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FD Cheatsheet

The document provides information on delta and gamma values for options on different dates in September and October. It also includes a table showing sets of options trades specifying the number of contracts, underlying assets and delta values. The purpose appears to be analyzing and comparing the risk exposures of options portfolios between the two months.

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Harleen Kaur
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61 views

FD Cheatsheet

The document provides information on delta and gamma values for options on different dates in September and October. It also includes a table showing sets of options trades specifying the number of contracts, underlying assets and delta values. The purpose appears to be analyzing and comparing the risk exposures of options portfolios between the two months.

Uploaded by

Harleen Kaur
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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K (Strike Price) 10

(Spot Price) 100


C (Call) 12 P (Put) 10 S-Ke^(-rt) Call Lower Bound
R (Rate) 0.5 (So-C)*ert-K Call Profit
T (Time) 0.5
E^RT 1.283992
E^(-RT) 0.778821

Ke^rt 2.567984
Ke^(-rt) 7.78821

Put Call Parity In case call & put option premium are giv
Put 1 P+SO 352
Spot Price 351 C+ KE^(-rt) 351.7077 Amt = -c + p + s
Call 1 Amt @ rf
K (Strike Price) 351 Profit = Amt@rf - k
Rate 0.01
Time 0.083333
E^(-RT) 0.999167 350.707652 1.292348
E^RT 1.000834
92.211790 Put Lower Bound -92.21179
102.991308 Put Profit -105.55929

all & put option premium are given, arbitage profit

351
351.2925916
0.292591556
(For Put Values)
So 100 fuu 0 Single
K 105 fdd 9
Up Factor 1.2 fdd 41 Delta 0.375
Down Factor 0.8 Call Op Prem 13.54052
Rate 10% Put Option Prem 8.549435
Time 1 Suu 144
E^(-RT) 0.904847 Sud 96 p + s = c + ke^(-rt)
E^RT 1.105159 Sdd 64 p = c + ke^(-rt) -s 8.549435
Cu (K-Su) 15 Fuu (suu-k) 39
Cd (K-Sd) 0 Fud (sud-k) 0
Su 120 Fdd (sdd-k) 0
Sd 80
Two

P 0.76290 (1-P) 0.23710


FU (Call) 26.92195 FU (Put) 1.930864
FD (Call) 0 FD (Put) 15.00891
F (Call Option) 18.58439
F (Put Option) 4.552906
S 165 D1 1.121048 ND1 0.868866 N(-d1) 0.131134
K 150 D2 0.908916 ND2 0.818303 N(-d2) 0.181697
LN(S/K) 0.09531018
R 6% Call Option 34.49617
Vol 0.15 Put Option 2.535887
r+vol^2/2 0.07125
T 2
E^(-RT) 0.886931472

numr 0.24
deno 0.212132034
ke^(-rt) 133.0397208
d1 & d2 bsm model

Theta
spot 165
rate 6%
volatility 0.15
ke^(-rt) 133.03972
time 2
d1 1.1210479
d2 0.9089159 0.398942
n'd1 0.212833 0.533493

S*N'D1*AV/2rootT 1.8623835
r*ke^(-rt)*nd2 6.5320061 1.450377

Theta (Call) -8.39439


Theta Put 3.31276

Delta (Call) 0.8688663


Delta (Put) 0.1311337 -0.131134

Hedge Ratio 1.1509251


BSM Model

Stock 165 d1
Strike 150 d2
Rf 6% N(d1)
Volatility 0.15 N(d2)
t 2
N(-d2)
Call Premium 34.49752110204 N(-d1)

N'(d1)
Put Premium 2.535586609609 N'(d2)

0.564872675919
1.977054365717
Greeks

2.242095876998 1.121047938499 Delta(Call) 0.868866271297


0.908915904143 Delta(Put) -0.1311337287
0.868866271297 1
0.818302740998 Hedge Ratio 1.150925099794

0.181697259002 Theta(Call) -8.01779501708


0.131133728703 Gamma(Call) 0.00242566301

0.084902536769 Rho(Call) 217.7308273238

Vega(Call) 19.81160263151

0.992528054819
330.5118422548
333.5118422548
2.488157745227
Mansi Rai
18346
BBA(FIA) 3A

Date Delta (Oct) Gama (Oct) Delta (September) Gama (September) Ratio Gama Value Delta

2-Sep-13 0.3612 0.0009 0.2415 0.0011 11:09 0 1.7997


3-Sep-13 0.2274 0.0006 0.1136 0.0006 1:01 0 0.1138
4-Sep-13 0.2943 0.0007 0.1689 0.0008 8:07 0 1.1721
5-Sep-13 0.4022 0.0008 0.2929 0.0011 11:08 0 2.081
6-Sep-13 0.4761 0.0008 0.3953 0.0012 3:02 0 0.6377
10-Sep-13 0.6407 0.0007 0.6471 0.0011 11:07 0 2.518
11-Sep-13 0.6403 0.0006 0.6499 0.001 5:03 0 1.2518
12-Sep-13 0.5989 0.0007 0.5926 0.0012 12:07 0 3.0386
13-Sep-13 0.5993 0.0007 0.5942 0.0012 12:07 0 3.0322
16-Sep-13 0.5906 0.0007 0.5787 0.0013 13:07 0 3.6269
17-Sep-13 0.5959 0.0007 0.5912 0.0013 13:07 0 3.6083
18-Sep-13 0.6292 0.0007 0.6442 0.0011 11:07 0 2.4118
19-Sep-13 0.7757 0.0006 0.8487 0.0007 7:06 0 0.3377
20-Sep-13 0.7131 0.0007 0.8154 0.001 10:07 0 1.4232
23-Sep-13 0.6214 0.0007 0.6875 0.0018 18:07 0 6.3727
24-Sep-13 0.6237 0.0007 0.7214 0.002 20:07 0 7.4242
25-Sep-13 0.6151 0.0008 0.7255 0.0026 13:04 0 5.0943
26-Sep-13 0.6247 0.0008
Sets of options Asset Delta Value PORTFOLIO
Option Buy Option Sell Shares Sell
October September Underlying
5 9 -0.0015 55 45 9
9 1 0.0242 54 54 1
6 7 0.0326 48 42 7
12 25 -0.028 132 96 25
9 6 -0.2607 108 72 6
2 5 0.036 22 14 5
2 3 -0.4964 20 12 3
1 3 0.0386 12 7 3
1 3 0.0322 12 7 3
8 29 0.0152 104 56 29
5 18 0.0415 65 35 18
17 41 0.0006 187 119 41
3 1 0.0131 21 18 1
7 10 -0.0376 70 49 10
16 102 -0.0368 288 112 102
7 52 -0.0306 140 49 52
16 82 -0.4912 416 128 82

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