Input interpretation
option ratio spread
Input values
option name | European long strike price | $50 (US dollars) short strike price | $55 (US dollars) ratio | 0.5 time to expiration | 3 months option type | call underlying price | $49 (US dollars) volatility | 20% dividend yield | 1% risk-free interest rate | 0.1%
Payout profile at expiration
Payout profile at expiration
Option attributes
value | delta | gamma | vega | theta | rho $0.86 | 0.171 | -0.006 | -0.704 | 0.359 | 1.880
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