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Version 2.

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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
To stay up to date with changes to this workbook and other modifications to the website, please feel free
to subscribe:
http://www.optiontradingtips.com/subscribe.html
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.

Troubleshooting
You will need to have Macros enabled for the calculations to work.
Follow the steps below to enable Macros:
Excel 97 - 2003
Go to Tools/Options
Click on the Security tab
Go to Macro Security
Change the setting to Medium
Close and reopen the workbook. It will ask you if you want to enable Macros, click Yes
Excel 2007
First, make sure that you can see the Developer tab
If there is no Developer tab, click on the Office icon to the top left of the application
and choose Excel Options, which is located at the bottom right of the popup.
Now click on Popular at the top left. Check the box titled "Show developer tab in the ribbon".
Now, click on the Developer tab.
Click on Macro Security.
Select "Disable all macros with notification" and press ok.
Close and reopen spreadsheet.
Now you should see a Security Warning appear in the toolbar
that reads "Macros have been disabled". Click on the options button.
Select "Enable this content" and press ok.

Release Updates
11/06/07 - Fixed a bug on the OptionStrategies tab. The greeks for Stock positions were previously displaying
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 OptionStrateg
worksheet.

so you may examine n the ribbon".com website ease feel free to email e website.ation in options trading. d to price options on futures . please feel free closed. a near perfect accuracy. nTradingTips. r stocks in the strategies tab. tions were previously displaying as Put options.

e "override premium" ce of the option.r the same expiration alues are in the blue g in the market price of e option's market value ulations. egy while referencing the the cell A17 in the OptionStrategies . t a negative number for sell tures position. the OptionPage worksheet. Or you can just w the payoff/risk graphs.

0. your return on cash held in the bank Dividened Yield 0. the closing price of Microsft Stock Exercise Price 1000 The price at which the underlying instrument will be exchanged.5041 -0. Also called Strike Pric Today's Date 9/19/2012 Expiry Date 10/12/2012 The Date which the contract expires Historical Volatility 20% The Historical Volatility of the asset's returns Risk Free Rate 5.OptionTradingTips.3235 -0.3675 The amount that the theoretical price will change when 1 day passes.00% The current risk free interest rate i.0079 The amount that the Delta will change if the market moves up/down 1 po -0.http://www.e.5350 -0.0079 0.9976 0.3046 The amount that the theoretical price will change if interest rates move u .com Underlying Price 1000 The current base price of the instrument.06 Theoretical Price Delta Gamma Theta Vega Rho Call Option Put Option 21.4650 The amount that the theoretical price will change if the market moves up 0.4618 0.6075 18.9976 The amount that the theoretical price will change if the volatility of the as 0. eg.00% The Annualized Dividend Growth Rate of the Stock DTE (Years) 0.

eg. oretical price will change if the volatility of the asset moves up/down by 1 percentage point oretical price will change if interest rates move up/down by 1 percentage point . the closing price of Microsft Stock rument will be exchanged.ent. Also called Strike Price your return on cash held in the bank oretical price will change if the market moves up/down 1 point lta will change if the market moves up/down 1 point oretical price will change when 1 day passes.

92 0.00% 0.0099 -0.0206 -0.00% 0.00% 14-Oct-12 3.0149 0.18 0.00% 0.25. Call Options Implied Option Greeks Volatility Delta Gamma Vega Theta Rho 0.0103 0.0149 0.50 24.72 0.00% 0.Blue cells are the calculated outputs This worksheet allows you to price multiple strikes for calls and puts with the same Underlying Price.27 0.00 24.12 0.87 0.0163 0.00 19-Sep-12 30.59 2.0261 -0.77% 0.58% 0.40 0.16 1.00 23.07 Strike Prices 22.12 <-.0053 0.0249 -0.96% 0.25 0.0163 0.0079 0.2030 0.75 1.50 Underlying Price Today's Date Historical Volatility Expiry Date Risk Free Rate Dividend Yield DTE DTE in Years ITM ITM ITM ITM ITM ATM OTM OTM OTM OTM OTM Theoretical Market Price Price 2.Yellow cells are for user input <-.1322 0.0183 -0.0083 0.0222 -0.79 0.0236 -0.62 0.50% 2.00% 25 0.33 0.19% 0.38 1.52 0.1839 0.50 26.0256 -0.0040 0.18 0.0099 0. you can customise your you like by using the formulas provided.80 0.39% 0.06 0.0769 0.50 27.0029 0.0140 -0.00% 0.0020 .00 26.0134 0.1092 0.00 27.00 25.0139 0.1602 0.0168 0.50 23.0084 0.1035 0.0113 0.1937 0.50 25.00% 0.1992 0.1428 0.1725 0.0129 0.0068 0.0170 -0. Remember.0133 -0.0125 0.0127 0.42 0.58 0.0106 0.

0140 0.0124 0.0087 -0.88 0.05 1.58 0.67 0.23 0.08 0.01% -0.00% -0.00% -0.0133 -0.0099 -0.0769 0.0057 0.0156 -0.50 25. Remember.36 0.1602 0.0249 -0.0206 -0.13 0.74 2.50 OTM OTM OTM OTM OTM ATM ITM ITM ITM ITM ITM Theoretical Market Price Price 0.00 23. you can customise your own workbook any way Strike Prices 22.0168 .0261 -0.0051 -0.42% -0.48 0.0222 -0.1992 0.00 24.77 1.00 26.22% -0.0080 0.38 0.0144 0.82 0.00 27.0140 -0.64% -0.50 26.20 0.0056 Rho -0.0126 0.1322 0.1092 0.1035 0.0105 0.54 0.0024 -0.0068 -0.00 25.0106 -0.50 24.28 0.58 Put Options Implied Option Greeks Volatility Delta Gamma Vega Theta 1.15 2.0081 0.0104 0.1725 0.50 27.00% -0.50 23.0141 -0.00% -0.08 0.0170 -0.0256 -0.86% -0.0236 -0.1428 0.0014 -0.0036 -0.00% -0.1839 0.2030 0.75 0.09% -0.38 1.1937 0.rice multiple strikes for calls and puts for the same Expiry e.0124 -0.0183 -0.0139 0.14 0.

00 0.00 23 -2.00 0.00 30 5.79 0.00 0.77 -1 Call 25 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.02 -0.00 0.00 0.00 0.00 0.00 0.00 0.00 -1.00 0.00 0.00 21 -4.00 0.79 0.00 0.21 0.77 1.00 0.00 -5.00 0.00 0.00 0.00 -2.00 0.00 0.00 0.00 0.00 0.00 27 2.00 0.00 0.00 0.00 -0.00 0.00 1.00 0.00 0.00 0.00 0.00 Profit / Loss at Expiration 2.65 0.00 0.00 25 0.00 0.00 20 21 22 23 24 25 26 27 28 29 30 -1.00 0.00 0.00 0.00 Graph Increment 1.00 22 -3.00 0.00 0.00 0.79 0.21 0.00 0.00 0.00 0.00 0.00 24 -1.00 0.00 0.00 0.00 26 1.00 0.52 -0.00 P&L Payoff at Expiration Matrix Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 20 -5.00 0.79 0.00 0.00 0.00 28 3.00 0.00 0.00 0.03 -0.79 0.75 0.00 0.00 0.00 22 -3.00 0.00 0.00 0.00 0.00 -2.00 0.00 -0.00 0.00 0.00 0.00 25 0.00 0.21 0.00 0.00 0.00 29 4.00 0.00 23 -2.00 0.21 0.00 0.00 Current Theoretical P&L Relative to Underlying Price Changes Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 20 -5.00 0.00 0.00 0.00 0.00 0.00 24 -1.00 0.00 0.00 0.00 .00 0.00 0.00 0.00 0.00 0.00 0.20 0.00 0.00 -3.79 -0.00 0.00 0.62 0.00 0.00 -4.00 0.00 0.00 0.00 0.00 0.00 0.79 0.00 0.00 0.79 0.00 0.79 0.00 0.00 0.00 0.21 0.00 0.00 0.01 0.00 0.00 0.00 -3.00 0.00 0.42 0.Strat1 Contracts Type Strike Calculated Premium Override Premium Premium Used Delta Gamma Theta Vega Rho Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 1 Stock 25 0.00 0.00 0.00 21 -4.00 0.00 0.79 0.00 0.00 0.00 -4.00 0.00 0.00 0.00 0.00 0.00 26 1.

00 -0.00 22 0.00 27 0.00 -0.00 -0.00 0.01 0.00 26 0.00 21 0.99 0.00 0.00 23 0.00 0.00 0.00 25 0.00 0.00 0.00 29 0.00 22 0.02 0.06 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 0.00 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 0.00 0.00 0.00 0.00 0.00 0.00 0.00 24 0.00 0.00 0.00 22 0.00 0.00 0.00 4.00 21 1.00 25 0.00 0.00 0.01 0.00 0.00 0.00 .00 0.29 -3.00 0.00 -0.00 0.01 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 0.71 0.00 0.00 0.00 0.00 0.93 0.00 0.00 0.00 21 0.00 0.00 0.00 -0.40 -2.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 27 0.00 0.11 0.00 0.00 0.00 0.02 0.00 -0.00 -0.00 23 0.00 0.00 0.06 0.00 0.00 0.00 -0.02 0.02 0.00 0.00 0.16 0.00 0.00 28 0.00 0.00 -0.00 0.00 30 1.00 0.00 0.00 0.00 0.00 0.00 -1.00 26 0.00 0.00 0.00 0.00 0.01 0.00 0.00 0.00 -0.00 0.00 0.00 0.00 0.02 0.00 0.00 0.00 0.00 24 0.00 0.00 0.00 0.00 0.00 -0.00 -0.00 0.00 26 1.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -0.00 -0.03 0.00 0.00 0.00 0.01 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 22 1.00 0.00 0.00 0.01 0.00 0.00 0.00 -0.00 0.00 0.00 0.00 0.00 25 1.00 -0.00 0.00 0.00 26 0.00 -0.00 0.00 0.00 -0.00 0.00 0.00 0.23 0.32 0.00 0.00 0.07 0.00 0.27 28 29 30 2.00 0.00 0.00 0.00 0.00 0.52 0.00 0.01 0.00 0.00 0.00 28 0.00 -0.00 0.00 0.00 0.00 0.00 21 0.00 0.00 0.02 0.00 0.00 0.00 0.00 23 0.00 0.00 0.00 0.00 0.00 0.00 3.00 0.00 0.00 0.00 0.00 0.00 0.00 -0.00 0.00 0.00 0.00 0.00 29 0.00 0.00 30 0.25 -4.00 0.00 28 1.00 0.00 0.00 23 1.01 0.00 0.97 0.00 0.00 Current Position Delta Relative to Underlying Price Changes Underlying Price Strat1 Strat2 Strat3 Strat4 Strat5 Strat6 Strat7 20 1.00 5.13 0.00 0.00 0.19 0.00 0.00 0.00 27 1.01 0.00 0.00 0.00 0.03 0.20 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 30 0.00 0.00 24 1.85 0.00 -0.00 0.00 -0.17 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 24 0.00 0.00 29 1.00 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 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.01 0.00 0.00 0.00 -0.00 25 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 0.02 0.00 0.00 28 0.00 0.02 0.00 0.01 0.00 0.00 0.00 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 0.00 0.00 -0.00 0.00 0.00 0.00 0.00 0.00 24 0.00 26 0.00 0.00 0.00 0.00 0.00 0.00 27 0.00 23 0.00 -0.00 .00 -0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.27 28 29 30 0.00 0.00 0.02 -0.00 0.00 0.00 0.00 0.00 30 0.00 0.00 0.00 0.00 21 0.00 0.00 -0.00 -0.00 0.00 0.00 0.02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.

58 0.00 0.21 0.00 -3.00 -1.21 0.00 0.79 0.00 0.21 24.38 Strat9 0.00 0.00 0.00 0.00 Strat10 P&L Intercept 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.79 0.00 0.00 0.00 0.00 0.02 -0.01 Total Cost Position Delta Position Gamma Position Theta Position Vega Position Rho 0.00 0.79 #DIV/0! 0.21 0.00 0.00 0.00 0.00 0.00 0.00 0.25 0.00 0.00 Total .00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.79 0.00 -4.00 0.00 -1.00 0.00 0.20 0.00 0.00 0.00 Strat10 P&L 0.35 0.00 0.00 0.21 0.00 -2.00 0.00 -0.00 Strat8 Strat9 0.21 0.00 0.00 0.00 0.00 0.79 0.00 0.00 0.00 0.21 0.21 0.00 0.00 0.00 -2.00 0.00 Strat8 -0.00 0.00 0.00 0.00 0.00 0.00 0.00 -4.03 0.00 -3.79 0.00 0.00 0.00 0.00 0.00 -0.00 0.Strat8 Strat9 Strat10 0.03 -0.00 0.00 0.00 0.00 0.00 0.48 -0.

00 0.00 0.17 0.00 1.00 0.0.71 0.00 0.00 0.00 0.00 -0.00 0.00 0.00 0.75 0.00 0.00 0.77 0.00 0.00 0.00 0.00 0.00 0.00 0.02 0.19 0.03 0.00 0.00 0.00 0.02 0.00 0.00 0.01 0.03 0.00 Strat8 Strat8 Strat10 Total 0.00 0.00 0.00 0.02 0.00 0.00 0.00 0.07 0.00 0.00 0.00 0.01 0.00 0.00 0.00 0.84 0.00 -0.00 0.00 Strat10 Total 0.00 0.00 0.00 0.00 0.00 -0.00 0.00 0.00 0.01 0.13 0.00 0.07 0.00 0.00 0.00 0.00 0.00 0.00 0.01 0.00 Strat8 0.00 0.02 0.00 0.00 0.00 -0.00 -0.94 0.01 0.00 0.00 0.48 0.00 0.00 0.00 0.00 0.00 0.00 -0.00 0.00 0.00 0.00 Strat10 Total 0.01 0.00 -0.00 0.60 0.00 0.00 Strat9 0.02 Strat9 0.00 0.00 0.00 0.00 0.00 -0.00 0.00 -0.01 0.00 -0.00 0.00 0.00 -0.00 0.00 0.00 0.01 0.01 0.00 0.00 0.00 0.00 0.00 Strat10 Total 0.15 0.20 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.11 0.00 0.00 0.00 0.00 0.68 0.00 0.00 0.00 0.06 0.00 0.00 0.00 Strat8 Strat9 0.00 0.98 0.00 -0.00 0.00 0.03 0.00 -0.00 0.00 0.00 0.00 0.29 0.00 -0.00 .00 -0.00 0.00 0.00 Strat9 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.

02 0.00 0.00 0.01 0.00 0.00 0.00 0.00 0.0.01 0.00 -0.00 0.00 -0.00 0.02 .00 0.00 0.02 -0.00 0.00 0.00 0.00 0.00 -0.00 Strat9 0.00 0.00 0.00 -0.00 0.00 0.00 0.00 0.01 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 Strat10 Total 0.00 0.00 0.01 0.00 Strat8 0.00 0.02 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.

00 20 -5.00 0.01 -0.01 0.40 -3.02 -0.01 -0.20 1.00 20 -0.02 -0.01 0.00 0.00 0.15 0.03 -0.00 0.01 -0.02 20 21 22 23 24 25 26 27 28 29 30 -0.01 -0.01 0.80 20 21 22 23 24 25 26 27 28 29 30 0.00 0.01 -0.05 0.00 -1.20 -4.01 -0.00 -0.00 0.00 20 -0.02 0.03 24 21 22 23 24 25 26 27 28 29 30 0.02 20 21 22 23 24 .02 -0.25 21 22 23 Vega Rho 0.00 0.01 -0.00 0.20 0.P&L at Expiration Delta 2.60 -2.10 0.00 -0.01 -0.00 1.00 1.00 21 22 23 Gamma 24 Theta 0.00 0.01 -0.

Delta 25 26 27 28 29 30 26 27 28 29 30 26 27 28 29 30 Theta 25 Rho 24 25 .

IMPLIED VOLATILITY Low Bearish M A R K E T D I R E C T I O N 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 Neutral Do Nothing Buy Straddles/Strangles Sell ATM Call Or Put Butterflies Buy ATM Call Or Put Time Spreads Bullish 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 High 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 .

005 0 75 80 85 90 95 100 105 110 115 120 125 .00% 18-Nov-12 0% 0% 60 0.026822 0.03 90 0.026531 0.01 0.04E-05 0.000414 0.001078 0.004869 0.015 0.034487 0.035735 Gamma vs Underlying Price 0.04 0.045 0.16 Underlying Price Exercise Price Today's Date Historical Volatility Expiry Date Risk Free Rate Dividend Yield DTE DTE in Years 75 80 85 90 95 100 105 110 90 0.05 0.02 110 0.03735 0.010904 0.035 0.043676 0.013871 0.015644 0.04059 0.021898 110 5.006803 0.034933 0.032538 0.00207 0.021726 0.025 100 0.004554 100 0.011388 0.100 100 19-Sep-12 25.026496 0.039308 0.

021697 0.002493 0.00014 0.001624 0.030365 0.115 120 125 0.012319 0.013318 .005931 0.000505 0.

089285 0.002492 0.001089 0.022646 100 0.08 110 0.089285 0.100 100 19-Sep-12 25.108888 110 0.000116 0.04 0.02 0 75 80 85 90 95 100 105 110 115 120 125 .16 Underlying Price Exercise Price Today's Date Historical Volatility Expiry Date Risk Free Rate Dividend Yield DTE DTE in Years 75 80 85 90 95 100 105 110 90 0.18 0.138527 0.12052 0.006147 0.041186 0.145386 0.1 100 0.16 0.06 0.156255 0.14 0.00% 18-Nov-12 0% 0% 60 0.129563 0.161541 0.049404 0.026324 0.022646 0.147422 0.12 90 0.05802 0.177695 Vega vs Underlying Price 0.012806 0.069781 0.2 0.108888 0.

115 120 125 0.008827 0.16503 0.085516 .016008 0.066954 0.000897 0.002991 0.035099 0.128396 0.

03115 100.1 -0.100 100 19-Sep-12 25.25 -0.02746 -0.00% 40 -0.00% 80 -0.15 -0.3 -0.3 90 80 70 60 50 .03365 -0.03687 100.03115 -0.15 -0.04762 100.02913 100.04124 -0.00% 40 30 20 10 1 0 100 -0.02746 100.1 -0.00% 70 -0.05 -0.00% 50 -0.2 -0.00% 60 -0.00% 18-Nov-12 0% 0% 60 0.2 -0.25 -0.04124 100.02913 -0.05 -0.03365 100.04762 -0.02605 100.03687 -0.00% Call Theta Call Option Price 0 100 90 80 70 60 50 30 -0.00% 90 -0.02605 -0.16 Underlying Price Exercise Price Today's Date Historical Volatility Expiry Date Risk Free Rate Dividend Yield DTE DTE in Years 100 100 100 -0.

.

00% 1 -0.16 -0.71% -0.03 4.95 -0.03 3.51% -0.84 -0.03 4.68% -0.03 4.40 -0.86% -0.03 4.03 -0.57% -0.72% -0.04 3.92 -0.11 -0.94 -0.03 4.03 4.00 -0.03 4.61 -0.52% -0.55 -0.03 4.81 -0.00% Call Option Price 50 40 30 20 10 1 100 99 98 97 96 95 94 93 92 91 90 89 88 87 86 85 84 83 82 81 80 79 78 77 76 75 74 73 72 71 70 69 68 67 66 65 64 63 62 61 60 59 58 57 56 55 54 53 52 51 Theta Theo % Diff -0.60% -0.56% -0.62% -0.65% -0.76 -0.73 -0.03 5.79% -0.75% -0.85% -0.77% -0.03 4.03 3.04 3.03 5.72 -0.33 -0.03 4.89 -0.03 4.03 4.55% -0.50% -0.66% -0.52 -0.53% -0.03 4.11 -0.37 -0.04 3.03 4.91 -0.94% -0.03 5.27 -0.78 -0.58 -0.81% -0.03 5.08252 100.04 3.69% -0.54% -0.00% 10 -0.03 4.03 4.63% -0.21 -0.43 -0.05834 -0.03 4.83% -0.03 4.53% -0.04 3.03 4.82% -0.08 -0.DTE 20 -0.03 5.01 -0.26101 100.14 -0.57% -0.03 4.73% -0.59% -0.58% -0.62% -0.03 4.70% -0.03 4.04 -0.03 4.67 -0.93% -0.55% -0.14 -0.08252 -0.03 4.75 -0.98% .03 4.03 4.17 -0.24 -0.98 -0.03 4.67% -0.03 5.50% -0.51% -0.49 -0.05834 100.03 4.64% -0.46 -0.54% -0.89% -0.76% -0.83 -0.91% -0.19 -0.22 -0.78% -0.88% -0.59% -0.06 -0.70 -0.67% -0.97 -0.03 4.87 -0.03 4.30 -0.61% -0.03 5.64 -0.96% -0.03 5.80 -0.03 4.03 4.26101 -0.03 3.03 5.03 4.08 -0.87 -0.

26 3.61% -1.22% -1.06 -0.86 2.07 -0.57% -3.39% -1.73 1.04 -0.07 -0.63% -2.50 3.09% -1.17% -4.04 -0.17 3.85% -4.05 -0.05 -0.15 -0.04 -0.11% -1.06 -0.14% -8.13 -0.00% -50.76 2.15 2.71 2.50 2.08% -2.33% -10.81 1.09 2.56 2.88 1.42 3.04 -0.10 -0.38 3.43% -1.39 2.09 -0.79% -1.95 1.67% -25.00 2.32% -1.91 2.47% -1.66 2.00% -2.78% -2.11 -0.61 2.04 -0.00% -1.04 -0.62 3.51% -1.04 -0.50% -16.26 3.74 0.28 1.08 -0.12 -0.04% -1.55% -6.27% -2.19% -1.02% -1.04 -0.52 -1.08 -0.05 -0.00% .85% -1.38 1.65 3.18 -0.13 3.06% -1.16% -1.38% -2.21 2.06 -0.05 -0.12% -3.50 49 48 47 46 45 44 43 42 41 40 39 38 37 36 35 34 33 32 31 30 29 28 27 26 25 24 23 22 21 20 19 18 17 16 15 14 13 12 11 10 9 8 7 6 5 4 3 2 1 -0.90 0.05 -0.06 -0.94% -3.48 1.06 -0.02 1.04 -0.54 3.05 -0.46 3.95 2.07 -0.05 -0.04 -0.56% -1.34 3.04 -0.35% -1.05 -0.14% -1.22 3.45 2.08 -0.04 0.05 -0.04 -0.65 1.05 -0.28 2.81 2.30 3.04 -0.00% -12.00% -5.72% -1.06 -0.57 1.69 3.05 -0.33 2.54% -5.04 3.09 3.07 -0.09 -0.04 -0.28% -1.17% -2.25% -7.17 1.67% -1.04 -0.58 3.50% -2.92% -2.04 -0.33% -3.04 -0.25% -1.

24% 1.59% 1.01% 1.85% 1.28% 1.89% 1.03% 1.79% 1.70% 1.61% 1.37% 1.09% 1.41% 1.19% 1.10% 1.73% 1.92% 1.1.30% 1.43% 1.76% 1.27% 1.35% 1.15% 1.39% 1.08% 1.54% 1.33% 1.49% 1.25% 1.13% 1.07% 1.32% 1.04% 1.14% 1.18% 1.05% 1.47% 1.02% 1.82% 1.11% 1.52% 1.67% 1.21% 1.56% 1.96% .22% 1.16% 1.64% 1.45% 1.

29% 16.00% 2.33% 2.27% 2.71% 3.00% 100.34% 50.88% 6.56% 5.86% 2.18% 2.09% 10.55% 4.33% 9.44% 2.63% 2.38% 2.22% 2.45% 3.08% 2.78% 2.00% 25.50% 14.94% 3.13% 3.14% 7.26% 5.03% 3.57% 3.2.04% 2.00% .50% 2.00% 11.13% 2.67% 7.00% 5.23% 3.11% 12.33% 3.25% 6.67% 20.35% 4.70% 2.00% 33.00% 4.17% 4.85% 4.69% 8.76% 5.57% 2.