
0.053507444245686 0.015487411126415 0.028884797260956 0.042438802297158
0.05404380311207 0.015408586007454 0.028522851694667 0.041365872230935
0.05459563472239 0.015323934723048 0.028145712966929 0.039910384523911
0.055163706332541 0.015233129056498 0.027752835329831 0.038138781546053
0.055748839652868 0.015135820945035 0.027343661531752 0.036119153190841
0.056351915923427 0.015031641287273 0.026917624329341 0.033918193968298
0.056973881579802 0.014920198705216 0.02647414840559 0.031598781565604
0.057615754592453 0.014801078267561 0.026012652768549 0.029218191935815
0.058278631576331 0.01467384018405 0.025532553717855 0.026826918997069
0.058963695783887 0.014538018484487 0.025033268480975 0.024468034541939
0.059672226114215 0.014393119701018 0.024514219638092 0.022177004693009
0.060405607294642 0.01423862157854 0.023974840474294 0.019981871070269
0.061165341419483 0.014073971846201 0.023414581420464 0.017903705270593
0.061953061065103 0.013898587093114 0.022832917770358 0.015957251810996
0.062770544242313 0.013711851804426 0.022229358891179 0.014151685104053
0.063619731498291 0.01351311763028 0.021603459178732 0.01249141843363
0.064502745543091 0.013301702981085 0.020954831046217 0.01097691581866
0.065421913853405 0.013076893068839 0.020283160277858 0.009605470039664
0.06637979480254 0.012837940547663 0.019588224124571 0.008371921271433
0.067379207985837 0.012584066948929 0.018869912567908 0.007269300333684
0.06842326956167 0.012314465159727 0.018128253229086 0.006289388392965
0.069515433618967 0.01202830326083 0.017363440449139 0.005423191046522
0.070659540824823 0.01172473012539 0.016575869109816 0.004661329227413
0.071859875916644 0.011402883286664 0.015766173795582 0.00399435249015
0.073121236004482 0.011061899717651 0.014935273904361 0.003412982196838
0.074449012171184 0.010700930333953 0.014084425282215 0.002908293157326
0.075849287542837 0.010319159240987 0.013215278861334 0.002471842601349
0.077328955908662 0.009915829006201 0.012329946586736 0.00209575516909
0.078895866181578 0.009490273554598 0.01143107457528 0.001772772063157
0.080558999627694 0.009041960668966 0.010521922890478 0.001496271742593
0.082328689028893 0.008570546527931 0.009606450439779 0.001260268662627
0.084216892033169 0.008075945229072 0.008689402173034 0.001059395650234
0.086237535274899 0.007558416795732 0.007776393802352 0.000888874610991
0.088406951992494 0.007018677693387 0.00687398644475 0.000744479424333
0.090744444731763 0.006458038257264 0.005989739632433 0.0006224941248
0.093273017714849 0.005878571412982 0.005132225742859 0.000519668797669
0.096020342854095 0.005283316209812 0.004310981827954 0.00043317504183
0.099020052948414 0.004676517192824 0.003536366055563 0.000360562368443
0.102313501653999 0.00406389516499 0.002819276097792 0.000299716504775
0.105952203386184 0.00345293419591 0.002170677683251 0.000248820250307
0.110001287145502 0.002853150279606 0.001600887568271 0.00020631727741
0.114544503104657 0.002276273622353 0.001118565243099 0.000170879072053
0.119691680757789 0.001736222541528 0.000729407642467 0.000141375061907
0.125590196705543 0.001248666957569 0.000434635520043 0.000116845871244
0.132443277192897 0.000829878616778 0.000229537861634 9.647956662371E-05
0.140540538153074 0.000494485418477 0.000102611183745 7.959070769503E-05
0.150311780147605 0.000251827266623 3.61150884442228E-05 6.560198787657E-05
0.162428354825054 0.000101184825492 8.86667823984943E-06 5.402823534642E-05
0.178011434957047 2.77576550168677E-05 1.22042703177883E-06 4.446254175597E-05
0.199112415097805 3.8882592145551E-06 6.07588406884044E-08 3.656429114579E-05
0.230018698039647 1.40806706059202E-07 3.92361435587639E-10 3.004887216546E-05
0.281841020675411 1.6953956231966E-10 1.50228194461348E-14 2.467887088568E-05
0.398762796762115 2.27615303363451E-19 6.48536002311071E-28 2.025655772502E-05
#DIV/0!
(ITM,ATM,OTM)

120
 T S S1 S2 S3 K r sigma d1 (S1)vsT d1 (S1)vsS d1(S2)vsT d1(S2)vsS d1(S3)vsT d1(S3)vsS
1 ### 50 60 40 50 4% 20% 0.30 -122.88 1.21 -122.88 -0.82 -122.88
0.99 1 50 60 40 50 4% 20% 0.30 -19.26 1.21 -19.26 -0.82 -19.26
0.98 2 50 60 40 50 4% 20% 0.30 -15.79 1.22 -15.79 -0.83 -15.79
0
0.97 3 50 60 40 50 4% 20% 0.30 -13.77 1.22 -13.77 -0.84 -13.77
0 0.2 0.4 0.6 0.8 1 1.2
0.96 4 50 60 -240 50 4% 20% 0.29 -12.33 1.22 -12.33 -0.84 -12.33
0.95 5 50 60 -440 50 4% 20% 0.29 -11.21 1.23 -11.21 -0.85 -11.21
0.94 6 50 60 40 50 4% 20% 0.29 -10.30 1.23 -10.30 -0.86 -10.30
-6
0.93 7 50 60 40 50 4% 20% 0.29 -9.53 1.23 -9.53 -0.87 -9.53
0.92 8 50 60 -840 50 4% 20% 0.29 -8.86 1.24 Theta(ATM)
-8.86 vs Time
-0.88 -8.86
0.91 9 50 60-1040 50 4% 20% 0.29 -8.27 1.24 Theta(ITM)
-8.27 vs Time
-0.88 -8.27
0.9 10 50 60 40 50 4% 20% 0.28 -7.75 1.25 Theta(OTM)vs
-7.75 -0.89
Time -7.75
-12
0.89 11 50 60 40 50 4% 20% 0.28 -7.27 1.25 -7.27 -0.90 -7.27
0.88 12 50 60-1440 50 4% 20% 0.28 -6.84 1.25 -6.84 -0.91 -6.84
0.87 13 50 60-1640 50 4% 20% 0.28 -6.44 1.26 -6.44 -0.92 -6.44
0.86 14 50 60 40 50 4% 20% 0.28 -6.06 1.26 -6.06 -0.92 -6.06
-18
0.85 15 50 60 40 50 4% 20% 0.28 -5.72 1.27 -5.72 -0.93 -5.72
0.84 16 50 60-2040 50 4% 20% 0.27 -5.40 1.27 -5.40 -0.94 -5.40
0.83 17 50 60 40 50 4% 20% 0.27 -5.09 1.27 -5.09 -0.95 -5.09
0.82 18 50 60 40 50 4% 20% 0.27 -4.81 1.28 -4.81 -0.96 -4.81
0.81 19 50 60 40 50 4% 20% 0.27 -4.54 1.28 -4.54 -0.97 -4.54
0.8 20 50 60 40 50 4% 20% 0.27 -4.28 1.29 -4.28 -0.98 -4.28
0.79 21 50 60 40 50 4% 20% 0.27 -4.04 1.29 -4.04 -0.99 -4.04
0.78 22 50 60 40 50 4% 20% 0.26 -3.80 1.30 -3.80 -1.00 -3.80
0.77 23 50 60 40 50 4% 20% 0.26 -3.58 1.30 -3.58 -1.01 -3.58
0.76 24 50 60 40 50 4% 20% 0.26 -3.37 1.31 -3.37 -1.02 -3.37
0.75 25 50 60 40 50 4% 20% 0.26 -3.17 1.31 -3.17 -1.03 -3.17
0.74 26 50 60 40 50 4% 20% 0.26 -2.97 1.32 -2.97 -1.04 -2.97
0.73 27 50 60 40 50 4% 20% 0.26 -2.78 1.32 -2.78 -1.05 -2.78
0.72 28 50 60 40 50 4% 20% 0.25 -2.60 1.33 -2.60 -1.06 -2.60
0.71 29 50 60 40 50 4% 20% 0.25 -2.42 1.33 -2.42 -1.07 -2.42
0.7 30 50 60 40 50 4% 20% 0.25 -2.25 1.34 -2.25 -1.08 -2.25
0.69 31 50 60 40 50 4% 20% 0.25 -2.09 1.35 -2.09 -1.09 -2.09
0.68 32 50 60 40 50 4% 20% 0.25 -1.93 1.35 -1.93 -1.11 -1.93
0.67 33 50 60 40 50 4% 20% 0.25 -1.78 1.36 -1.78 -1.12 -1.78
0.66 34 50 60 40 50 4% 20% 0.24 -1.63 1.37 -1.63 -1.13 -1.63
0.65 35 50 60 40 50 4% 20% 0.24 -1.48 1.37 -1.48 -1.14 -1.48
0.64 36 50 60 40 50 4% 20% 0.24 -1.34 1.38 -1.34 -1.15 -1.34
0.63 37 50 60 40 50 4% 20% 0.24 -1.21 1.39 -1.21 -1.17 -1.21
0.62 38 50 60 40 50 4% 20% 0.24 -1.07 1.39 -1.07 -1.18 -1.07
0.61 39 50 60 40 50 4% 20% 0.23 -0.94 1.40 -0.94 -1.19 -0.94
0.6 40 50 60 40 50 4% 20% 0.23 -0.82 1.41 -0.82 -1.21 -0.82
0.59 41 50 60 40 50 4% 20% 0.23 -0.69 1.42 -0.69 -1.22 -0.69
0.58 42 50 60 40 50 4% 20% 0.23 -0.57 1.43 -0.57 -1.24 -0.57
0.57 43 50 60 40 50 4% 20% 0.23 -0.45 1.43 -0.45 -1.25 -0.45
0.56 44 50 60 40 50 4% 20% 0.22 -0.34 1.44 -0.34 -1.27 -0.34
0.55 45 50 60 40 50 4% 20% 0.22 -0.23 1.45 -0.23 -1.28 -0.23
0.54 46 50 60 40 50 4% 20% 0.22 -0.12 1.46 -0.12 -1.30 -0.12
0.53 47 50 60 40 50 4% 20% 0.22 -0.01 1.47 -0.01 -1.31 -0.01
0.52 48 50 60 40 50 4% 20% 0.22 0.10 1.48 0.10 -1.33 0.10
0.51 49 50 60 40 50 4% 20% 0.21 0.20 1.49 0.20 -1.35 0.20
0.5 50 50 60 40 50 4% 20% 0.21 0.30 1.50 0.30 -1.37 0.30
0.49 51 50 60 40 50 4% 20% 0.21 0.40 1.51 0.40 -1.38 0.40
0.48 52 50 60 40 50 4% 20% 0.21 0.50 1.52 0.50 -1.40 0.50
0.47 53 50 60 40 50 4% 20% 0.21 0.59 1.54 0.59 -1.42 0.59
0.46 54 50 60 40 50 4% 20% 0.20 0.68 1.55 0.68 -1.44 0.68
0.45 55 50 60 40 50 4% 20% 0.20 0.78 1.56 0.78 -1.46 0.78
0.44 56 50 60 40 50 4% 20% 0.20 0.87 1.57 0.87 -1.48 0.87
0.43 57 50 60 40 50 4% 20% 0.20 0.96 1.59 0.96 -1.50 0.96
0.42 58 50 60 40 50 4% 20% 0.19 1.04 1.60 1.04 -1.53 1.04
0.41 59 50 60 40 50 4% 20% 0.19 1.13 1.62 1.13 -1.55 1.13
0.4 60 50 60 40 50 4% 20% 0.19 1.21 1.63 1.21 -1.57 1.21
0.39 61 50 60 40 50 4% 20% 0.19 1.29 1.65 1.29 -1.60 1.29
0.38 62 50 60 40 50 4% 20% 0.18 1.38 1.66 1.38 -1.63 1.38
0.37 63 50 60 40 50 4% 20% 0.18 1.46 1.68 1.46 -1.65 1.46
0.36 64 50 60 40 50 4% 20% 0.18 1.53 1.70 1.53 -1.68 1.53
0.35 65 50 60 40 50 4% 20% 0.18 1.61 1.72 1.61 -1.71 1.61
0.34 66 50 60 40 50 4% 20% 0.17 1.69 1.74 1.69 -1.74 1.69
0.33 67 50 60 40 50 4% 20% 0.17 1.76 1.76 1.76 -1.77 1.76
0.32 68 50 60 40 50 4% 20% 0.17 1.84 1.78 1.84 -1.80 1.84
0.31 69 50 60 40 50 4% 20% 0.17 1.91 1.80 1.91 -1.84 1.91
0.3 70 50 60 40 50 4% 20% 0.16 1.98 1.83 1.98 -1.87 1.98
0.29 71 50 60 40 50 4% 20% 0.16 2.05 1.85 2.05 -1.91 2.05
0.28 72 50 60 40 50 4% 20% 0.16 2.12 1.88 2.12 -1.95 2.12
0.27 73 50 60 40 50 4% 20% 0.16 2.19 1.91 2.19 -1.99 2.19
0.26 74 50 60 40 50 4% 20% 0.15 2.26 1.94 2.26 -2.04 2.26
0.25 75 50 60 40 50 4% 20% 0.15 2.33 1.97 2.33 -2.08 2.33
0.24 76 50 60 40 50 4% 20% 0.15 2.39 2.01 2.39 -2.13 2.39
0.23 77 50 60 40 50 4% 20% 0.14 2.46 2.04 2.46 -2.18 2.46
0.22 78 50 60 40 50 4% 20% 0.14 2.52 2.08 2.52 -2.24 2.52
0.21 79 50 60 40 50 4% 20% 0.14 2.59 2.13 2.59 -2.30 2.59
0.2 80 50 60 40 50 4% 20% 0.13 2.65 2.17 2.65 -2.36 2.65
0.19 81 50 60 40 50 4% 20% 0.13 2.71 2.22 2.71 -2.43 2.71
0.18 82 50 60 40 50 4% 20% 0.13 2.77 2.28 2.77 -2.50 2.77
0.17 83 50 60 40 50 4% 20% 0.12 2.83 2.33 2.83 -2.58 2.83
0.16 84 50 60 40 50 4% 20% 0.12 2.89 2.40 2.89 -2.67 2.89
0.15 85 50 60 40 50 4% 20% 0.12 2.95 2.47 2.95 -2.76 2.95
0.14 86 50 60 40 50 4% 20% 0.11 3.01 2.55 3.01 -2.87 3.01
0.13 87 50 60 40 50 4% 20% 0.11 3.07 2.64 3.07 -2.99 3.07
0.12 88 50 60 40 50 4% 20% 0.10 3.13 2.74 3.13 -3.12 3.13
0.11 89 50 60 40 50 4% 20% 0.10 3.18 2.85 3.18 -3.26 3.18
0.1 90 50 60 40 50 4% 20% 0.09 3.24 2.98 3.24 -3.43 3.24
0.09 91 50 60 40 50 4% 20% 0.09 3.29 3.13 3.29 -3.63 3.29
0.08 92 50 60 40 50 4% 20% 0.08 3.35 3.31 3.35 -3.86 3.35
0.07 93 50 60 40 50 4% 20% 0.08 3.40 3.52 3.40 -4.14 3.40
0.06 94 50 60 40 50 4% 20% 0.07 3.46 3.80 3.46 -4.48 3.46
0.05 95 50 60 40 50 4% 20% 0.07 3.51 4.14 3.51 -4.92 3.51
0.04 96 50 60 40 50 4% 20% 0.06 3.56 4.62 3.56 -5.52 3.56
0.03 97 50 60 40 50 4% 20% 0.05 3.61 5.32 3.61 -6.39 3.61
0.02 98 50 60 40 50 4% 20% 0.04 3.66 6.49 3.66 -7.85 3.66
0.01 99 50 60 40 50 4% 20% 0.03 3.72 9.15 3.72 -11.13 3.72
Theta(ATM) vs Time Theta(ITM) vs Time Theta(OTM)vs Time Theta vs Stock(ITM,ATM,OTM)
-2.94426084733504 -2.77099832255991 -1.44176332980707 -0.29761779715586
-2.95476279692708 -2.77499367841166 -1.43815971591918 -0.294368985653943
-2.96541849042648 -2.77897581379971 -1.4344438546907 -0.291101625393555
-2.97623187526517 -2.78294317274092 -1.43061236969529 -0.287815607508313
-2.98720704239029 -2.78689411430925 -1.42666176606038 -0.284510826951906
-2.99834823304368 -2.79082690789741 -1.4225884257926 -0.281187182886008
-3.00965984593705 -2.79473972818896 -1.41838860291004 -0.277844579096514
Theta vs Stock(ITM,ATM,OTM)
-3.0211464448502 -2.79863064982137 -1.41405841837454 -0.274482924440136
0
-3.03281276668236
0 20 40 -2.80249764171911
60 80 100 -1.40959385481679
120 -0.271102133323591
-3.04466372998868 -2.80633856107449 -1.40499075104736 -0.267702126217744
-0.5
-3.05670444403696 -2.8101511469519 -1.40024479634663 -0.264282830209321
-3.06894021842253 -2.81393301348994 -1.39535152452696 -0.260844179594136
-3.0813765732822
-1 -2.81768164267337 -1.39030630776036 -0.25738611653958
Theta vs
-3.09401925015214 -2.82139437664522 -1.38510435016551
Stock(ITM,ATM,OTM) -0.253908592136708
-3.1068742235181 -2.82506840952686
-1.5 -1.37974068114824 -0.250411570576648
-3.11994771311073 -2.82870077871164 -1.37421014849013 -0.246895053164913
-3.13324619700353 -2.83228835559501 -1.36850741118064 -0.243359198055973
-2
-3.14677642557614 -2.83582783570119 -1.362626931989 -0.23980480034532
-3.1605454364113 -2.8393157281636 -1.35656296977327 -0.236234859793279
-2.5
-3.17456057020011 -2.84274834451283 -1.35030957152509 -0.232658838101688
-3.18882948773739 -2.84612178672269 -1.34386056415062 -0.229102450726938
-3.2033601880965 -2.84943193446078 -1.33720954598954 -0.225627015815509
-3.21816102808152 -2.85267443148632 -1.33034987807703 -0.222362626413271
-3.23324074306442 -2.8558446711335 -1.32327467515573 -0.219557713845654
-3.24860846932506 -2.85893778081377 -1.31597679644845 -0.217643375508345
-3.26427376802411 -2.86194860546591 -1.30844883620619 -0.217304623965438
-3.28024665095162 -2.8648716898769 -1.30068311405046 -0.219544140095017
-3.29653760820886 -2.86770125979121 -1.29267166513469 -0.225719576745981
-3.31315763799749 -2.87043120171998 -1.28440623015574 -0.237535171056837
-3.33011827870805 -2.8730550413548 -1.27587824525393 -0.256973459925263
-3.3474316435208 -2.87556592048424 -1.2670788318492 -0.286162668464332
-3.36511045775457 -2.87795657230377 -1.2579987864711 -0.327187725861427
-3.38316809922528 -2.88021929500197 -1.24862857065245 -0.381864867132553
-3.40161864190526 -2.88234592349789 -1.23895830097084 -0.451508494387891
-3.42047690320702 -2.88432779919613 -1.22897773933858 -0.536722403828341
-3.43975849525258 -2.886155737617 -1.21867628366105 -0.63724501920891
-3.45947988053166 -2.88781999375074 -1.20804295900594 -0.751870679895957
-3.4796584323997 -2.88931022497521 -1.19706640945238 -0.878458105167653
-3.50031250092108 -2.89061545136737 -1.18573489081933 -1.01402515231356
-3.52146148462488 -2.89172401323039 -1.17403626450873 -1.15491806034438
-3.54312590881097 -2.89262352564906 -1.16195799274035 -1.29703515501153
-3.56532751112514 -2.89330082987906 -1.1494871355041 -1.43608037328241
-3.58808933521445 -2.89374194136873 -1.13661034961213 -1.56782107901917
-3.61143583338014 -2.89393199420732 -1.1233138902991 -1.68832700152162
-3.63539297926801 -2.89385518179123 -1.10958361589596 -1.79417185354289
-3.65998839177715 -2.89349469350078 -1.09540499619218 -1.882585233612
-3.6852514715312 -2.8928326471854 -1.08076312520595 -1.95154878820678
-3.71121355144578 -2.89185001726647 -1.06564273920326 -1.99983648273529
-3.7379080631457 -2.89052655828622 -1.05002824094882 -2.02700363995315
-3.76537072124243 -2.88884072376041 -1.03390373133643 -2.03333285012834
-3.79363972778213 -2.88676958023487 -1.01725304973873 -2.01974687460291
-3.82275599952682 -2.88428871650564 -1.00005982463934 -1.98769936965389
-3.85276342114461 -2.88137214804316 -0.982307536370618 -1.93905388369424
-3.88370912787384 -2.87799221677044 -0.96397959408147 -1.87596041714911
-3.91564382180362 -2.87411948648934 -0.945059429410427 -1.80073717690204
-3.94862212660028 -2.86972263443907 -0.925530609744495 -1.71576327371985
-3.98270298632775 -2.86476833971866 -0.905376974414067 -1.62338621979389
-4.01795011498956 -2.85922116962587 -0.884582797715852 -1.52584634457958
-4.05443250459669 -2.85304346537951 -0.863132983279283 -1.42521876300488
-4.09222500098499 -2.84619522922454 -0.841013295006798 -1.3233723525505
-4.1314089583245 -2.83863401560288 -0.818210630634159 -1.2219443355997
-4.17207298535466 -2.83031482994712 -0.794713344882264 -1.12232850207253
-4.21431379893533 -2.82119003977146 -0.770511630213085 -1.02567480686571
-4.25823720364323 -2.81120930415996 -0.745597964361813 -0.932897989187662
-4.30395922001931 -2.80031952956902 -0.719967635090296 -0.844692935814567
-4.3516073888835 -2.78846486217443 -0.693619353977749 -0.76155469916507
-4.40132228513818 -2.77558672993773 -0.666555972500192 -0.68380134099372
-4.45325928202272 -2.76162395130837 -0.638785315090347 -0.611598067795195
-4.5075906163098 -2.74651293223099 -0.610321145215548 -0.544981426863758
-4.56450781705636 -2.73018797915516 -0.581184281604584 -0.483882622065726
-4.6242245760503 -2.71258176337692 -0.551403882352315 -0.428149272179415
-4.68698015813758 -2.69362598168265 -0.521018914367054 -0.377565164197304
-4.75304347569104 -2.67325227040328 -0.490079823957549 -0.33186774579398
-4.82271798569593 -2.65139344519763 -0.458650420491529 -0.290763255096792
-4.896347613226 -2.6279851578188 -0.426809977853172 -0.253939504126961
-4.97432396563894 -2.60296808447033 -0.394655546254186 -0.221076418444428
-5.05709518361281 -2.57629078876792 -0.362304447522979 -0.191854494053601
-5.14517688685919 -2.54791343619068 -0.329896897139567 -0.165961368212175
-5.23916582676792 -2.5178125760361 -0.297598651699922 -0.143096718060479
-5.33975707447065 -2.48598724982596 -0.265603515503895 -0.122975704291075
-5.44776587987873 -2.45246672793216 -0.234135447366049 -0.105331170345833
-5.56415578002651 -2.41732021043587 -0.203449880007624 -0.089914794387948
-5.6900751842502 -2.38066883727104 -0.173833690571065 -0.076497374729774
-5.82690563316968 -2.34270030562762 -0.145603035193865 -0.064868412463302
-5.97632640557478 -2.30368623414326 -0.119097984570533 -0.054835140641103
-6.14040244888041 -2.26400204796613 -0.094672592491675 -0.046221140500535
-6.32170628532741 -2.22414842642033 -0.072678759678705 -0.038864685091386
-6.52349058522994 -2.18477200004172 -0.053442167284209 -0.032616962355657
-6.7499383364799 -2.14668062526039 -0.037228938711542 -0.027340355233261
-7.00653553072779 -2.11084470878225 -0.024203057765402 -0.022906994082428
-7.30064423831681 -2.07837026569186 -0.014377706976987 -0.019197835882409
-7.64241727499503 -2.05042195404308 -0.007569487578652 -0.016102536079968
-8.04632450565705 -2.02806808189267 -0.003373161567793 -0.013520302908586
-8.53384148381714 -2.01202426523606 -0.001183431800814 -0.011361668964619
-9.13851592027743 -2.00231190126026 -0.000289606698081 -0.009550607067865
-9.91637785716932 -1.99796117230183 -3.9731290735925E-05 -0.008025778384271
-10.9699531514514 -1.99707782724854 -1.9714358832942E-06 -0.00673954046406
-12.5135381237718 -1.99761144882302 -1.2687903069294E-08 -0.005654596806457
-15.1025257461184 -1.99840065193172 -4.8413019696233E-13 -0.004740317519721
-20.9457154398775 -1.99920015997867 -2.0827036304995E-26 -0.003970690445258
 T S S1 S2 S3 K r sigma d1 (S1)vsT d1 (S1)vsS d1(S2)vsT d1(S2)vsS d1(S3)vsT d1(S3)vsS
1 0.1 50 60 40 50 4% 20% 0.30 -30.77 1.21 -30.77 -0.82 -30.77
0.99 1 50 60 40 50 4% 20% 0.30 -19.26 1.21 -19.26 -0.82 -19.26
0.98 2 50 60 40 50 25
4% 20% 0.30 -15.79 1.22 -15.79 -0.83 -15.79
0.97 3 50 60 40 50 4% 20% 0.30 -13.77 1.22 -13.77 -0.84 -13.77
0.96 4 50 60 40 50 4%
20 20% 0.29 -12.33 1.22 -12.33 -0.84 -12.33
0.95 5 50 60 40 50 4% 20% 0.29 -11.21 1.23 -11.21 -0.85 -11.21 T
0.94 6 50 60 40 50 4% 20% 0.29 -10.30 1.23 -10.30 -0.86 -10.30 25
0.93 7 50 60 40 50 15
4% 20% 0.29 -9.53 1.23 -9.53 Theta(ATM)
-0.87 vs Time-9.53
0.92 8 50 60 40 50 4% 20% 0.29 -8.86 1.24 -8.86 Theta(ITM)
-0.88vs Time -8.86 20
0.91 9 50 60 40 50 4% 20%
10 0.29 -8.27 1.24 -8.27 Theta(OTM)vs
-0.88 Time-8.27
0.9 10 50 60 40 50 4% 20% 0.28 -7.75 1.25 -7.75 -0.89 -7.75 15
0.89 11 50 60 40 50 4% 20% 0.28 -7.27 1.25 -7.27 -0.90 -7.27
0.88 12 50 60 40 50 5
4% 20% 0.28 -6.84 1.25 -6.84 -0.91 -6.84 10
0.87 13 50 60 40 50 4% 20% 0.28 -6.44 1.26 -6.44 -0.92 -6.44
0.86 14 50 60 40 50 4%
0 20% 0.28 -6.06 1.26 -6.06 -0.92 -6.06
5
0.85 15 50 60 40 50 4%0 20%0.2 0.28 0.6 -5.72
0.4 0.8 11.27 1.2 -5.72 -0.93 -5.72
0.84 16 50 60 40 50 4% 20% 0.27 -5.40 1.27 -5.40 -0.94 -5.40
0
0.83 17 50 60 40 50 4% 20% 0.27 -5.09 1.27 -5.09 -0.95 -5.09
0 0.2
0.82 18 50 60 40 50 4% 20% 0.27 -4.81 1.28 -4.81 -0.96 -4.81
0.81 19 50 60 40 50 4% 20% 0.27 -4.54 1.28 -4.54 -0.97 -4.54
0.8 20 50 60 40 50 4% 20% 0.27 -4.28 1.29 -4.28 -0.98 -4.28
0.79 21 50 60 40 50 4% 20% 0.27 -4.04 1.29 -4.04 -0.99 -4.04
0.78 22 50 60 40 50 4% 20% 0.26 -3.80 1.30 -3.80 -1.00 -3.80
0.77 23 50 60 40 50 4% 20% 0.26 -3.58 1.30 -3.58 -1.01 -3.58
0.76 24 50 60 40 50 4% 20% 0.26 -3.37 1.31 -3.37 -1.02 -3.37
0.75 25 50 60 40 50 4% 20% 0.26 -3.17 1.31 -3.17 -1.03 -3.17
0.74 26 50 60 40 50 4% 20% 0.26 -2.97 1.32 -2.97 -1.04 -2.97
0.73 27 50 60 40 50 4% 20% 0.26 -2.78 1.32 -2.78 -1.05 -2.78
0.72 28 50 60 40 50 4% 20% 0.25 -2.60 1.33 -2.60 -1.06 -2.60
0.71 29 50 60 40 50 4% 20% 0.25 -2.42 1.33 -2.42 -1.07 -2.42
0.7 30 50 60 40 50 4% 20% 0.25 -2.25 1.34 -2.25 -1.08 -2.25
0.69 31 50 60 40 50 4% 20% 0.25 -2.09 1.35 -2.09 -1.09 -2.09
0.68 32 50 60 40 50 4% 20% 0.25 -1.93 1.35 -1.93 -1.11 -1.93
0.67 33 50 60 40 50 4% 20% 0.25 -1.78 1.36 -1.78 -1.12 -1.78
0.66 34 50 60 40 50 4% 20% 0.24 -1.63 1.37 -1.63 -1.13 -1.63
0.65 35 50 60 40 50 4% 20% 0.24 -1.48 1.37 -1.48 -1.14 -1.48
0.64 36 50 60 40 50 4% 20% 0.24 -1.34 1.38 -1.34 -1.15 -1.34
0.63 37 50 60 40 50 4% 20% 0.24 -1.21 1.39 -1.21 -1.17 -1.21
0.62 38 50 60 40 50 4% 20% 0.24 -1.07 1.39 -1.07 -1.18 -1.07
0.61 39 50 60 40 50 4% 20% 0.23 -0.94 1.40 -0.94 -1.19 -0.94
0.6 40 50 60 40 50 4% 20% 0.23 -0.82 1.41 -0.82 -1.21 -0.82
0.59 41 50 60 40 50 4% 20% 0.23 -0.69 1.42 -0.69 -1.22 -0.69
0.58 42 50 60 40 50 4% 20% 0.23 -0.57 1.43 -0.57 -1.24 -0.57
0.57 43 50 60 40 50 4% 20% 0.23 -0.45 1.43 -0.45 -1.25 -0.45
0.56 44 50 60 40 50 4% 20% 0.22 -0.34 1.44 -0.34 -1.27 -0.34
0.55 45 50 60 40 50 4% 20% 0.22 -0.23 1.45 -0.23 -1.28 -0.23
0.54 46 50 60 40 50 4% 20% 0.22 -0.12 1.46 -0.12 -1.30 -0.12
0.53 47 50 60 40 50 4% 20% 0.22 -0.01 1.47 -0.01 -1.31 -0.01
0.52 48 50 60 40 50 4% 20% 0.22 0.10 1.48 0.10 -1.33 0.10
0.51 49 50 60 40 50 4% 20% 0.21 0.20 1.49 0.20 -1.35 0.20
0.5 50 50 60 40 50 4% 20% 0.21 0.30 1.50 0.30 -1.37 0.30
0.49 51 50 60 40 50 4% 20% 0.21 0.40 1.51 0.40 -1.38 0.40
0.48 52 50 60 40 50 4% 20% 0.21 0.50 1.52 0.50 -1.40 0.50
0.47 53 50 60 40 50 4% 20% 0.21 0.59 1.54 0.59 -1.42 0.59
0.46 54 50 60 40 50 4% 20% 0.20 0.68 1.55 0.68 -1.44 0.68
0.45 55 50 60 40 50 4% 20% 0.20 0.78 1.56 0.78 -1.46 0.78
0.44 56 50 60 40 50 4% 20% 0.20 0.87 1.57 0.87 -1.48 0.87
0.43 57 50 60 40 50 4% 20% 0.20 0.96 1.59 0.96 -1.50 0.96
0.42 58 50 60 40 50 4% 20% 0.19 1.04 1.60 1.04 -1.53 1.04
0.41 59 50 60 40 50 4% 20% 0.19 1.13 1.62 1.13 -1.55 1.13
0.4 60 50 60 40 50 4% 20% 0.19 1.21 1.63 1.21 -1.57 1.21
0.39 61 50 60 40 50 4% 20% 0.19 1.29 1.65 1.29 -1.60 1.29
0.38 62 50 60 40 50 4% 20% 0.18 1.38 1.66 1.38 -1.63 1.38
0.37 63 50 60 40 50 4% 20% 0.18 1.46 1.68 1.46 -1.65 1.46
0.36 64 50 60 40 50 4% 20% 0.18 1.53 1.70 1.53 -1.68 1.53
0.35 65 50 60 40 50 4% 20% 0.18 1.61 1.72 1.61 -1.71 1.61
0.34 66 50 60 40 50 4% 20% 0.17 1.69 1.74 1.69 -1.74 1.69
0.33 67 50 60 40 50 4% 20% 0.17 1.76 1.76 1.76 -1.77 1.76
0.32 68 50 60 40 50 4% 20% 0.17 1.84 1.78 1.84 -1.80 1.84
0.31 69 50 60 40 50 4% 20% 0.17 1.91 1.80 1.91 -1.84 1.91
0.3 70 50 60 40 50 4% 20% 0.16 1.98 1.83 1.98 -1.87 1.98
0.29 71 50 60 40 50 4% 20% 0.16 2.05 1.85 2.05 -1.91 2.05
0.28 72 50 60 40 50 4% 20% 0.16 2.12 1.88 2.12 -1.95 2.12
0.27 73 50 60 40 50 4% 20% 0.16 2.19 1.91 2.19 -1.99 2.19
0.26 74 50 60 40 50 4% 20% 0.15 2.26 1.94 2.26 -2.04 2.26
0.25 75 50 60 40 50 4% 20% 0.15 2.33 1.97 2.33 -2.08 2.33
0.24 76 50 60 40 50 4% 20% 0.15 2.39 2.01 2.39 -2.13 2.39
0.23 77 50 60 40 50 4% 20% 0.14 2.46 2.04 2.46 -2.18 2.46
0.22 78 50 60 40 50 4% 20% 0.14 2.52 2.08 2.52 -2.24 2.52
0.21 79 50 60 40 50 4% 20% 0.14 2.59 2.13 2.59 -2.30 2.59
0.2 80 50 60 40 50 4% 20% 0.13 2.65 2.17 2.65 -2.36 2.65
0.19 81 50 60 40 50 4% 20% 0.13 2.71 2.22 2.71 -2.43 2.71
0.18 82 50 60 40 50 4% 20% 0.13 2.77 2.28 2.77 -2.50 2.77
0.17 83 50 60 40 50 4% 20% 0.12 2.83 2.33 2.83 -2.58 2.83
0.16 84 50 60 40 50 4% 20% 0.12 2.89 2.40 2.89 -2.67 2.89
0.15 85 50 60 40 50 4% 20% 0.12 2.95 2.47 2.95 -2.76 2.95
0.14 86 50 60 40 50 4% 20% 0.11 3.01 2.55 3.01 -2.87 3.01
0.13 87 50 60 40 50 4% 20% 0.11 3.07 2.64 3.07 -2.99 3.07
0.12 88 50 60 40 50 4% 20% 0.10 3.13 2.74 3.13 -3.12 3.13
0.11 89 50 60 40 50 4% 20% 0.10 3.18 2.85 3.18 -3.26 3.18
0.1 90 50 60 40 50 4% 20% 0.09 3.24 2.98 3.24 -3.43 3.24
0.09 91 50 60 40 50 4% 20% 0.09 3.29 3.13 3.29 -3.63 3.29
0.08 92 50 60 40 50 4% 20% 0.08 3.35 3.31 3.35 -3.86 3.35
0.07 93 50 60 40 50 4% 20% 0.08 3.40 3.52 3.40 -4.14 3.40
0.06 94 50 60 40 50 4% 20% 0.07 3.46 3.80 3.46 -4.48 3.46
0.05 95 50 60 40 50 4% 20% 0.07 3.51 4.14 3.51 -4.92 3.51
0.04 96 50 60 40 50 4% 20% 0.06 3.56 4.62 3.56 -5.52 3.56
0.03 97 50 60 40 50 4% 20% 0.05 3.61 5.32 3.61 -6.39 3.61
0.02 98 50 60 40 50 4% 20% 0.04 3.66 6.49 3.66 -7.85 3.66
0.01 99 50 60 40 50 4% 20% 0.03 3.72 9.15 3.72 -11.13 3.72
Theta(ATM) vs Time Theta(ITM) vs Time Theta(OTM)vs Time Theta vs Stock(ITM,ATM,OTM)
19.0693907730262 11.4892213039172 11.4414553265121 4.63213540081305E-205
18.9823443857374 11.3888753799927 11.3178488434855 5.60621880453544E-80
18.8947313483267 11.2878630152812 11.193570274171 1.34835919104979E-53
18.8065435130309 11.186176267114 11.0686158153564 1.39181131391023E-40
18.7177725258012 11.083807081032 10.9429817764186 1.9701025672827E-32
Theta vs Stock(ITM,ATM,OTM)
18.6284098188234 10.9807472910188 10.8166645913539 9.95458492554762E-27
25 18.5384466026837 10.8769886199708 10.6896608317134 1.80648602504347E-22
18.4478738581608 10.7725226804338 10.5619672205087 3.76735616795702E-19
20 18.3566823276207 10.6673409756338 10.4335806471636 1.74871789819253E-16
18.2648625059922 10.5614349008377 10.3044981835905 2.71774584685789E-14
15 18.1724046312957 10.4547957450782 10.1747171014746 1.84897703490669E-12
18.0792986746995 10.3474146932861 10.0442348908616
Theta vs 6.62219714646534E-11
17.9855343300744 10.2392828288717 Stock(ITM,ATM,OTM)
9.91304928014541 1.42441497552733E-09
10
17.8911010030138 10.1303911368078 9.78115825756564 2.02745847325639E-08
17.795987799287 10.0207305072657 9.64856009432995 2.0546561070208E-07
5
17.7001835126893 9.91029173986666 9.51525336948822 1.5685832402644E-06
17.6036766122486 9.79906554861415 9.38123699669434 9.42971038097683E-06
0
17.5064552287476 9.68704256758024 9.24651025300308 4.62439643026445E-05
0 0.2 0.4 0.6 0.8 1 1.2
17.4085071405161 9.57421335742792 9.11107280986213 0.000190362663238
17.3098197584434 9.4605684128585 8.97492476647196 0.000673329946066
17.2103801101593 9.34609817108401 8.83806668570106 0.002086351887724
17.1101748233248 9.23079302143397 8.70049963275967 0.005755322999741
17.0091901079726 9.114643316219 8.56222521685197 0.014327736060482
16.9074117378274 8.99763938298576 8.4232456360456 0.03256281274578
16.8048250305367 8.87977153831329 8.28356372561714 0.068231691333475
16.7014148267292 8.76103010331665 8.14318301015441 0.132939993280492
16.5971654678184 8.6414054210423 8.00210775971997 0.242616411503471
16.4920607724553 8.52088787596 7.8603430504065 0.417402915746569
16.3860840115296 8.39946791577891 7.71789482964239 0.680752566135415
16.279217881608 8.27713607584085 7.57476998663685 1.05768127911454
16.1714444766887 8.1538830063726 7.4309764283868 1.57229712061733
16.0627452581388 8.02969950291073 7.28652316170386 2.24489856231149
15.9531010226704 7.90457654024866 7.14142038175891 3.08904784148591
15.8424918681954 7.77850531029552 6.99567956768375 4.10905915412991
15.7308971573863 7.6514772642819 6.8493135858154 5.29828842443236
15.6182954787494 7.52348415979807 6.70233680121792 6.63848777426107
15.5046646050006 7.39451811320722 6.55476519816992 8.10032389136262
15.3899814485113 7.26457165804105 6.40661651036359 9.64499039152546
15.2742220135685 7.13363781005642 6.25791036162243 11.2267010381242
15.1573613451647 7.00171013971425 6.10866841801145 12.7957543291165
15.0393734740046 6.86878285293299 5.95891455228374 14.3018191581402
14.9202313573813 6.73485088107316 5.80867502168251 15.6971032946289
14.7999068155354 6.59990998122664 5.65797866019717 16.9391203050281
14.6783704630668 6.46395684801654 5.50685708645512 17.9928508855437
14.5555916349226 6.32698923826363 5.35534492851821 18.8321853657115
14.4315383064237 6.18900611004447 5.20348006694227 19.4406214762495
14.3061770067348 6.05000777785869 5.0513038975499 19.8112652269671
14.1794727251068 5.90999608583982 4.8988616154582 19.9462370796642
14.0513888091381 5.76897460119062 4.74620252199257 19.8556186708488
13.9218868542095 5.62694883030305 4.59338035620277 19.5560884167164
13.7909265831353 5.48392646033921 4.4404536527729 19.0693907730262
13.6584657149526 5.33991762940833 4.28748612817869 18.4207681273287
13.5244598216224 5.19493522888142 4.13454709698672 17.6374608635151
13.3888621712534 5.04899524184493 3.98171192020073 16.74735422977
13.2516235562642 4.90211712221629 3.82906248753041 15.7778236453398
13.1126921046746 4.75432421963219 3.67668773537113 14.754805448388
12.9720130724551 4.60564425588559 3.52468420212128 13.7020993434855
12.8295286145561 4.45610985943508 3.37315662220141 12.6408926750148
12.6851775318748 4.30575916535052 3.22221855974507 11.5894852207559
12.538894990994 4.15463648899855 3.07199308236482 10.5631861096499
12.3906122130206 4.00279308281694 2.92261347460578 9.57435108659768
12.240256127251 3.85028798668266 2.77422398961916 8.63252791347209
12.0877489846752 3.6971889836445 2.62698063613384 7.74467942885054
11.9330079254719 3.54357367416111 2.48105199587205 6.91545696575566
11.7759444936129 3.38953068344304 2.33662006400922 6.14750082538484
11.6164640904445 3.23516101801097 2.1938811019519 5.44174882643141
11.4544653575923 3.08057958909788 2.05304648738841 4.79773822023144
11.2898394776756 2.92591692195112 1.91434354099149 4.21389022328672
11.1224693790348 2.77132107129519 1.77801630199183 3.68776991163521
10.9522288278476 2.61695976398694 1.64432621569369 3.21631716691483
10.7789813874965 2.46302278991929 1.51355268437589 2.79604674310528
10.6025792206498 2.30972466104557 1.38599341832473 2.42321735975466
10.4228617039657 2.15730755532497 1.26196450528643 2.09397107327485
10.2396538182829 2.00604455644787 1.14180009361921 1.80444509898469
10.052764268126 1.85624318996085 1.02585155601639 1.55085882512691
9.86198327269721 1.70824923982761 0.914485966022393 1.32957904736781
9.66707995532329 1.56245080359729 0.808083677988674 1.13716652437051
9.46779923832268 1.41928250502534 0.707034752367728 0.97040687022246
9.2638581236485 1.27922972428507 0.611733912981566 0.826328607182333
9.0549412038643 1.14283261951472 0.522573663518045 0.702210942682898
8.84069519924938 1.01068958784776 0.439935132464003 0.595583539466543
8.62072224951743 0.883459633593695 0.364176169651932 0.504220241087663
8.39457159433636 0.761862855122522 0.295616202788672 0.426128414088307
8.16172914259806 0.646677904080943 0.234517411440687 0.35953528471895
7.9216042358731 0.53873478061334 0.181061942044848 0.302872389492229
7.67351262404986 0.438900677818907 0.135325252693998 0.254759029058747
7.41665423703287 0.348055766947676 0.097246360209643 0.213985415263958
7.15008366445757 0.267054866171099 0.066596922840084 0.179496031346319
6.87267018627935 0.196670040971315 0.042952905335016 0.150373583406815
6.58304244167833 0.137508825289012 0.025675149014838 0.12582380509756
6.2795098352771 0.089904020944967 0.013908336641378 0.105161284119892
5.9599474736803 0.053776134367183 0.006610690415052 0.087796405627573
5.62162152612291 0.028482360104274 0.002626846303863 0.073223451079428
5.26091230516613 0.012692094237787 0.000808977981151 0.061009848725207
4.87285064475156 0.004371184461236 0.000170240222205 0.050786541225638
4.4502858739261 0.000999275580607 1.9526832508461E-05 0.042239414668174
3.98224830195603 0.000111981865379 7.77713160811561E-07 0.035101719499955
3.45028047059462 3.041424850879E-06 3.76666978164124E-09 0.029147406000495
2.818410206754 2.441369697403E-09 9.61460444552588E-14 0.024185293467963
1.99381398381042 1.638830184217E-18 2.07531520739527E-27 0.020053992147767