Input interpretation
strangle option
Input values
option name | European call strike price | $55 (US dollars) put strike price | $45 (US dollars) time to expiration | 3 months underlying price | $50 (US dollars) volatility | 20% dividend yield | 1% risk-free interest rate | 0.11%
Payout profile at expiration
Payout profile at expiration
Option attributes
value | delta | gamma | vega | theta | rho $0.82 | 0.037 | 0.096 | 11.995 | -4.794 | 0.262
Plots as a function of risk-free interest rate
Plots as a function of risk-free interest rate
Time evolution of rho
Time evolution of rho