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    Option Calc v1.0

    Uploaded by

    mr_gaurav
    This document appears to be a spreadsheet used to simulate and calculate values for a Russell 2000 butterfly spread option expiring on June 28, 2012. The spreadsheet contains input values for the lower strike, center strike, upper strike, current price, current volatility, risk free rate, number of spreads, and formulas to calculate the lower breakeven point, upper breakeven point, initial debit, total debit, maximum profit per spread, maximum profit total, new value of spread, and new total value based on changes to volatility, price, date, and time.

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    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd

    Option Calc v1.0

    Uploaded by

    mr_gaurav
    74 views2 pages
    This document appears to be a spreadsheet used to simulate and calculate values for a Russell 2000 butterfly spread option expiring on June 28, 2012. The spreadsheet contains input values for the lower strike, center strike, upper strike, current price, current volatility, risk free rate, number of spreads, and formulas to calculate the lower breakeven point, upper breakeven point, initial debit, total debit, maximum profit per spread, maximum profit total, new value of spread, and new total value based on changes to volatility, price, date, and time.

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    This document appears to be a spreadsheet used to simulate and calculate values for a Russell 2000 butterfly spread option expiring on June 28, 2012. The spreadsheet contains input values for the lower strike, center strike, upper strike, current price, current volatility, risk free rate, number of spreads, and formulas to calculate the lower breakeven point, upper breakeven point, initial debit, total debit, maximum profit per spread, maximum profit total, new value of spread, and new total value based on changes to volatility, price, date, and time.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    74 views2 pages

    Option Calc v1.0

    Uploaded by

    mr_gaurav
    This document appears to be a spreadsheet used to simulate and calculate values for a Russell 2000 butterfly spread option expiring on June 28, 2012. The spreadsheet contains input values for the lower strike, center strike, upper strike, current price, current volatility, risk free rate, number of spreads, and formulas to calculate the lower breakeven point, upper breakeven point, initial debit, total debit, maximum profit per spread, maximum profit total, new value of spread, and new total value based on changes to volatility, price, date, and time.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
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    Russell 2000 Butterfly simulation Today Expiration Time (tm) Low strike Center Strike (st) Upper strike

    Current Price (pr) Current Volatility (vl) Risk Free Rate (rt) Number of spreads New volatility New price New date New time (calculated) Option Calculations 720 730 740 Lower breakeven on expiration Upper breakeven on expiration Initial Debit (risk) per spread Total Debit (risk) Max profit per spread Max profit total New value of spread New total value

    Formula Info: 6/28/2012 9/19/2008 -3.7753 720 730 740 731.6 22.5% 3.0% 1 20.0% 750.0 9/10/2008 0.0247 Initial #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! #VALUE! New values 31.53 22.94 15.54 Notes:

    Source:

    118.63 118.63

    Profit (loss)

    #VALUE!

    geldpress_call(stock price, strike price, risk free rate, time, volatility) edit the orange shaded items only. dividends are not accounted for. No guarantees of any kind from use of this spreadsheet! Disclaimer: Use at your own risk! Options trading is dangerous! You can lose money! www.geldpress.com

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