Search

iron butterfly option

Input interpretation

iron butterfly option
iron butterfly option

Input values

option name | European first long strike price | $45 (US dollars) short strike price | $50 (US dollars) second long strike price | $55 (US dollars) time to expiration | 3 months underlying price | $50 (US dollars) volatility | 20% dividend yield | 1% risk-free interest rate | 0.1%
option name | European first long strike price | $45 (US dollars) short strike price | $50 (US dollars) second long strike price | $55 (US dollars) time to expiration | 3 months underlying price | $50 (US dollars) volatility | 20% dividend yield | 1% risk-free interest rate | 0.1%

Option attributes

value | delta | gamma | vega | theta | rho $-3.15 | 0.016 | -0.063 | -7.868 | 3.159 | 0.980
value | delta | gamma | vega | theta | rho $-3.15 | 0.016 | -0.063 | -7.868 | 3.159 | 0.980

Plots as a function of risk-free interest rate

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
Time evolution of rho