Input interpretation
iron condor option
Input values
option name | European first long strike price | $45 (US dollars) first short strike price | $50 (US dollars) second short strike price | $55 (US dollars) second long strike price | $60 (US dollars) time to expiration | 3 months underlying price | $52.50 (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 $-1.78 | 0.009 | -0.081 | -11.146 | 4.473 | 0.566
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