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Starting

Position
$60.00
$62.00
20%
10%
5%
20

Prices from

18

16

14

12

10

Years to Maturity T =

0.385

0.346

0.308

0.269

0.231

0.192

Black-Scholes BS =
Delta D =

0.481

Stock Price S =
Strike Price K =
Volatility V =
Expected Return Rtn =
Risk-free Rate Rf =
Weeks to Maturity =

0.20
0.10
$62

$60

$57

$55

$52

$50

0.00

0.130
0.156
Weeks to Expiry =
54.167
65.000
1.00

$50

0.053

0.034

0.017

0.005

$51

0.080

0.055

0.031

0.90
0.012

$52

0.116

0.086

0.052

$54

0.160

0.126

0.084

$55

0.212

0.176

$56

0.269

$57

0.001
0.002
Delta
versus Stock Price

0.023

0.005

0.041

0.011

0.127

0.071
0.70

0.023

0.235

0.183

0.113

0.043

0.329

0.301

0.250

0.171

0.076

$58

0.388

0.370

0.326

0.244
0.50

0.126

$60

0.442

0.439

0.408

0.330

0.195

$61

0.489

0.501

0.488

$62

0.524

0.553

0.562

$63

0.547

0.591

0.623

$64

0.556

0.613

0.668

$66

0.550

0.618

0.692

$67

0.532

0.606

$68

0.503

0.579

$69

0.466

0.60

0.40

0.426

0.284

0.524
0.30

0.391

0.616

0.509

0.20

0.696

0.629

0.755
0.10

0.742

0.789

0.834

0.677

0.00
0.796

0.899

0.641

0.776

Stock Price
0.695

0.540

0.80

0.928

$70

0.423

0.493

0.591

0.733

0.922

$72

0.376

0.440

0.532

0.672

0.883

$73

0.329

0.384

0.467

0.599

0.815

$74

0.282

0.329

0.401

0.519

0.728

$75

0.239

0.277

0.336

0.438

0.630

$76

0.199

0.229

0.277

0.361

0.528

$78

0.163

0.186

0.223

0.290

0.430

$79

0.132

0.148

0.176

0.229

0.341

$80

0.105

0.117

0.137

0.176

0.263

$50

0.052

0.041

0.029

0.019

0.011

$51

0.078

0.063

0.048

0.034

0.021

$52

0.111

0.093

0.075

0.057

0.039

$54

0.151

0.132

0.111

0.089

0.066

$55

0.200

0.179

0.157

0.132

0.105

$56

0.255

0.235

0.212

0.186

0.157

$57

0.316

0.297

0.276

0.251

0.222

$58

0.381

0.365

0.346

0.325

0.299

$60

0.448

0.436

0.421

0.404

0.383

$61

0.516

0.507

0.497

0.486

0.472

$62

0.582

0.577

0.572

0.567

0.561

$63

0.644

0.643

0.643

0.643

0.645

$57

0.30

0.111
46.429

10

$55

0.40

0.098

40.625

$52

0.50

12

$50

0.60

36.111

$79

0.70

14

$76

0.80

0.087

16

$74

Distribution of Stock Prices

0.078

32.500

$72

0.90

18

$69

1.00

inc =

Change the stuff inside the


boxes
See:
http://www.gummy-stuff.org/hedging.htm

$67

B=

$80
2

$2.59

$64

A=

Weeks to Expiry =

$50
to
Decrement weeks by

$64

0.701

0.704

0.708

0.713

0.721

$66

0.754

0.759

0.766

0.775

0.787

$67

0.799

0.807

0.816

0.827

0.842

$68

0.839

0.848

0.858

0.871

0.886

$69

0.873

0.882

0.893

0.905

0.920

$70

0.901

0.910

0.920

0.932

0.945

$72

0.924

0.932

0.942

0.952

0.964

$73

0.942

0.950

0.958

0.967

0.976

$74

0.956

0.963

0.970

0.978

0.985

$75

0.968

0.973

0.979

0.985

0.991

$76

0.976

0.981

0.986

0.990

0.994

$78

0.983

0.987

0.990

0.994

0.997

$79

0.988

0.991

0.994

0.996

0.998

$80

0.991

0.994

0.996

0.998

0.999

$50

$2.59

$2.59

$2.59

$2.59

$2.59

$51

$2.59

$2.59

$2.59

$2.59

$2.59

$52

$2.59

$2.59

$2.59

$2.59

$2.59

$54

$2.59

$2.59

$2.59

$2.59

$2.59

$55

$2.59

$2.59

$2.59

$2.59

$2.59

$56

$2.59

$2.59

$2.59

$2.59

$2.59

$57

$2.59

$2.59

$2.59

$2.59

$2.59

$58

$2.59

$2.59

$2.59

$2.59

$2.59

$60

$2.59

$2.59

$2.59

$2.59

$2.59

$61

$2.59

$2.59

$2.59

$2.59

$2.59

$62

$2.59

$2.59

$2.59

$2.59

$2.59

$63

$2.59

$2.59

$2.59

$2.59

$2.59

$64

$2.59

$2.59

$2.59

$2.59

$2.59

$66

$0.28

$0.28

$0.28

$0.28

$1.28

$67

-$0.14

-$0.14

-$0.14

-$0.14

$0.86

$68

-$0.56

-$0.56

-$0.56

-$0.56

$0.44

$69

-$0.98

-$0.98

-$0.98

-$0.98

-$0.98

$70

-$1.41

-$1.41

-$1.41

-$1.41

-$1.41

$72

-$1.83

-$1.83

-$1.83

-$1.83

-$1.83

$73

-$3.25

-$2.25

-$2.25

-$2.25

-$2.25

$74

-$3.67

-$3.67

-$2.67

-$2.67

-$2.67

$75

-$4.10

-$4.10

-$4.10

-$3.10

-$3.10

$76

-$4.52

-$4.52

-$4.52

-$4.52

-$4.52

$78

-$4.94

-$4.94

-$4.94

-$4.94

-$4.94

$79

-$5.36

-$5.36

-$5.36

-$5.36

-$5.36

$80

-$6.79

-$5.79

-$5.79

-$5.79

-$5.79

1.2
$4.00
$2.00

Distribution of Gains after 2 weeks


$79

$76

$74

$72

$69

$67

$64

$62

$60

$57

$55

$52

$50

$0.00
-$2.00
-$4.00
-$6.00

Distribution of Gains after 2 weeks

-$8.00

18

16

14

12

10

versus Stock Price

$79

$76

$74

$72

$69

$67

$64

$62

$60

$57

Stock Price