Input interpretation
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 attributes
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
Time evolution of rho
Time evolution of rho