Red Squares For Example: $90.00 $100.00 $105.00 Err:502 Err:502 Err:502 For Example: $100.0000 Initial Cost Err:502 10% 25% 4% $80.00 $1.00 0 0 1

See: http://www.golden.net/~pjponzo/black-scholes-3.htm Have fun!
Enter the data in red squares like so: gummy

(1) Strike Prices & Option Premiums for Example: Note: Enter Expiry Month as
Strike = $90.00 $100.00 $105.00 etc.
Premium = Err:502 Err:502 Err:502 etc.
90% 100% 105% These just give Strike Prices as percentages of Stock Pri
(2) The Current Price of the stock for Example: (You can change them.)
Current Price = $100.0000 Initial Cost
(3) The Return, Standard Deviation & Risk-free Rate for the stock (if you know these *) Err:502
Mean Return = 10%
Std Devn = 25% This just
Risk-free Rate 4% gives the
(4) The start and increment for the plot (if you want to change these) percentages
PLOT from $80.00 increments of $1.00 where you
(5) PLAY with the number of contracts which you write or buy MAKE or
# contracts = 0 0 1 etc. LOSE money within the
NOW: gaze in awe and admiration at the plot of total gain and probabilities RANGE OF THE PLOT
… and, of course, repeat (5) till you see something you like! This gives your initial outlay of money.
P.S. You can, of course, just INVENT a stock … with invented strike prices and If it's negative, you RECEIVE a (net) amount.
Current Stock Price. BUT … what about the option premium? (because of calls you WRITE).
Just type in the Black-Scholes price; it's pretty accurate. For Covered Calls, it includes the cost of shares.
* If you don't know the Standard Deviation invent one so that the Black-Scholes You can choose to write Covered or Uncovered Calls
price is close to the actual Option Premium. (This is an "implied volatility".) COVERED Calls (y/n) ?
Assuming a Log-normal Distribution of Returns,
this gives the probability that, at expiry, you'll LOSE!
Expiry Month = sep
Enter Expiry Month as mmm (like sep
give Strike Prices as percentages of Stock Price.
In the range
$80 to $107
Err:502
Err:502
the Max Gain is
Err:502
the Min Gain is
Err:502
LOSE money within the
RANGE OF THE PLOT, currently($0)
your initial outlay of money.
tive, you RECEIVE a (net) amount.
of calls you WRITE).
d Calls, it includes the cost of shares.
oose to write Covered or Uncovered Calls
COVERED Calls (y/n) ? n
Prob. of Loss
Err:502
Stock Name Err:502 and buying 1 COVERED Calls (y/n) ?
XYZ 90% 100% 105% 90% 100% 105%
WRITE a call Uncovered BUY a call
# contracts = 0 0 1 1 0 0
Strike = $90.00 $100.00 $105.00 $90.00 $100.00 $105.00
Premium = Err:502 Err:502 Err:502 Err:502 Err:502 Err:502
Black-Scholes = Err:502 Err:502 Err:502 Err:502 Err:502 Err:502
$1 100% 100%
$1 90% Err:502
90%
Err:502
$1 80%
80%
Cumulative Distribution
$1 70%
70% Gain/Loss
$1 60%
60%
$0 50%
50%
$0 40%
$0 30% 40%
$0 20% 30%
$0 10% 20%
$0 0% 10%
$108.00
$118.00
$80.00
$82.00
$86.00
$90.00
$92.00
$96.00
$104.00
$84.00
$88.00
$98.00
$100.00
$102.00
$106.00
$110.00
$112.00
$114.00
$116.00
$120.00
$122.00
$94.00
0%
$98.00
$104.00
$107.00
$110.00
$113.00
$116.00
$119.00
$92.00
$95.00
$101.00
$122.00
$80.00
$83.00
$86.00
$89.00
BreakEven
Column O Column AL
Err:502
PLOT from $80.00 increments of $1.00 Err:502
Your PLOT is from 80% to 107% of the 'Current Price' Err:502
n 1
Current Price = $100.0000 Err:502 Err:502 Err:502 Black Err:502
Expiry Month = sep Err:502 Err:502 Err:502 Scholes
stuff Err:502
Err:502 Err:502 Err:502 Err:502
Today is Err:502 Err:502 Err:502 stuff Err:502
22-Feb-09 99.55 Err:502 $9.55
zero loss Err:502
CALL expires Err:502 Err:502 Err:502 1 0 0
Err:502 days to expiry WIN Err:502 Err:502 $90.000 $100.000 $105.000
Assumptions: (annual data) or Stock Price Err:502 Err:502 Err:502
Mean Return = 10% LOSE? at expiration Combination BUY call options
Std Devn = 25% Err:502 $80.00 Err:502 Err:502 Err:502 Err:502

Risk-free Rate = 4% Err:502 $81.00 Err:502 Err:502 Err:502 Err:502
Initial Cost In the range Err:502 $82.00 Err:502 Err:502 Err:502 Err:502
Err:502 $80 to $107 Err:502 $83.00 Err:502 Err:502 Err:502 Err:502
Covered Calls Err:502 Err:502 $84.00 Err:502 Err:502 Err:502 Err:502
Cost of buying Err:502 Err:502 $85.00 Err:502 Err:502 Err:502 Err:502
100 the Max Gain is Err:502 $86.00 Err:502 Err:502 Err:502 Err:502
shares at Err:502 Err:502 $87.00 Err:502 Err:502 Err:502 Err:502
$100.0000 the Min Gain is Err:502 $88.00 Err:502 Err:502 Err:502 Err:502
$10,000.00 Err:502 Err:502 $89.00 Err:502 Err:502 Err:502 Err:502
Prob. of Loss Err:502 $90.00 Err:502 Err:502 Err:502 Err:502
Err:502
$110.00
$113.00
$116.00
$119.00
$122.00
Err:502 $91.00 Err:502 Err:502 Err:502 Err:502

Change ONLY Err:502 $93.00 Err:502 Err:502 Err:502 Err:502
numbers in Err:502 $94.00 Err:502 Err:502 Err:502 Err:502
a red square Err:502 $95.00 Err:502 Err:502 Err:502 Err:502









Err:502 Err:502 100%
Err:502 Err:502
Err:502 Err:502 80%
Err:502 Err:502
60%
Calculation of40% Feb 22/09 100 09

0 0 1 Writing Expiry stuff sep 1-sep
20%
$90.000 $100.000 $105.000 Uncovered
Err:502 Err:502 Err:502 Calls 0% Dates expires Err:502
TOTAL WRITE call options TOTAL zero Index Err:502 Fridays Expiry
$80.00
$86.00
$98.00
$101.00
$107.00
$110.00
$113.00
$119.00
$122.00
$83.00
$89.00
$92.00
$95.00
$104.00
$116.00
Err:502 Err:502 Err:502 Err:502 Err:502 0 1 Err:502 Err:502
Err:502 Err:502 Err:502 Err:502 Err:502 ### 0 2 Err:502 Err:502 Err:502
Err:502 Err:502 Err:502 Err:502 Err:502 ### 0 29





44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
lognormal Mean = 7.01% Err:502 $1.00
lognormal SD = 22.44% Err:502 $0.90
Err:502 Distribution of Prices at Expiry $0.80
Mean Return = 10.00% Expected Gain = Err:502

$0.70
Standard Deviation = 25.00% Err:502 $0.60
Annualized Return = 7.12% Break Even Price = Err:502

$0.50
### Price at Expiry (est.) = Err:502 Break Even Price = #N/A Err:502 $0.40
#N/A Std Dev at Expiry (est.) = Err:502 Prob of Loss = Err:502 Err:502 $0.30
### increment = Err:502 check Err:502 Err:502 $0.20

Prob of Loss =
Stocks only Annualized Gain price Break Even Cum Dist Price Density Dist Density Dist Expected Price $0.10
Price
$101.00
$107.00
$110.00
$113.00
$119.00
$122.00
$104.00
$116.00
-$2,000.00 Err:502 ### Err:502 Err:502 $80.00 Err:502 Err:502 Err:502 $0.00
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
-$1,900.00 Err:502 ### Err:502 Err:502 $81.00 Err:502 Err:502 Err:502 Err:502
-$900.00 Err:502 ### Err:502 Err:502 $91.00 Err:502 Err:502 Err:502 Err:502
$0.00 Err:502 ### Err:502 Err:502 $100.00 Err:502 Err:502 Err:502 Err:502
$1,000.00 Err:502 ### Err:502 Err:502 $110.00 Err:502 Err:502 Err:502 Err:502
$1.00
$0.90
$0.80
$0.70
$0.60
$0.50
$0.40
$0.30 Err:502 'Expected' Gains
$0.20 Err:502 Cum Density
$0.10 Price Distn Distn Err:502
$0.00 Err:502 Err:502 Err:502 0.00% Err:502 Err:502 Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502
Err:502 Err:502 Err:502 Err:502 Err:502 Err:502 Err:502














Err:502 Err:502 Err:502 Err:502 Err:502 Err:502










Red Squares For Example: $90.00 $100.00 $105.00 Err:502 Err:502 Err:502 For Example: $100.0000 Initial Cost Err:502 10% 25% 4% $80.00 $1.00 0 0 1

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See: http://www.golden.net/~pjponzo/black-scholes-3.htm Have fun!

Enter the data in red squares like so: gummy

give Strike Prices as percentages of Stock Price.

Std Devn = 25% Err:502 $80.00 Err:502 Err:502 Err:502 Err:502

Err:502 $91.00 Err:502 Err:502 Err:502 Err:502

Err:502 $92.00 Err:502 Err:502 Err:502 Err:502

Err:502 $98.00 Err:502 Err:502 Err:502 Err:502

Err:502 $101.00 Err:502 Err:502 Err:502 Err:502

Err:502 $103.00 Err:502 Err:502 Err:502 Err:502

Err:502 $106.00 Err:502 Err:502 Err:502 Err:502

Err:502 $109.00 Err:502 Err:502 Err:502 Err:502

Err:502 $112.00 Err:502 Err:502 Err:502 Err:502

Err:502 $115.00 Err:502 Err:502 Err:502 Err:502

Err:502 $118.00 Err:502 Err:502 Err:502 Err:502

Err:502 $121.00 Err:502 Err:502 Err:502 Err:502

Calculation of40% Feb 22/09 100 09

Err:502 Err:502 Err:502 Err:502 Err:502 ### 0 30

Err:502 Err:502 Err:502 Err:502 Err:502 ### 0 33

Err:502 Err:502 Err:502 Err:502 Err:502 ### 0 36

Err:502 Err:502 Err:502 Err:502 Err:502 ### 0 39

Err:502 Err:502 Err:502 Err:502 Err:502 ### 0 42

Mean Return = 10.00% Expected Gain = Err:502

Standard Deviation = 25.00% Err:502 $0.60

Annualized Return = 7.12% Break Even Price = Err:502

### increment = Err:502 check Err:502 Err:502 $0.20

Err:502 Err:502 Err:502 Err:502 Err:502 Err:502 Err:502

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