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Calculate the adjusted stock price, N(d1), D(d2), N'(D1), delta, gamma, theta, omega Trade Date Option Type Strike Price Maturity Date Bid Price Offer Price Mid
Calculate the adjusted stock price, N(d1), D(d2), N'(D1), delta, gamma, theta, omega
Trade Date | Option Type | Strike Price | Maturity Date | Bid Price | Offer Price | Mid Price | Volume | Open Interest | T | Implied Volatility | S | Div Yield | Adjusted Stock Price (due to continuousdividends) | rf | d1 | d2 | N(D1) (Use Norm.Dist formula for calculations) | N(D2) (Use Norm.Dist formula for calculations) | N'(D1) (Use Norm.Dist formula for calculations) | Delta | Gamma | Theta | Omega |
2/13/13 | Call | 60 | 2/16/13 | 0.5 | 0.6 | 0.55 | 87 | 1896 | 0.01 | 11.87% | $60.48 | 3.63% | 0.33% | ||||||||||
2/13/13 | Call | 60 | 3/16/13 | 1.25 | 1.35 | 1.3 | 301 | 3515 | 0.08 | 16.31% | $60.48 | 3.63% | 0.33% | ||||||||||
2/13/13 | Call | 60 | 6/22/13 | 1.85 | 2 | 1.925 | 39 | 4693 | 0.35 | 14.35% | $60.48 | 3.63% | 0.33% | ||||||||||
2/13/13 | Call | 65 | 6/22/13 | 0.3 | 0.4 | 0.35 | 2593 | 364 | 0.35 | 13.12% | $60.48 | 3.63% | 0.33% | ||||||||||
2/13/13 | Call | 60 | 9/21/13 | 2.25 | 2.4 | 2.325 | 3 | 85 | 0.60 | 14.47% | $60.48 | 3.63% | 0.33% | ||||||||||
2/13/13 | Call | 65 | 9/21/13 | 0.5 | 0.65 | 0.575 | 88 | 503 | 0.60 | 12.69% | $60.48 | 3.63% | 0.33% | ||||||||||
2/13/13 | Call | 60 | 1/18/14 | 2.6 | 2.85 | 2.725 | 0 | 15000 | 0.93 | 14.76% | $60.48 | 3.63% | 0.33% | ||||||||||
2/13/13 | Call | 65 | 1/18/14 | 0.85 | 1 | 0.925 | 1 | 7904 | 0.93 | 13.19% | $60.48 | 3.63% | 0.33% | ||||||||||
2/13/13 | Call | 55 | 1/17/15 | 6.2 | 7.1 | 6.65 | 304 | 199 | 1.93 | 18.71% | $60.48 | 3.63% | 0.33% | ||||||||||
2/13/13 | Call | 65 | 1/17/15 | 0.85 | 2 | 1.425 | 0 | 123 | 1.93 | 13.02% | $60.48 | 3.63% | 0.33% |
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