Option Trading Workbook (Deb Sahoo)
Option Trading Workbook (Deb Sahoo)
| Deb Sahoo | MBA, Finance, University of Michigan | MS, EE, University of Southern California | B-Tech, EE, IIT |
LOW
1. Short Call
Sell/Write one call option
IMPLIED VOLATILITY
NEUTRAL
Sell the Underlying
Risk / Reward:
Maximum Loss: Unlimited as the market rises.
Maximum Gain: Limited to the premium received for selling the option.
Risk / Reward:
Maximum Loss: Limited to the net premium paid for the option.
Maximum Gain: Unlimited as the market sells off.
2. Short Synthetic
Short one call option at P
Long one put option at P
Risk / Reward:
Maximum Loss: Limited to the difference between the two strikes minus the net premium
Maximum Gain: Limited to the net premium received for the position. I.e. the premium received for the short call minus the premium
paid for the long call
Risk / Reward
Maximum Loss:Unlimited.
Maximum Gain: Unlimited.
3. Put Backspread
Long two OTM put
Short one ITM put
Risk / Reward:
Maximum Loss: Limited to the net amount paid for the spread. I.e. the premium paid for the long position less the premium received
for the short position
Maximum Gain: Limited to the difference between the two strike prices minus the net paid for the position
1. Short Straddle
Short one call option at P
Short one put option at P
Risk / Reward:
Maximum Loss: Unlimited as the market moves in either direction
Maximum Gain: Limited to the net premium received for selling the options
2. Short Strangle
Short one put at lower strike price
Short one call at a higher strike price
Risk / Reward:
Maximum Loss: Unlimited as the market moves in either direction
Maximum Gain: Limited to the net premium received for selling the options
3. Short Gut
Sell one call option at a higher strike price
Sell one put option at a higher strike price
Risk / Reward:
Maximum Loss: Unlimited as the market moves in either direction
Maximum Gain: Limited to the net premium received for selling the options
4. Call Time Spread
Short one future month call
Long one far month call (i.e. the option you sell is to be closer to expiration than the option you are buying)
Risk / Reward:
Maximum Loss: Limited on both down and upside for market direction
Maximum Gain: Limited
5. Call Ratio Vertical Spread
Long one ITM call
Short two OTM call
Risk / Reward:
Maximum Loss: Unlimited on the upside and limited on the downside
Maximum Gain: Limited to the difference between the two strikes less the net premium paid
Neutral
HIGH
1. Long Put
Buy one put option.
Risk / Reward:
Maximum Loss: Limited to the difference between the two strikes less the premium received for the spread.
Maximum Gain: Limited on the upside to the net premium received for the spread. Unlimited on the downside.
Do Nothing
1. Long Straddle
Buy one call option at P
Buy one put option at P
Risk / Reward:
Maximum Loss: Limited to the total premium paid for the call and put options
Maximum Gain: Unlimited as the market moves in either direction
2. Long Strangle
Long one call option at a higher strike price
Long one put option at a lower strike price
Risk / Reward:
Maximum Loss: Limited to the total premium paid for the call and put options
Maximum Gain: Unlimited as the market moves in either direction
3. Long Gut
Buy one call at higher strike price
Buy one put at a higher strike price
Risk / Reward:
Maximum Loss: Limited to the total premium paid plus (call strike price minus put strike price)
Maximum Gain: Unlimited as the market moves in either direction
4. Put Time Spread
Short one front month put
Long one far month put (i.e. the option you sell is to be closer to expiry than the option you are buying).
Risk / Reward:
Maximum Loss: Limited
Maximum Gain: Limited
M
A
R
K
E
T
D
I
R
E
C
T
I
O
N
Risk / Reward:
Maximum Loss: Limited to the ATM strike less the ITM strike less the net premium paid for the spread
Maximum Gain: Limited to the net premium received from the spread
Risk / Reward:
Maximum Loss: Limited to the net difference between the ATM strike less the ITM strike less the premium received for the position
Maximum Gain: Limited to the net premium received for the option spread
Risk / Reward:
Maximum Loss: Limited to the ATM strike less the ITM strike less the net premium paid for the spread
Maximum Gain: Limited to the net premium received from the spread
Risk / Reward:
Maximum Loss: Limited to the net difference between the ATM strike less the ITM strike less the premium received for the position
Maximum Gain: Limited to the net premium received for the option spread
Risk / Reward:
Max loss: Limited. The maximum loss of a long condor occurs at the wings of the option spread. It is the minimum of the difference
between the lower strike call spread less the higher call spread less the total premium paid for the condor
Max gain: Limited. The maximum profit of a long condor will be realized when the stock is trading between the two middle strike
prices. When you look at the Condor as 2 call spreads, take the one that has the maximum distance between the strike prices, subtract
the net premium paid for the spread and that is the max loss
1. Naked Put
Sell one put option
Risk / Reward:
Maximum Loss: Unlimited in a falling market.
Maximum Gain: Limited to the premium received for selling the put option.
2. Call Bull Spread
Buy one call with a low strike price
Sell one call with a higher strike price
Risk / Reward:
Maximum Loss: Limited to premium paid for the long option minus the premium received for the short option
Maximum Gain: Limited to the difference between the two strike prices minus the net premium paid for the spread
3. Put Bull Spread
Buy one put option with a strike price
Sell one put option with a higher strike price than the put you bought
Risk / Reward:
Maximum Loss: Limited to the difference between the two strike prices minus the net premium received for the position.
Maximum Gain: Limited to the net credit received for the spread. I.e. the premium receieved for the short option less the premium
paid for the long option.
Bullish
4. Covered Call
Long underlying asset
Short call options.
Risk / Reward:
Maximum Loss: Unlimited on the downside.
Maximum Gain: Limited to the premium received from the sold call option.
Risk / Reward:
Max loss: Limited. The maximum loss of a short condor occurs at the center of the option spread. If youve broken the Condor down as 2
call (put) spreads, take the one that has the maximum distance between the strike prices, add the net premium received for the spread and
that is the max loss
Max gain: Limited. The maximum profit of a short condor occurs on the wings, when the underlying asset is trading past the upper or
lower strike prices
Buy the Underlying
5. Protective Put
Long the underlying asset
Long put option
Risk / Reward:
Maximum Loss: Limited to the premium paid for the put option.
Maximum Gain: Unlimited as the market rallies.
6. Collar
Long underlying stock
Short OTM call option
Long OTM put option
Risk / Reward:
Maximum Loss: Any loss taken on the stock +/- the premium for the options. The loss on the stock will be the purchase price of the
stock minus the strike price of the put option (as you will exercise at that price) plus the net premium paid or received.
Maximum Gain: The profit of the stock +/- the premium for the optoins. The profit on the stock will be the strike price of the call
option minus the purchase price of the stock (as you will be exercised and deliver at the strike) plus the net premium paid or
received.
NTAP
Bullish
NetApp Inc.
Bullish or Bearish ?
Input
Current Underlying Price
Exercise Price
Strategy Implementation Date
Expiry Date
Annual Historical Volatility
Annual Risk Free Rate
Dividened Yield
Value
$34.90
$40.00
5/3/2013
1/18/2014
40.00%
2.00%
0.00%
DTE (Years)
0.71
Parameter
Theoretical Price
Delta
Gamma
Theta
Vega
Rho
Call Option
$3.03
0.4235
0.0332
-0.0095
0.1153
0.0837
Comments
The current base price of the instrument, eg, the closing price of Xilinx stock
The price at which the underlying instrument will be exchanged. Also called Strike Price
The Date which the contract expires
The Historical Volatility of the asset's returns
The current risk free interest rate i.e. your return on cash held in the bank
The Annualized Dividend Growth Rate of the Stock
Put Option
$7.57
-0.5765
0.0332
-0.0074
0.1153
-0.1972
Value
$34.90
40.00%
2.00%
0.00%
$40.00
260
d1
d2
-0.193
-0.531
N(d1)
N(d2)
0.4235
0.2978
$0.00
$3.03
$7.57
-0.5765
Theoretical Volatility vs. Market View of Voliatility of Available Options in the Market
| Deb Sahoo | MBA, Finance, University of Michigan | MS, EE, University of Southern California | B-Tech, EE, IIT |
This worksheet allows you to price a string of calls and puts for the same expiration and compare implied market volatility to the theoretical volatility of the underlying
Company Name
$34.90
5/3/2013
40%
1/18/2014
2.00%
0.00%
260
0.71
NetApp Inc.
Underlying Price
Strategy Implementation Date
Annual Historical Volatility
Expiry Date
Annual Risk Free Rate
Dividend Yield
DTE
DTE in Years
ITM
ITM
ITM
ITM
ITM
ITM
OTM
OTM
OTM
OTM
OTM
OTM
OTM
OTM
OTM
OTM
OTM
OTM
OTM
OTM
Theoretical
Price
$
15.35
$
12.67
$
11.02
$
7.49
$
5.80
$
5.31
$
4.85
$
3.67
$
3.03
$
2.50
$
1.85
$
1.51
$
1.11
$
0.65
$
0.38
$
0.38
$
0.38
$
0.38
$
0.38
$
0.38
Market
Price
$14.91
$9.95
$10.59
$7.30
$4.50
$4.00
$3.15
$2.22
$1.64
$1.12
$0.82
$0.57
$0.15
$0.36
$0.06
$0.06
$0.06
$0.06
$0.06
$0.06
Implied Volatility
0.00%
0.00%
31.25%
38.01%
28.06%
28.40%
25.28%
27.54%
27.61%
26.87%
28.89%
28.58%
23.96%
34.56%
28.92%
28.92%
28.92%
28.92%
28.92%
28.92%
Delta
0.97
0.93
0.88
0.75
0.65
0.61
0.58
0.48
0.42
0.37
0.29
0.25
0.20
0.13
0.08
0.08
0.08
0.08
0.08
0.08
Gamma
0.0060
0.0119
0.0165
0.0272
0.0315
0.0325
0.0332
0.0338
0.0332
0.0320
0.0292
0.0270
0.0235
0.0178
0.0128
0.0128
0.0128
0.0128
0.0128
0.0128
Option Greeks
Vega
0.0208
0.0413
0.0573
0.0946
0.1095
0.1127
0.1151
0.1174
0.1153
0.1110
0.1015
0.0938
0.0816
0.0616
0.0445
0.0445
0.0445
0.0445
0.0445
0.0445
Rho
0.1315
0.1399
0.1414
0.1319
0.1195
0.1147
0.1097
0.0941
0.0837
0.0737
0.0599
0.0517
0.0410
0.0271
0.0176
0.0176
0.0176
0.0176
0.0176
0.0176
Strike Prices
20.00
23.00
25.00
30.00
33.00
34.00
35.00
38.00
40.00
42.00
45.00
47.00
50.00
55.00
60.00
60.00
60.00
60.00
60.00
60.00
OTM
OTM
OTM
OTM
OTM
OTM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
ITM
Theoretical
Price
$
0.16
$
0.45
$
0.77
$
2.16
$
3.43
$
3.93
$
4.46
$
6.24
$
7.57
$
9.00
$
11.31
$
12.94
$
15.50
$
19.98
$
24.64
$
24.64
$
24.64
$
24.64
$
24.64
$
24.64
Market
Price
$0.48
$0.58
$0.72
$1.95
$2.80
$3.70
$3.80
$5.50
$6.80
$8.50
$10.60
$13.61
$17.91
$23.95
$28.80
$28.80
$28.80
$28.80
$28.80
$28.80
Implied Volatility
51.06%
43.00%
39.10%
37.74%
34.21%
37.98%
34.31%
33.72%
33.27%
35.42%
32.59%
46.76%
64.40%
82.00%
87.93%
87.93%
87.93%
87.93%
87.93%
87.93%
Delta
-0.03
-0.07
-0.12
-0.25
-0.35
-0.39
-0.42
-0.52
-0.58
-0.63
-0.71
-0.75
-0.80
-0.87
-0.92
-0.92
-0.92
-0.92
-0.92
-0.92
Gamma
0.0060
0.0119
0.0165
0.0272
0.0315
0.0325
0.0332
0.0338
0.0332
0.0320
0.0292
0.0270
0.0235
0.0178
0.0128
0.0128
0.0128
0.0128
0.0128
0.0128
Option Greeks
Vega
0.0208
0.0413
0.0573
0.0946
0.1095
0.1127
0.1151
0.1174
0.1153
0.1110
0.1015
0.0938
0.0816
0.0616
0.0445
0.0445
0.0445
0.0445
0.0445
0.0445
Theta
-0.0015
-0.0030
-0.0041
-0.0067
-0.0076
-0.0077
-0.0078
-0.0077
-0.0074
-0.0068
-0.0058
-0.0051
-0.0039
-0.0020
-0.0003
-0.0003
-0.0003
-0.0003
-0.0003
-0.0003
Rho
-0.0090
-0.0216
-0.0341
-0.0788
-0.1122
-0.1241
-0.1361
-0.1728
-0.1972
-0.2213
-0.2561
-0.2784
-0.3101
-0.3591
-0.4038
-0.4038
-0.4038
-0.4038
-0.4038
-0.4038
Implied Volatility
Implied Volatility
100.00%
90.00%
80.00%
70.00%
60.00%
50.00%
40.00%
30.00%
20.00%
10.00%
0.00%
-10.00% 0.00
10.00
20.00
30.00
40.00
50.00
Strike Prices
Implied Volatility From Available Call Options in the Market
60.00
70.00
NetApp Inc.
Value
$34.90
$40.00
5/3/2013
1/18/2014
40.00%
2.00%
0.00%
No of Contracts
Contract Type
Strike Price
Calculated Theoretical Premium
Actual Market Premium
Premium To Be Used
Delta
Gamma
Theta
Vega
Rho
Position 1
0
S
$34.90
$4.40
$0.00
$0.00
0.00
0.00
0.00
0.00
0.00
Comments
The current base price of the instrument, eg, the closing price of Xilinx stock
The price at which the underlying instrument will be exchanged. Also called Strike Price
The Date which the contract expires
The Historical Volatility of the asset's returns
The current risk free interest rate i.e. your return on cash held in the bank
The Annualized Dividend Growth Rate of the Stock
Position 2
-1
C
$25.00
$11.02
$10.59
$10.59
-0.88
-0.02
0.01
-0.06
-0.14
Position 3
1
C
$30.00
$7.49
$7.30
$7.30
0.75
0.03
-0.01
0.09
0.13
Graph Increment
5.00
Position 4
1
C
$40.00
$3.03
$1.64
$1.64
0.42
0.03
-0.01
0.12
0.08
Position 5
-1
C
$45.00
$1.85
$0.82
$0.82
-0.29
-0.03
0.01
-0.10
-0.06
Position 6
Position 7
Position 8
Position 9
Position 10
Enter S/C/P
$0.00
$0.00
$0.00
$0.00
$0.00
$0.00
0.00
0.00
0.00
0.00
0.00
$0.00
0.00
0.00
0.00
0.00
0.00
$0.00
0.00
0.00
0.00
0.00
0.00
$0.00
0.00
0.00
0.00
0.00
0.00
$0.00
0.00
0.00
0.00
0.00
0.00
10
15
20
25
30
Strategy Total
35
40
45
50
55
60
Underlying Price
2
5
10
15
20
25
30
35
40
45
50
55
60
65
70
Strat1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat2
10.59
10.59
10.59
10.59
10.59
10.59
5.69
0.69
-4.31
-9.31
-14.31
-19.31
-24.31
-29.31
-34.31
Strat8
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat9
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat10
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Total P&L
2.47
2.47
2.47
2.47
2.47
2.47
-2.43
-2.53
-2.53
2.37
2.47
2.47
2.47
2.47
2.47
Underlying Price
2
5
10
15
20
25
30
35
40
45
50
55
60
65
70
Strat1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat2
10.59
10.59
10.58
10.40
9.41
7.14
3.73
-0.43
-5.03
-9.83
-14.74
-19.70
-24.68
-29.67
-34.67
Strat8
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat9
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat10
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Underlying Price
2
5
10
15
20
25
30
35
40
45
50
55
Strat1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat2
0.00
0.00
-0.01
-0.09
-0.32
-0.58
-0.77
-0.88
-0.94
-0.97
-0.99
-0.99
Strat8
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat9
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat10
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Total Delta
0.00
0.00
0.00
-0.06
-0.15
-0.16
-0.09
-0.01
0.05
0.07
0.08
0.07
Intercept
0.00
0.00
0.00
0.00
0.00
27.42
0.00
0.00
42.48
0.00
0.00
0.00
0.00
0.00
#DIV/0!
60
65
70
0.00
0.00
0.00
-1.00
-1.00
-1.00
Underlying Price
2
5
10
15
20
25
30
35
40
45
50
55
60
65
70
Strat1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat2
0.00
0.00
0.00
-0.03
-0.05
-0.05
-0.03
-0.02
-0.01
0.00
0.00
0.00
0.00
0.00
0.00
Underlying Price
2
5
10
15
20
25
30
35
40
45
50
55
60
65
70
Strat1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Underlying Price
2
5
10
15
20
25
30
35
40
45
Strat1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.99
0.99
1.00
0.92
0.95
0.97
-0.86
-0.90
-0.94
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.06
0.04
0.03
Strat8
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat9
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat10
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Total Gamma
0.00
0.00
0.00
-0.02
-0.01
0.01
0.02
0.01
0.01
0.00
0.00
0.00
0.00
0.00
0.00
Strat2
0.00
0.00
0.00
0.00
0.00
0.01
0.01
0.01
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat8
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat9
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat10
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Total Theta
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat2
0.00
0.00
0.00
-0.02
-0.06
-0.08
-0.08
-0.06
-0.04
-0.02
Strat8
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat9
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat10
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Total Vega
0.00
0.00
0.00
-0.01
-0.01
0.01
0.04
0.05
0.04
0.02
50
55
60
65
70
Underlying Price
2
5
10
15
20
25
30
35
40
45
50
55
60
65
70
0.00
0.00
0.00
0.00
0.00
Strat1
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
-0.01
-0.01
0.00
0.00
0.00
Strat2
0.00
0.00
0.00
-0.01
-0.04
-0.08
-0.12
-0.14
-0.16
-0.17
-0.17
-0.17
-0.17
-0.17
-0.18
0.04
0.02
0.02
0.01
0.01
0.12
0.10
0.07
0.06
0.04
-0.15
-0.13
-0.12
-0.09
-0.07
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
-0.01
-0.02
-0.03
-0.03
-0.03
Strat8
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat9
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Strat10
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
Total Rho
0.00
0.00
0.00
-0.01
-0.02
-0.02
0.00
0.01
0.03
0.04
0.04
0.04
0.03
0.02
0.02
Strategy Setup
Company Name
Strategy Implementation Date
NetApp Inc.
5/3/2013
Long Syntetic
NetApp Inc.
Long 40 Call
Short 40 Put
Call Backspread
NetApp Inc.
P&L PLOTS
Current Stock Price
$34.90
Historical Volatility
40.00%
Put Backspread
NetApp Inc.
Call Bearspread
NetApp Inc.
Put Bearspread
NetApp Inc.
Long Straddle
NetApp Inc.
Long Straddle
NetApp Inc.
Long Strangle
NetApp Inc.
Short Strangle
NetApp Inc.
NetApp Inc.
5/3/2013
1/18/2014
$34.90
P&L at Expiration
0.10
2.00
0.05
1.00
0.00
0.00
-0.05
2
10
15
20
25
30
35
40
40.00%
Delta
3.00
-1.00
Historical Volatility
45
50
55
60
65
70
10
15
20
25
30
35
40
45
50
55
60
65
70
40
45
50
55
60
65
70
40
45
50
55
60
65
70
-0.10
-0.15
-2.00
-0.20
-3.00
Gamma
Theta
0.02
0.02
0.01
0.01
0.00
-0.01
10
15
20
25
30
35
40
45
50
55
60
65
70
-0.01
-0.02
0.00
0.00
0.00
0.00
0.00
0.00
0.00
0.00
-0.01
10
15
20
25
30
35
-0.02
Vega
Rho
0.06
0.05
0.04
0.04
0.03
0.02
0.02
0.01
0.00
2
10
15
-0.02
20
25
30
35
40
45
50
55
60
65
70
0.00
-0.01
-0.02
-0.04
-0.03
10
15
20
25
30
35
Strike Price
40
45
50
NetApp Inc.
Underlying Price
Exercise Price
Today's Date
Historical Volatility
Expiry Date
Risk Free Rate
Dividend Yield
DTE
DTE in Years
10
0.000051
0.000012
0.000003
15
0.001937
0.000701
0.000255
20
0.010456
0.005116
0.002433
25
0.023209
0.014341
0.008403
Underlying Price
30
35
40
0.032011 0.033348 0.029126
0.023934 0.029290 0.029410
0.016630 0.023505 0.026737
45
0.022664
0.025879
0.026262
50
0.016314
0.020793
0.023282
55
0.011132
0.015672
0.019181
60
0.007320
0.011284
0.014979
40
50
10
15
20
25
30
35
40
45
50
55
60
45
Strike Price
10
40 0.00001
45 0.00000
50 0.00000
15
0.00122
0.00044
0.00016
20
0.01171
0.00573
0.00272
25
0.04069
0.02514
0.01473
Underlying Price
30
35
40
0.08092 0.11484 0.13111
0.06050 0.10087 0.13238
0.04204 0.08095 0.12035
45
0.12919
0.14751
0.14969
50
0.11486
0.14639
0.16391
55
0.09487
0.13355
0.16345
60
0.07426
0.11447
0.15195
40
50
0.05000
0.00000
10
15
(0.05000)
20
25
30
35
40
45
50
55
60
45
Call Theta
Call Option Price
Put Theta
Put Option Price
NetApp Inc.
Underlying Price
Exercise Price
Today's Date
Historical Volatility
Expiry Date
Risk Free Rate
Dividend Yield
DTE
DTE in Years
Strike Price
40
40
40
40
100
(0.0132)
1.26
(0.0111)
6.14
90
(0.0136)
1.12
(0.0114)
6.03
80
(0.0140)
0.99
(0.0118)
5.91
70
(0.0144)
0.85
(0.0122)
5.79
Call Theta
20
(0.0124)
0.12
(0.0102)
5.17
10
(0.0060)
0.02
(0.0039)
5.10
1
(0.0000)
0.00
0.0022
5.10
0.0000
(0.0020)
30
(0.0145)
0.25
(0.0123)
5.29
1.40
100
90
80
70
60
50
40
30
20
10
(0.0040)
1.20
1.00
(0.0060)
0.80
(0.0080)
0.60
(0.0100)
0.40
(0.0120)
(0.0140)
0.20
(0.0160)
0.00
100
90
80
Put Theta
70
60
50
40
30
20
10
10
0.0050
7.00
6.00
0.0000
100
(0.0050)
(0.0100)
90
80
70
60
50
40
30
20
10
5.00
4.00
3.00
2.00
1.00
(0.0150)
0.00
100
90
80
70
60
50
40
30
20