SPOT PRICE CALL STRIKE INTEREST RATE VOLS TIME TO MATURITY OPTION VALUE DELTA

80 20.0841 0.9682
100 100 7% 60% 15 days 4.8339 0.5227
120 0.3892 0.0749

Scenario-1

SPOT PRICE CALL STRIKE INTEREST RATE VOLS TIME TO MATURITY OPTION VALUE DELTA
80 20.8097 0.9031
100 100 7% 90% 15 days 7.2453 0.5348
120 1.6566 0.1813

Scenario-2

SPOT PRICE CALL STRIKE INTEREST RATE VOLS TIME TO MATURITY OPTION VALUE DELTA
80 19.9428 0.997
100 100 7% 30% 15 days 2.4181 0.5107
120 0.0025 0.0015

Scenario-3

SPOT PRICE CALL STRIKE INTEREST RATE VOLS TIME TO MATURITY OPTION VALUE DELTA
80 19.9821 0.9984
100 100 7% 60% 5 days 2.7974 0.5135
120 0.0113 0.0052

Scenario-4

SPOT PRICE CALL STRIKE INTEREST RATE VOLS TIME TO MATURITY OPTION VALUE DELTA
80 20.0385 0.9841
100 100 7% 90% 5 days 4.195 0.5205
120 0.1949 0.0466

Scenario-5

SPOT PRICE CALL STRIKE INTEREST RATE VOLS TIME TO MATURITY OPTION VALUE DELTA
80 19.9809 0.999
100 100 7% 30% 5 days 1.3989 0.5065
120 0 0
GAMMA VEGA THETA RHO
0.0054 0.0134 -0.0229 -0.0082
0.0327 0.0805 -0.1601 -0.002
0.0116 0.0286 -0.0572 -0.0002

GAMMA VEGA THETA RHO

0.0092 0.034 -0.098 -0.0085
0.0217 0.0803 -0.2396 -0.003
0.0144 0.0534 -0.1599 -0.0007

GAMMA VEGA THETA RHO

0.0001 0.0001 0.0037 -0.0082
0.0654 0.001
0.0806 -0.0802 -0.001
0.0008 -0.001 0

GAMMA VEGA THETA RHO

0.0003 0.0003 0.0022 -0.0027
0.0567 0.0466 -0.2793 -0.0004
0.0021 0.0018 -0.0105 0

GAMMA VEGA THETA RHO

0.0036 0.0044 -0.0359 -0.0027
0.0378 0.0466 -0.4186 -0.0006
0.0092 0.0114 -0.1026 0

GAMMA VEGA THETA RHO

0 0 0.0038 -0.0027
0.1135 0.0466 -0.1397 -0.0002
0 0 0 0