Black-Scholes Option Pricing Model

Time to Expiration 0.5 Time to Expiration 0.5 Time to Expiration

Exercise Price $45.40 Exercise Price $39.40 Exercise Price
Current Stock Price $42.40 Current Stock Price $42.40 Current Stock Price
Volatility 43.49% Volatility 43.49% Volatility
Risk-Free Rate 8.62% Risk-Free Rate 8.62% Risk-Free Rate
N'(d1) 0.297197
d1 0.071597 d1 0.532479 d1
d2 -0.235957 d2 0.224925 d2
N(d1) 0.528539 N(d1) 0.702803 N(d1)
N(d2) 0.406733 N(d2) 0.588981 N(d2)
Call Option Value $4.72 Call Option Value $7.57 Call Option Value
Intrinsic Value $0.00 Intrinsic Value $3.00 Intrinsic Value
Speculative Prem. $4.72 Speculative Prem. $4.57 Speculative Prem.
Put Option Value $5.81 Put Option Value $2.91 Put Option Value
Intrinsic Value $3.00 Intrinsic Value $0.00 Intrinsic Value
Speculative Prem. $2.81 Speculative Prem. $2.91 Speculative Prem.
0.40099
Call Call Call
Delta 0.5285 Delta 0.7028 Delta
Gamma 0.0305 Gamma 0.0265 Gamma
Theta -6.7132 Theta -6.4302 Theta
Vega 11.9302 Vega 10.3799 Vega
Rho 8.843453 Rho 11.11359 Rho

Put Put Put

Delta -0.4715 Delta -0.2972 Delta
Gamma 0.0305 Gamma 0.0265 Gamma
Theta -2.9658 Theta -3.1780 Theta
Vega 11.9302 Vega 10.3799 Vega
Rho -12.8992 Rho -7.755587 Rho
g Model
0.5 Time to Expiration 0.5
$45.40 Exercise Price $39.40
$42.40 Current Stock Price $42.40
43.49% Volatility 43.49%
8.62% Risk-Free Rate 8.62%

0.071597 d1 0.532479
-0.235957 d2 0.224925
0.528539 0.471461 N(d1) 0.702803
0.406733 0.593267 N(d2) 0.588981
$4.72 Call Option Value $7.57
$0.00 Intrinsic Value $3.00
$4.72 Speculative Prem. $4.57
$5.81 Put Option Value $2.91
$3.00 Intrinsic Value $0.00
$2.81 Speculative Prem. $2.91

Call
0.5285 Delta 0.7028
0.0305 Gamma 0.0265
-6.7132 Theta -6.4302
11.9302 Vega 10.3799
8.843453 Rho 11.11359

Put
-0.4715 Delta -0.2972
0.0305 0.957826 Gamma 0.0265
-2.9658 Theta -3.1780
11.9302 Vega 10.3799
-12.8992 Rho -7.755587