Options Pricer

Options Pricer

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Project Info

Project Title

Name

Roll Number

Date

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Call Premium

—

Black-Scholes

Intrinsic Value

—

Exercise value

Time Value

—

Optionality

Break-even

—

K + premium

Contract

Spot Price (S) 100.00 +0.0%

Base

Strike Price (K) 105.00 +0.0%

Base

Days to Expiry (T) 30d

Days

Implied Volatility (σ) 20.0% +0.0%

Base %

Risk-free Rate (r) 5.0%

Rate %

Dividend Yield (q) 0.0%

Yield %

Moneyness

Deep OTMATMDeep ITM

Monte Carlo

Simulations

Time steps / path 50

— awaiting run

Option Greeks

Greek	Symbol	Value	Interpretation

Delta vs Spot Price Call Δ & Put Δ across spot range

Call Δ

Put Δ

Payoff at Expiry — Long Call

Payoff (intrinsic)

P&L (net of premium)

Zero line

Max loss

—

Premium paid

Break-even

—

Spot at expiry

Max gain

—

At expiry

Option price

BS—

MC— (run MC)

—

Prob ITM

BS—

MC—

—

Std error (MC)

BSExact

MC—

—

Price vs Volatility BS curve · MC estimate at current vol

Black-Scholes

MC mean

95% CI

Simulated Price Paths

Run Monte Carlo simulation to view paths

Terminal Price Distribution

Run Monte Carlo simulation to view distribution

Price Sensitivity Matrix BS Price · Spot × Volatility

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Delta Sensitivity Matrix Delta · Spot × Volatility

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Strategy Builder

Leg	Dir	Type	Strike	Premium (BS)

Payoff at expiry

Net P&L

Zero line