1. Brief description of the calculator
2. Input definitions
3. Output definitions

• stock options
• index options
• currency options
• options on futures.

• analyses 5 options simultaneously

• calculates implied volatility, intrinsic and time values,
  or,
  theoretical option value and other indicators: delta, gamma, theta, vega and rho;

• automatic iteration of any one input parameter

• output does not require the web browser to support tables.

Iter (radio buttons)

The radio buttons to the right of the input data boxes can be checked to allow iteration of any one parameter. The program will then iterate -/+ 5 and 10% either side of the value for Option 3.
For example, if the share price is iterated when Option 3 has a share price of 60, the program will re-calculate using share price values of 54, 57, 60, 63 and 66.

Reset(checkbox)

All the input parameters in the data boxes can be reset to those values current for Option 3, by checking the Reset box (below the iteration radio buttons).

Calculation Settings

Option Type(radio button)

Select whether the option is a call or put.

Maturity(radio button)

Select whether the input maturity is in days/months/years.

Calculate(radio button)

Select whether to calculate theoretical option value (in which case input volatility), or implied volatility (in which case input option price).

Input Data

Share Price; Strike Price

These can be input in any units (e.g. dollars or cents) but the input must be consistent for the share price, strike price (and, if calculating implied volatility, for the option price as well).

Dividend Yield

The standard Black-Scholes model has been "adjusted" to account for dividends payable. (If this is not required then simply input 0 in the dividend yield field). To input a dividend yield of 3.4%, enter "3.4".

Note: if valuing currency options, then the foreign interest rate should be input to this field.

Interest Rate

The simple risk-free interest rate for the period should be input. For example, if valuing a 6 month option, then the 6-month risk-free rate should be used. To input a rate of 6.7%, input "6.7".

Note: the Black-Scholes valuation model requires the interest rate to be a continuously compounded rate. So the calculator converts the simple rate input, to a continuously compounded rate.

Maturity

Maturity can be input as days, months or years; simply select the appropriate button at the top of the form.

Volatility

If calculating the theoretical option value, then a forecast of future share price volatility must be input. To input a volatility of 25.5%, input "25.5". (If calculating implied volatility, any figure in the volatility input field will be ignored). For more detail on volatility see Option Volatility - a discussion of historic/implied/forecast volatilites.

Option Price

If calculating the implied volatility, then the actual market price of the option is input. This should be input in the same units as those used for the share price and strike price.

Option Value

The theoretical (or fair) value of the option as determined by the input parameters. The value will be expressed in the same units as those used for the input of share and exercise prices.

% of share

The option value (above) expressed as a percentage of the share price. It is sometimes useful to express the option value as such, when comparing options on different underlying securities.

Delta

Measures the sensitivity of the calculated option value to small changes in the share price.

Gamma

Measures the sensitivity of the calculated delta to small changes in the share price.

Theta

Measures the sensitivity of the calculated option value to small changes in time as expiration approaches.

Vega

Measures the sensitivity of the calculated option value to small changes in the volatility.

Rho1

Measures the sensitivity of the calculated option value to small changes in the interest rate.

(Rho2)

If using the calculator to value a currency option, then Rho2 indicates the sensitivity of the calculated option value to small changes in the foreign interest rate.