Intrinsic Value Payoff
Value at Expiration vs Spot Price
Options Pricing
Black-Scholes-Merton model for European options with continuous dividends, Greeks, and implied volatility.
Option Parameters
Implied Volatility
Implied Volatility18.80%
Result
Black-Scholes-Merton model for European options with continuous dividends, Greeks, and implied volatility.
Call Option
Right to Buy
$10.45
Delta (per 1 spot unit)0.6368
Gamma (per 1 spot unit)0.0188
Theta (per day)-0.0176
Vega (per 1 vol. point)0.3752
Rho (per 1 rate point)0.5323
Put Option
Right to Sell
$5.57
Delta (per 1 spot unit)-0.3632
Gamma (per 1 spot unit)0.0188
Theta (per day)-0.0045
Vega (per 1 vol. point)0.3752
Rho (per 1 rate point)-0.4189