- Computes American and European option price for equity (including equity index), foreign currency option and option on futures
- Computes Option Greeks – Delta, Vega, Theta, Gamma and Rho. In case of currency option, Rho 2 (sensitivity to foreign interest rate) is calculated.
- Implied volatility – Both from American and European Call/Put option prices, implied volatility is derived.
- Call, put, covered call and protective put option strategy payoff is provided.
- Stock Price/Future Price/Foreign Currency Spot Price
- Strike/Exercise Price
- Expiration time in day, month, year or select expiration date
- Risk free interest rate or domestic interest rate
- Optional Dividend yield for equity/index options
- Foreign interest rate for foreign currency options
- Historic volatility of the security
- Summary – American/European Call/Put Price, Intrinsic Value and Time Value
- Greeks – Delta, Gamma, Theta, Vega, Rho and Rho 2 (foreign currency) for call/put
- Payoff- payoff of call, put, covered call and protective put
- Implied Volatility – From European/American Call/Put price, implied volatility is calculated.
- Graphs/Charts of Profitability
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