Starting Asset Price 1000 Futures Position Starting Value

Type Units Per Share

Options Details Futures 10 1000
Start Date 14-Mar-08
Option Expiration 28-Jun-08
Volatility 25%
Risk Free Rate 6%
Bid/Ask Spread -
desired options delta multiplier 1

Delta Neutral Hedging Strategy Premium Neutral Hedging Strategy

Type Units Strike Price Per Income (+) / Cost (-) Type Units Strike Price Per Income (+) / Cost (-)
Calls -10.00 1,000 #VALUE! #VALUE! Calls #VALUE! 1,000 #VALUE! #VALUE!
Puts 17.00 925 #VALUE! #VALUE! Puts #VALUE! 925 #VALUE! #VALUE!
#VALUE! #VALUE!

Delta Total Delta Gamma Vega Delta Total Delta Gamma Vega
Calls #VALUE! #VALUE! #VALUE! #VALUE! Calls #VALUE! #VALUE! #VALUE! #VALUE!
Puts #VALUE! #VALUE! #VALUE! #VALUE! Puts #VALUE! #VALUE! #VALUE! #VALUE!
#VALUE! #VALUE!

Resulting Price 950 Resulting Price 950

Units Resulting Price P&L Units Resulting Price P&L

Futures 10.00 950 (50,000.00) 10.00 950 (50,000.00)
Calls -10.00 #VALUE! #VALUE! Calls #VALUE! #VALUE! #VALUE!
Puts 17.00 #VALUE! #VALUE! Puts #VALUE! #VALUE! #VALUE!
TOTAL #VALUE! TOTAL #VALUE!

GRAPH INPUTS
Lowest Price 925
Highest Price 1100
12 12.00

10
10.00

8
P&L 8.00

6
6.00

4
4.00

2.00
0
900 950 1000 1050 1100 1150
-
Price of Underlying 900 950 1000 1050 1100 1150

12/07/2021 22:39:59
 Options Calculators
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Yellow cells are for inputs.

Black cells are calculated for you.
White cells are outputs.

If you know the price, but not the volatility, use this calculator.
Today 12/7/2021
Option Type P P for Puts, C for Calls
Expiration 7/18/2009
Unadjusted Price $ 45.16
Strike Price $ 35.00
Years -12.400
Risk Free Rate 4.00%
Actual $ 10.60
Dividend Yield 0.70%
Implied Volatility #VALUE!

Option Greeks
Delta #VALUE!
Gamma #VALUE!
Theta #VALUE!
Vega #VALUE!
Rho #VALUE!
Online Options Calculators
The Options Industry Council
Chicago Board Options Exchange
Ivolatility.com

If you know the volatility, but not the price, use this calculator.
Today 12/7/2021
Option Type C P for Puts, C for Calls
Expiration 7/18/2009
Unadjusted Price $ 45.16
Strike Price $ 35.00
Years -12.400
Risk Free Rate 4.00%
Volatility 34.01%
Dividend Yield 0.70%
Premium #VALUE!

Option Greeks
Delta #VALUE!
Gamma #VALUE!
Theta #VALUE!
Vega #VALUE!
Rho #VALUE!