HDFCBANK CE DEC

Spot 300 Spot 1374.35 1,374.35

Strike 310 Strike 1380 1380
rf 0.11 rf 0.02 0.02
q 0.01 q 0 0
c 0.1 c 0.02 0.02
v 0.4 v 30.25% 30.75%
ttm 0.2 ttm 0.11507 0.11507

d1 0.0179454 d1 0.0337537 0.0348872

d2 -0.16094 d2 -0.06886 -0.069423

N(d1) 0.5071588 N(d1) 0.5134632 0.5139152

N(d2) 0.4360703 N(d2) 0.4725504 0.4723265

Call Call
Value 19.603374 Value 55.057652 55.987052
Delta 0.5061455 Delta 0.5134632
Gamma 0.0074178 Gamma 0.0028272
Theta (ann) -66.43618 Vega 185.8836
Theta (1d) -0.182017
Units 1000
port value 55058

Old price Delta Gamma Chg spot New Price Gain/Loss Overall
55.058 0.513 0.003 1.500 55.8310 0.77 773.38
55.058 0.513 0.003 -1.500 54.2906 -0.77 -767.01

Old Price Vega Chg Vol New Price Gain/Loss Overall

55.058 185.8836 0.005 55.9871 0.93 929.42
 Actual Model MARKET TRADED OPTIONS
Spot 1374.35 1374.35 1374.35 1374.35
1360 31.65% Strike 1365 1365 1360 1380
1380 30.25% rf 0.02 0.02 0.02 0.02
Linear Interpolation vol 35% 31.30% 31.65% 30.25%
1365 31.30% ttm 0.11507 0.11507 0.11507 0.11507

d1 0.13624 0.13906 0.17288 0.03375

d2 0.01752 0.03288 0.06552 -0.06886

N(d1) 0.55419 0.55530 0.56863 0.51346

N(d2) 0.50699 0.51312 0.52612 0.47255

Value 71.1975 64.3806 67.6159 55.0577

Value Add 6.8169

Delta 0.55419 0.56863 0.51346

Gamma 0.00242 0.00266 0.00283
Vega 184.27128 183.23078 185.88360

Position -1
Units 5000 15428 -10251

P Delta -2770.93 8772.78 -5263.51

P Gamma -12.11 41.09 -28.98
P Vega -921356.40 2826884.44 -1905492.76
 1360 1380 Units Short Port
Gamma 0.0026636 0.0028272 -15427.67 -12.1116
Vega 183.23078 185.8836 10250.869 -921356.4

Net
738.3420 Delta
0.0005 Gamma
35.2780 Vega