So

K
Rf
T(aos)
Volatility

49
50
0.05
0.38
0.2

d1
d2

0.0518888955
-0.071399385

N(d1)
N(d2)

0.5206913888 P de que este ITM

0.4715399497 P de que sea > 50

N(-d1)
N(-d2)
menosN(-D1)

0.4793086112
0.5284600503
-0.479308611

Call Price
Put Price

2.3806146934
2.4395828055

Delta
Call
Put

0.5206913888
-0.479308611
1

Delta Call Price

Delta Put Price
Cambio en So

2.9013060822
1.9602741943
1

Gamma
So
Volatility time
d1
Exp(-d1^2/2)
N(d1)
Gamma Call
Gamma Put

49
0.1232882801
0.0518888955
0.998654677
0.3984055742
0.0659488964
0.0659488964

Gamma Call Price 2.9342805304

Gamma Put Price 1.9932486425
Cambio en So
1
Theta

Theta Call
Theta Put

-4.323529171
-1.870580765

Vega
Call
Put

12.034090812
12.034090812

Rho
Rho Call
Rho Put

8.7906400755
9.8517678071

So
K
Rf
T(aos)
Volatility
d1
d2
N(d1)
N(d2)
N(-d1)
N(-d2)
menosN(-D1)
Call Price
Put Price
Delta
Call
Put

Delta Call Price

Delta Put Price
Cambio en So
Gamma
So
Volatility time
d1
Exp(-d1^2/2)
N(d1)
Gamma Call
Gamma Put
Gamma Call Price
Gamma Put Price
Cambio en So
Theta

25
40
0.080
0.2493
0.300

26
40
0.080
0.2493
0.300

27
40
0.080
0.2493
0.300

28
40
0.080
0.2493
0.300

-2.92961089 -2.66778055 -2.41583299 -2.17304922

-3.07940527 -2.81757493 -2.56562737 -2.3228436

29
40
0.080
0.2493
0.300
Delta es positiva p
precio de la accim
-1.93878596
de la accin, dism
-2.08858034
Gamma es la segu
accin, como esta
#NAME?
para los dos. Gam
#NAME?
del portafolio es la
suma de dos func
#NAME?
Theta para opcion
#NAME?
valor de Calls y Pu
#NAME?
y negativa para lo

0.00169693
0.00103707

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

0.99830307
0.99896293
-0.99830307

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

0.00175966
14.211855

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
Vega es positiva p
#NAME?
de las opciones.

0.00169693
-0.99830307
1

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

Rho es positiva pa
valor de la opcin
#NAME?
disminuye, por es
#NAME?
#NAME?

0.00345659
13.213552
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

25
0.14979438
-2.92961089
0.01368698
0.00546032
0.00145808
0.00145808

26
0.14979438
-2.66778055
0.02848076
0.01136218
0.00291738
0.00291738

27
0.14979438
-2.41583299
0.05403493
0.02155682
0.00532998
0.00532998

28
0.14979438
-2.17304922
0.09431911
0.03762788
0.00897132
0.00897132

29
0.14979438
-1.93878596
0.15267474
0.06090841
0.01402115
0.01402115

0.00418564
13.214281
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

Theta Call
Theta Put

-0.04426168
3.09254595

Vega
Call
Put

#NAME?
#NAME?

#NAME?
#NAME?

0.06816039 0.14750585 0.29061814

0.06816039 0.14750585 0.29061814

Rho
Rho Call
Rho Put

0.01013807
-9.76552955

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

0.5260682 0.88196127
0.5260682 0.88196127

#NAME?
#NAME?

#NAME?
#NAME?

Theta
3.5
3
2.5

Theta Call

Theta Put

1.5
1
0.5
0
-0.5

20

30

40

50

Delta
0.2
0
-0.2
-0.4
-0.6
-0.8
-1
-1.2

20

25

30

35

40

45

50

55
Delta Call
Delta Put

30
31
32
33
34
35
40
40
40
40
40
40
0.080
0.080
0.080
0.080
0.080
0.080
0.2493
0.2493
0.2493
0.2493
0.2493
0.2493
0.300
0.300
0.300
0.300
0.300
0.300
Delta es positiva para un Call porque el valor de este aumenta cuando aumenta el
precio de la accim. La Delta de un Put es negativa porque cuando aumenta el precio
-1.49356649
-1.28161796
-1.07619197 -0.87689903 -0.68338351
de la-1.71246538
accin, disminuye
el precio
del Put.
-1.86225976 -1.64336087 -1.43141234 -1.22598635 -1.02669341 -0.83317789
Gamma es la segunda derivada del valor de la opcin con respecto al precio de la
accin, como
esta es convexa
Calls y Puts, tiene
un valor#NAME?
posistivo y es#NAME?
la misma
#NAME?
#NAME? para #NAME?
#NAME?
para los dos. Gamma es aditiva, si se tiene un portafolio con dos opciones, la Gamma
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
del portafolio es la suma de las gammas de las opciones, la segunda derivada de la
suma de dos funciones, es la suma de sus segundas derivadas.
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
Theta para
opciones americanas
negativa porque
conforme#NAME?
aumenta el tiempo,
#NAME?
#NAME? es#NAME?
#NAME?
#NAME?el
valor de #NAME?
Calls y Puts disminuye.
Para
opciones
europeas
Theta
es
positiva
para
los Calls
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
y negativa para los Puts.
#NAME?porque
#NAME?
#NAME?
Vega es positiva
cuando se #NAME?
incrementa la#NAME?
volatilidad, se
incrementa#NAME?
el valor s
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
de las opciones.
Rho es positiva para los Calls porque cuando aumenta el valor del interes, aumenta el
valor de la opcin. Para los Puts, cuando aumenta el interes, el valor de la opcin
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
disminuye, por eso es negativa.
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

30
0.14979438
-1.71246538
0.23078498
0.09206989
0.02048806
0.02048806

31
0.14979438
-1.49356649
0.32779383
0.13077082
0.02816136
0.02816136

32
0.14979438
-1.28161796
0.43987165
0.1754834
0.03660923
0.03660923

33
0.14979438
-1.07619197
0.56040554
0.22356946
0.04522755
0.04522755

34
0.14979438
-0.87689903
0.68080732
0.27160282
0.05332856
0.05332856

35
0.14979438
-0.68338351
0.79175244
0.31586352
0.06024707
0.06024707

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

1.37915513 2.02416914 2.80388553

1.37915513 2.02416914 2.80388553

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

3.6838394 4.61091867 5.52003441

3.6838394 4.61091867 5.52003441

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

Rho
2
0
Theta Call

-2

Theta Put

-4
-6
-8
-10
-12

Delta Call
Delta Put

20

25

30

35

40

45

50

55
Rho Call
Rho Put

36
40
0.080
0.2493
0.300

37
40
0.080
0.2493
0.300

38
40
0.080
0.2493
0.300

39
40
0.080
0.2493
0.300

40
40
0.080
0.2493
0.300

41
40
0.080
0.2493
0.300

#NAME?
tiempo, el
#NAME?
para los Calls #NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

36
0.14979438
-0.49531987
0.88455473
0.35288628
0.06543902
0.06543902

37
0.14979438
-0.3124093
0.95237179
0.37994137
0.06855188
0.06855188

38
0.14979438
-0.13437694
0.99101205
0.39535661
0.06945602
0.06945602

39
0.14979438
0.03903067
0.99923859
0.39863852
0.06823688
0.06823688

40
0.14979438
0.20804775
0.97859057
0.39040115
0.06515618
0.06515618

41
0.14979438
0.37289113
0.93283784
0.37214845
0.06059501
0.06059501

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

menta el
a el precio
-0.49531987 -0.3124093 -0.13437694 0.03903067 0.20804775 0.37289113
-0.64511425 -0.46220368 -0.28417132 -0.11076371 0.05825337 0.22309675
o de la
es la misma #NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
la Gamma
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
#NAME?
ada de la

a el valor s

aumenta el
opcin

#NAME?
#NAME?

#NAME?
#NAME?

6.34324582 7.01928014
6.34324582 7.01928014

#NAME?
#NAME?

50

#NAME?
#NAME?

55
Rho Call
Rho Put

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

7.5014784 7.76279533 7.79731984 7.61858541

7.5014784 7.76279533 7.79731984 7.61858541

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

42
40
0.080
0.2493
0.300

43
40
0.080
0.2493
0.300

44
40
0.080
0.2493
0.300

45
40
0.080
0.2493
0.300

46
40
0.080
0.2493
0.300

47
40
0.080
0.2493
0.300

0.533762 0.69084732 0.84432115 0.99434585 1.14107303 1.28464454

0.38396762 0.54105294 0.69452677 0.84455147 0.99127865 1.13485016
#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

42
0.14979438
0.533762
0.8672301
0.34597475
0.05499201
0.05499201

43
0.14979438
0.69084732
0.78770234
0.31424777
0.04878746
0.04878746

44
0.14979438
0.84432115
0.70016511
0.27932546
0.04238013
0.04238013

45
0.14979438
0.99434585
0.60996004
0.24333885
0.03609969
0.03609969

46
0.14979438
1.14107303
0.52151157
0.20805301
0.030194
0.030194

47
0.14979438
1.28464454
0.43816672
0.17480323
0.02482882
0.02482882

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

7.25551032 6.74706538 6.13673641

7.25551032 6.74706538 6.13673641

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

5.4676188 4.77865973 4.10224487

5.4676188 4.77865973 4.10224487

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

48
40
0.080
0.2493
0.300

49
40
0.080
0.2493
0.300

50
40
0.080
0.2493
0.300

1.42519326 1.56284387 1.69771346

1.27539888 1.41304949 1.54791908
#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

48
0.14979438
1.42519326
0.36218943
0.14449268
0.02009598
0.02009598

49
0.14979438
1.56284387
0.29486417
0.11763378
0.01602657
0.01602657

50
0.14979438
1.69771346
0.23666361
0.09441512
0.01260596
0.01260596

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?
1

#NAME?
#NAME?

3.46307055
3.46307055

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

2.878077 2.35714242
2.878077 2.35714242

#NAME?
#NAME?

#NAME?
#NAME?

Si se tiene una opcin que est ATM y expira en poco tiempo, la opcin se puede
que tendra una Delta positiva, o moverse OTM y tendr una delta cercana a 0. C
de su maduracin y que est ATM, pequeos cambios en el precio de la accin p
Gamma mide la sensibilidad de Delta, Gamma es muy grande.

De la paridad Call-Put tenemos que:

C-P = S - PV(K)
Cambio en C - Cambio en P = 1 De esto, si dabemos de la Delta de un Call es .6
de -.4

ATM forward significa que K = al precio forward de la accion So*e^(rt). En este c

como esta Delta depende de T, entre ms grande sea esta, Delta ser ms gran
Delta.

oco tiempo, la opcin se puede mover ITM lo cal quiere decir

tendr una delta cercana a 0. Cuando se tiene una opcin cerca
bios en el precio de la accin pueden mover delta a 0 o 1. Como
muy grande.

mos de la Delta de un Call es .6 entonces la Delta de un Put ser

e la accion So*e^(rt). En este caso N(d1) es la Delta de un Call,

sea esta, Delta ser ms grande. A mayor maduracin, mayor

Deep OTM
So
K
Rf
T(aos)
Volatility

70
100
0.03
0.1
0.3

70
100
0.03
0.2
0.3

70
100
0.03
0.3
0.3

70
100
0.03
0.4
0.3

70
100
0.03
0.5
0.3

d1
d2

-3.68062708 -2.54669467 -2.03372394 -1.72172813 -1.50460511

-3.77549541 -2.68085875 -2.19804071 -1.91146479 -1.71673715

N(d1)
N(d2)

0.00011633
7.9845E-005

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

N(-d1)
N(-d2)
menosN(-D1)

0.99988367
0.99992016
-0.99988367

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

0.00018256
29.7006321

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

0.00011633
-0.99988367
1

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

130
100
0.03
0.1
0.3

130
100
0.03
0.2
0.3

130
100
0.03
0.3
0.3

130
100
0.03
0.4
0.3

130
100
0.03
0.5
0.3

Call Price
Put Price
Delta
Call
Put

Deep ITM
So
K
Rf
T(aos)
Volatility
d1
d2

2.84461912 2.06735117 1.73362871 1.54089497 1.4135737

2.74975079 1.93318709 1.56931194 1.35115831 1.20144166

N(d1)
N(d2)

0.99777677
0.99701797

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

0.00222323
0.00298203
-0.00222323

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

30.3078406

#NAME?

#NAME?

#NAME?

#NAME?

N(-d1)
N(-d2)
menosN(-D1)
Call Price

Put Price
Delta
Call
Put

0.00829014

#NAME?

#NAME?

#NAME?

#NAME?

0.99777677
-0.00222323
1

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

70
100
0.03
0.6
0.3

70
100
0.03
0.7
0.3

70
100
0.03
0.8
0.3

70
100
0.03
0.9
0.3

70
100
0.03
1
0.3

70
100
0.03
1.1
0.3

-1.34123541 -1.21186198 -1.10564224 -1.01605718 -0.93891648 -0.87138517

-1.57361441 -1.46285999 -1.37397039 -1.30066217 -1.23891648 -1.18602783
#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
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#NAME?

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#NAME?
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#NAME?
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#NAME?
#NAME?
En el caso de un Call que este deep OTM (S < K) quiere
decir que LN(S/K) < 0 por lo tanto N(d1) ser siempre
positiva, es decir, el valor de Delta aumenta cuando
aumenta la #NAME?
maduracin. #NAME?
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130
100
0.03
0.6
0.3

130
100
0.03
0.7
0.3

130
100
0.03
0.8
0.3

130
100
0.03
0.9
0.3

130
100
0.03
1
0.3

#NAME?
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130
100
0.03
1.1
0.3

1.3226852 1.25444926 1.20138068 1.15902488 1.12454755 1.09605058

1.0903062 1.00345125 0.93305252 0.87441989 0.82454755 0.78140793
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70
100
0.03
1.2
0.3

70
100
0.03
1.3
0.3

70
100
0.03
1.4
0.3

70
100
0.03
1.5
0.3

70
100
0.03
1.6
0.3

70
100
0.03
1.7
0.3

-0.81146601 -0.75770488 -0.70901383 -0.66456002 -0.62369324 -0.58589719

-1.14009955 -1.0997575 -1.06397862 -1.03198348 -1.00316656 -0.97704934
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130
100
0.03
1.2
0.3

130
100
0.03
1.3
0.3

130
100
0.03
1.4
0.3

130
100
0.03
1.5
0.3

130
100
0.03
1.6
0.3

130
100
0.03
1.7
0.3

1.07221031 1.0520728 1.03493157 1.0202513 1.00761831 0.99670747

0.74357678 0.71002017 0.67996678 0.65282784 0.62814499 0.60555533
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70
100
0.03
1.8
0.3

70
100
0.03
1.9
0.3

70
100
0.03
2
0.3

70
100
0.03
2.1
0.3

70
100
0.03
2.2
0.3

70
100
0.03
2.3
0.3

-0.55075583 -0.51792945 -0.48713751 -0.4581459 -0.4307574 -0.40480454

-0.95324806 -0.93145091 -0.91140158 -0.8928872 -0.87572931 -0.85977707
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130
100
0.03
1.8
0.3

130
100
0.03
1.9
0.3

130
100
0.03
2
0.3

130
100
0.03
2.1
0.3

130
100
0.03
2.2
0.3

130
100
0.03
2.3
0.3

0.98725945 0.97906469 0.97195189 0.96577956 0.96042976 0.95580335

0.58476722 0.56554323 0.54768782 0.53103826 0.51545785 0.50083082
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1.2

Delta/Tiempo

1
0.8
0.6

Call In the

Call Out o

Delta/Tiempo
1.2

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1
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0.8

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0.6
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0.4
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Call Out o

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0.2
0
0

70
100
0.03
2.4
0.3

70
100
0.03
2.5
0.3

70
100
0.03
2.6
0.3

70
100
0.03
2.7
0.3

70
100
0.03
2.8
0.3

70
100
0.03
2.9
0.3

-0.38014395 -0.3566521 -0.33422181 -0.31275961 -0.29218348 -0.27242114

-0.84490195 -0.83099375 -0.81795728 -0.80570991 -0.7941795 -0.78330273
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130
100
0.03
2.4
0.3

130
100
0.03
2.5
0.3

130
100
0.03
2.6
0.3

130
100
0.03
2.7
0.3

130
100
0.03
2.8
0.3

130
100
0.03
2.9
0.3

0.95181635 0.94839714 0.94548425 0.94302461 0.94097214 0.93928666

0.48705835 0.47405549 0.46174879 0.45007431 0.43897612 0.42840507
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a/Tiempo

Call In the money

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a/Tiempo

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Call In the money

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Call Out of the money

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#NAME?

70
100
0.03
3
0.3

70
100
0.03
3.1
0.3

70
100
0.03
3.2
0.3

70
100
0.03
3.3
0.3

70
100
0.03
3.4
0.3

70
100
0.03
3.5
0.3

-0.25340855 -0.23508876 -0.21741092 -0.20032943 -0.18380327 -0.16779542

-0.77302379 -0.76329327 -0.75406724 -0.74530649 -0.73697594 -0.72904402
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130
100
0.03
3
0.3

130
100
0.03
3.1
0.3

130
100
0.03
3.2
0.3

130
100
0.03
3.3
0.3

130
100
0.03
3.4
0.3

130
100
0.03
3.5
0.3

0.93793296 0.93688005 0.93610054 0.93557013 0.93526722 0.9351725

0.41831772 0.40867555 0.39944422 0.39059307 0.38209456 0.37392389
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70
100
0.03
3.6
0.3

70
100
0.03
3.7
0.3

70
100
0.03
3.8
0.3

70
100
0.03
3.9
0.3

70
100
0.03
4
0.3

70
100
0.03
4.1
0.3

-0.15227235 -0.13720364 -0.12256157 -0.10832082 -0.09445824 -0.08095258

-0.72148233 -0.71426517 -0.70736923 -0.70077335 -0.69445824 -0.68840628
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130
100
0.03
3.6
0.3

130
100
0.03
3.7
0.3

130
100
0.03
3.8
0.3

130
100
0.03
3.9
0.3

130
100
0.03
4
0.3

130
100
0.03
4.1
0.3

0.93526868 0.93554022 0.93597314 0.93655481 0.93727377 0.93811967

0.3660587 0.3584787 0.35116548 0.34410228 0.33727377 0.33066596
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70
100
0.03
4.2
0.3

70
100
0.03
4.3
0.3

70
100
0.03
4.4
0.3

70
100
0.03
4.5
0.3

70
100
0.03
4.6
0.3

70
100
0.03
4.7
0.3

-0.0677843 -0.0549354 -0.04238927 -0.03013052 -0.0181449 -0.00641919

-0.68260135 -0.67702865 -0.67167458 -0.66652662 -0.66157322 -0.6568037
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130
100
0.03
4.2
0.3

130
100
0.03
4.3
0.3

130
100
0.03
4.4
0.3

130
100
0.03
4.5
0.3

130
100
0.03
4.6
0.3

130
100
0.03
4.7
0.3

0.93908305 0.94015531 0.94132861 0.94259575 0.94395016 0.94538579

0.324266 0.31806207 0.3120433 0.30619965 0.30052184 0.29500129
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100
0.03
4.8
0.3

70
100
0.03
4.9
0.3

70
100
0.03
5
0.3

0.00505891 0.01630087 0.02731738

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130
100
0.03
4.8
0.3

130
100
0.03
4.9
0.3

130
100
0.03
5
0.3

0.94689707 0.9484789 0.95012655

0.28963 0.28440059 0.27930615
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Deep OTM
So
K
Rf
T(aos)
Volatility
d1
d2
N(d1)
N(d2)
N(-d1)
N(-d2)
menosN(-D1)
Call Price
Put Price
Delta
Call
Put

Deep ITM
So
K
Rf
T(aos)
Volatility
d1
d2

70
100
0.03
0.5
0.01

70
100
0.03
0.5
0.02

70
100
0.03
0.5
0.03

70
100
0.03
0.5
0.04

70
100
0.03
0.5
0.05

-48.3165984 -24.1529959 -16.0961047 -12.0658914 -9.64634912

-48.3236695 -24.167138 -16.1173179 -12.0941756 -9.68170446
0
0

El valor de delta
de un Call
aumenta cuando
la Volatilidad aumenta.
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1
1
-1

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0
28.511194

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0
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1

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130
100
0.03
0.5
0.01

130
100
0.03
0.5
0.02

130
100
0.03
0.5
0.03

130
100
0.03
0.5
0.04

130
100
0.03
0.5
0.05

De

39.228766 19.6196863 13.0856834 9.82044975 7.86272376

1.2
39.2216949 19.6055442 13.0644702 9.79216548 7.82736842
1

N(d1)
N(d2)
N(-d1)
N(-d2)
menosN(-D1)
Call Price

1
1

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0.8
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0.6

0
0
0

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
0.4
#NAME?
#NAME?
0.2

31.488806

#NAME?

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0
#NAME?
0

0.1

0.2

0.2
0

Put Price
Delta
Call
Put

#NAME?

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1
0
1

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

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#NAME?
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0.1

0.2

70
100
0.03
0.5
0.06

70
100
0.03
0.5
0.07

70
100
0.03
0.5
0.08

70
100
0.03
0.5
0.09

70
100
0.03
0.5
0.1

70
100
0.03
0.5
0.11

-8.03214246 -6.87812754 -6.01173247 -5.33708397 -4.79665806 -4.35384858

-8.07456886 -6.92762502 -6.06830102 -5.40072358 -4.86736874 -4.43163032

uando la Volatilidad
aumenta.
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#NAME?
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#NAME?

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#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

130
100
0.03
0.5
0.06

130
100
0.03
0.5
0.07

130
100
0.03
0.5
0.08

130
100
0.03
0.5
0.09

130
100
0.03
0.5
0.1

130
100
0.03
0.5
0.11

Delta/Volatilidad

6.55875161 5.62835309 4.93143808 4.39017874 3.95787838 3.60482091

6.51632521 5.57885561 4.87486954 4.32653913 3.88716771 3.52703917

1.2
1

#NAME?
#NAME?

0.8

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
Call ITM
#NAME?

#NAME?
#NAME?

Call OTM

0.6

#NAME?
#NAME?
#NAME?

0.4
0.2
0
0

#NAME?
0.1

0.2

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?

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0.3

0.4

#NAME?
#NAME?
#NAME?

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#NAME?
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#NAME?
#NAME?

#NAME?

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0.5

0.6

0.2
0
0

0.1

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#NAME?
#NAME?
#NAME?

0.2

0.3

0.4

#NAME?

#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

0.5

0.6

#NAME?

#NAME?

#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

70
100
0.03
0.5
0.12

70
100
0.03
0.5
0.13

70
100
0.03
0.5
0.14

70
100
0.03
0.5
0.15

70
100
0.03
0.5
0.16

70
100
0.03
0.5
0.17

-3.98425142 -3.67097144 -3.40194067 -3.16830926 -2.96343983 -2.78225675

-4.06910424 -3.76289532 -3.50093561 -3.27437527 -3.07657692 -2.9024649
#NAME?
#NAME?

#NAME?
#NAME?

#NAME?
#NAME?

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#NAME?

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#NAME?

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#NAME?
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#NAME?

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#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

130
100
0.03
0.5
0.12

130
100
0.03
0.5
0.13

130
100
0.03
0.5
0.14

130
100
0.03
0.5
0.15

130
100
0.03
0.5
0.16

130
100
0.03
0.5
0.17

3.31119561 3.06328736 2.85129965 2.66804837 2.50814545 2.36747057

3.2263428 2.97136348 2.7523047 2.56198235 2.39500836 2.24726242
#NAME?
#NAME?

#NAME?
#NAME?

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70
100
0.03
0.5
0.18

70
100
0.03
0.5
0.19

70
100
0.03
0.5
0.2

70
100
0.03
0.5
0.21

70
100
0.03
0.5
0.22

70
100
0.03
0.5
0.23

-2.62081228 -2.4759898 -2.34529602 -2.22671255 -2.11858798 -2.01955811

-2.7480915 -2.61034009 -2.48671738 -2.37520497 -2.27415147 -2.18219267
#NAME?
#NAME?

#NAME?
#NAME?

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#NAME?

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#NAME?

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#NAME?

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#NAME?
#NAME?

#NAME?
#NAME?
#NAME?

130
100
0.03
0.5
0.18

130
100
0.03
0.5
0.19

130
100
0.03
0.5
0.2

130
100
0.03
0.5
0.21

130
100
0.03
0.5
0.22

130
100
0.03
0.5
0.23

2.24281908 2.13166096 2.0319722 1.94211433 1.86074677 1.78676208

2.11553986 1.99731067 1.89055084 1.7936219 1.70518327 1.62412752
#NAME?
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70
100
0.03
0.5
0.24

70
100
0.03
0.5
0.25

70
100
0.03
0.5
0.26

70
100
0.03
0.5
0.27

70
100
0.03
0.5
0.28

70
100
0.03
0.5
0.29

-1.9284861 -1.84441701 -1.76654281 -1.69417518 -1.62672412 -1.56368103

-2.09819173 -2.02119371 -1.95039057 -1.88509401 -1.82471402
-1.768742
#NAME?
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130
100
0.03
0.5
0.24

130
100
0.03
0.5
0.25

130
100
0.03
0.5
0.26

130
100
0.03
0.5
0.27

130
100
0.03
0.5
0.28

130
100
0.03
0.5
0.29

1.71923742 1.65739757 1.60058659 1.54824573 1.49989604 1.45512464

1.54953179 1.48062087 1.41673883 1.3573269 1.30190614 1.25006367
#NAME?
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70
100
0.03
0.5
0.3

70
100
0.03
0.5
0.31

70
100
0.03
0.5
0.32

70
100
0.03
0.5
0.33

70
100
0.03
0.5
0.34

70
100
0.03
0.5
0.35

-1.50460511 -1.44911245 -1.3968671 -1.34757386 -1.30097226 -1.25683157

-1.71673715 -1.66831555 -1.62314127 -1.5809191 -1.54138856 -1.50431894
#NAME?
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130
100
0.03
0.5
0.3

130
100
0.03
0.5
0.31

130
100
0.03
0.5
0.32

130
100
0.03
0.5
0.33

130
100
0.03
0.5
0.34

130
100
0.03
0.5
0.35

1.4135737 1.37493157 1.33892554 1.30531597

1.20144166 1.15572846 1.11265137 1.07197073

1.2738914 1.24446456
1.0334751 0.99697718

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70
100
0.03
0.5
0.36

70
100
0.03
0.5
0.37

70
100
0.03
0.5
0.38

70
100
0.03
0.5
0.39

70
100
0.03
0.5
0.4

70
100
0.03
0.5
0.41

-1.21494672 -1.17513481 -1.13723218 -1.10109197 -1.06658199 -1.03358296

-1.46950516 -1.43676432 -1.40593276 -1.37686362 -1.34942471 -1.32349674
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130
100
0.03
0.5
0.36

130
100
0.03
0.5
0.37

130
100
0.03
0.5
0.38

130
100
0.03
0.5
0.39

130
100
0.03
0.5
0.4

130
100
0.03
0.5
0.41

1.21686896 1.19095612 1.1665932 1.14366096 1.12205212 1.10166983

0.96231051 0.92932661 0.89789262 0.86788932 0.83920941 0.81175605
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100
0.03
0.5
0.42

70
100
0.03
0.5
0.43

70
100
0.03
0.5
0.44

70
100
0.03
0.5
0.45

70
100
0.03
0.5
0.46

70
100
0.03
0.5
0.47

-1.00198696 -0.97169609 -0.94262137 -0.91468173 -0.88780314 -0.86191786

-1.2989718
-1.275752 -1.25374835 -1.23287978 -1.21307225 -1.19425805
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130
100
0.03
0.5
0.42

130
100
0.03
0.5
0.43

130
100
0.03
0.5
0.44

130
100
0.03
0.5
0.45

130
100
0.03
0.5
0.46

130
100
0.03
0.5
0.47

1.08242648 1.06424262
1.047046 1.03077081 1.01535696 1.00074946
0.78544163 0.7601867 0.73591902 0.71257276 0.69008784 0.66840928
#NAME?
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70
100
0.03
0.5
0.48

70
100
0.03
0.5
0.49

70
100
0.03
0.5
0.5

-0.83696383 -0.81288402 -0.78962598

-1.17637509 -1.15936634 -1.14317937
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130
100
0.03
0.5
0.48

130
100
0.03
0.5
0.49

130
100
0.03
0.5
0.5

0.98689793 0.97375607 0.9612813

0.64748667 0.62727375 0.60772791
#NAME?
#NAME?

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#NAME?

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#NAME?

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#NAME?

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#NAME?
#NAME?

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C
Delta
Gamma
Theta
Vega
Rho

5.598
0.565
0.032
-12.385
19.685
12.71

So cambia en 1
Delta*dS+C
Delta*Gamma
Delta*Gamma*dS+C

6.163
0.597
6.195

So cambia en -2
Delta*dS+C
Delta*Gamma
Delta*Gamma*dS+C

4.468
0.501
4.404

Si t cae en .01
teta*dt

Inputs
S
K
Rf
T(aos)
Dividendos
Volatility
Days Left
Dias aos
Outputs
d1
d2
N(d1)
N(d2)
N(-d1)
N(-d2)
Call
Put
Delta Call
Gamma Call
Theta Call
Vega Call
Rho Call
Delta Put
Gamma Put
Theta Put
Vega Put
Rho Put
Stock
Change
Acciones
Opcion
Delta Opcin
Acciones Adquiridas

49
50
0.050
0.3846
0.00
0.20
20.0000
52

48.12
50
0.050
0.3654
0.00
0.20
19
52

47.37
50
0.050
0.3462
0.00
0.20
18.0000
52

50.25
50
0.050
0.3269
0.00
0.20
17
52

51.75
50
0.050
0.3077
0.00
0.20
16.0000
52

0.05418135
-0.06985338
0.52160466
0.47215518
0.47839534
0.52784482

-0.10544924
-0.22634334
0.45800967
0.4104672
0.54199033
0.5895328

-0.25327781
-0.37094749
0.40002677
0.35533832
0.59997323
0.64466168

0.24373494
0.12938057
0.59628195
0.55147174
0.40371805
0.44852826

0.50423534
0.3932953
0.69295199
0.65294931
0.30704801
0.34705069

2.40052732 1.88760752 1.48721061 2.83663914 3.71122531

2.44817544 2.86243952 3.25927188 1.77597512 1.19788147
0.52160466
0.06554404
-4.30532982
12.1054799
8.90696195
0.47839534
0.06554404
-1.85294742

0.45800967
0.06819692
-4.16583707
11.5397456
7.36316426
0.54199033
0.06819692
-1.71109547

0.40002677
0.0693126
-3.98373713
10.7675801
6.04455837
0.59997323
0.0693126
-1.52663407

0.59628195
0.067394
-4.75980748
11.126765
8.8682882
0.40371805
0.067394
-2.30034068

0.69295199
0.06119289
-4.88501996
10.0848244
9.89201244
0.30704801
0.06119289
-2.42318715

12.1054799 11.5397456 10.7675801 11.126765 10.0848244

-9.9575181 -10.575332 -10.9661551 -7.21284087 -5.25772792
49
100
2.40052732
0.52160466
2315.81011

48.12
47.37
50.25
51.75
-0.88
-0.75
2.88
1.5
100
100
100
100
1.88760752 1.48721061 2.83663914 3.71122531
0.45800967 0.40002677 0.59628195 0.69295199
2015.1818 1746.20575 2712.65286 3214.90404

53.12
50
0.050
0.2885
0.00
0.20
15
52
0.75148844
0.64407121
0.77382062
0.74023537
0.22617938
0.25976463
4.62357528
0.78759714
0.77382062
0.0527166
-4.79913391
8.58186088
10.5235893
0.22617938
0.0527166
-2.33493282
8.58186088
-3.69295549
53.12
1.37
100
4.62357528
0.77382062
3648.17762

95
0%
6%
0.25
100
35%

Stock Price
Dividend yield
Financing rate
Time to maturity
Strike Price
Volatility

Barrier Level

80
85
90
95
100
105
110
115
120

d1
d2
DELTA

x1

y1

-2.08389319
-1.39104037
-0.73780135
-0.11989025
0.46631883
1.0239207
1.55557802
2.06359817
2.54999376

1.15521575
0.80878934
0.48216984
0.17321429
-0.11989025
-0.39869119
-0.66451985
-0.91852992
-1.16172772

-0.80878718
-0.46236077
-0.13574126
0.17321429
0.46631883
0.74511976
1.01094842
1.2649585
1.50815629

Lamda

0.98979592
0.98979592
0.98979592
0.98979592
0.98979592
0.98979592
0.98979592
0.98979592
0.98979592

-0.11989025
-0.29489025
0.45228504

Call up-and-in

5.13495255
5.13495255
5.13495255
5.13495255
5.13495255
5.11079816
4.91880194
4.4479731
3.74563346

PRICE OF
THE OPTION
Call Price (B&S)

=CALL

Call Price (B&S)

U&OUT +
Call up-and-out

5.13495255
5.13495255
5.13495255
5.13495255
5.13495255
5.13495255
5.13495255
5.13495255
5.13495255

0
0
0
0
0
0.02415439
0.21615061
0.68697944
1.38931909

Down-and-in Call
Option

0.07558514
0.46586803
1.84127171
5.13495255
10.9708827
19.2790984
29.6012385
41.4121248
54.2523958

Down-and-out
Call Option

5.13495255
5.13495255
5.13495255
5.13495255
5.13495255
5.13495255
5.13495255
5.13495255
5.13495255

CALL D&OUT
5.0593674 5.0593674
4.66908452 4.66908452
3.29368084 3.29368084
0
0
-5.83593017 -5.83593017
-14.1441458 -14.1199914
-24.466286 -24.2501354
-36.2771723 -35.5901928
-49.1174432 -47.7281241

U
D

1.03
0.98

100
99
98
97
96
95
94
93
92
91
90
89
88
87
86
85
84
83
82
81
80
79
78
77
76
75
74
73
72
71
70
69
68
67
66
65
64
63
62
61

1.60694E-040
2.41041E-038
1.78973E-036
8.76966E-035
3.18997E-033
9.18710E-032
2.18194E-030
4.39504E-029
7.66386E-028
1.17512E-026
1.60405E-025
1.96860E-024
2.19007E-023
2.22376E-022
2.07286E-021
1.78266E-020
1.42056E-019
1.05289E-018
7.28246E-018
4.71443E-017
2.86402E-016
1.63658E-015
8.81522E-015
4.48427E-014
2.15805E-013
9.84072E-013
4.25800E-012
1.75051E-011
6.84575E-011
2.54945E-010
9.05056E-010
3.06551E-009
9.91502E-009
3.06464E-008
9.05872E-008
2.56232E-007
0.000000694
1.80055E-006
4.47769E-006
1.06776E-005

0.4

60
59
58
57
56
55
54
53
52
51
50
49
48
47
46
45
44
43
42
41
40
39
38
37
36
35
34
33
32
31
30
29
28
27
26
25
24
23
22
21
20
19
18
17
16

2.44249E-005
5.36157E-005
0.0001129759
0.0002285792
0.0004441709
0.000829119
0.0014870069
0.0025627141
0.0042444952
0.0067565433
0.0103375113
0.0152022224
0.0214877567
0.0291909148
0.038110361
0.0478111801
0.0576295474
0.0667289497
0.074207194
0.0792381902
0.081219145
0.0798876836
0.075377895
0.0681990479
0.0591413618
0.0491328237
0.0390829279
0.0297496914
0.0216560254
0.0150650611
0.0100075049
0.0063427848
0.0038320991
0.0022047694
0.0012066643
0.0006274654
0.0003096047
0.0001447502
6.40241E-005
2.67443E-005
1.05306E-005
3.90020E-006
1.35556E-006
0.000000441
1.33864E-007

0.09
0.08
0.07
0.06
0.05
0.04
0.03
0.02
0.01
0
0

20

40

60

80

10

15
14
13
12
11
10
9
8
7
6
5
4
3
2
1
0

3.77970E-008
9.88875E-009
2.38694E-009
5.28924E-010
1.06973E-010
1.96118E-011
3.23271E-012
4.74365E-013
6.12085E-014
6.83711E-015
6.47727E-016
5.06036E-017
3.13012E-018
1.43730E-019
4.35546E-021
6.53319E-023

Column C

40

60

80

100

120

Hazard Rate
0
1
2
3
4
5

Default Probability
0.02
0.02
0.02
0.02
0.02

0.02
0.0196
0.019208
0.01882384
0.0184473632

Recovery Rate
0.4
Swap Payments are made once a year, at the end of the year.
LIBOR
0.05
Notional Principal
1
CDS Spread
0.0124248849
Tabla1
Survival Probability
Expected Payment
0
1
1
0.98 .98s
2
0.9604 .9604s
3
0.941192 .9411s
4
0.92236816 .9223s
5
0.9039207968 .9039s
Tabla2
Time

Calculation of the Expected Value of the Default Protection Buyer

Default Probability
Recovery Rate
0.5
0.02
0.4
1.5
0.0196
0.4
2.5
0.019208
0.4
3.5
0.01882384
0.4
4.5
0.0184473632
0.4
EsteDicount Factor es diferente porque asumimos que ser a la mitad del ao.
Tabla3
Time

Default Probability
0.5
1.5
2.5
3.5
4.5

Expected Accrual Payment

0.02
0.01
0.0196
0.0098
0.019208
0.009604
0.01882384
0.00941192
0.0184473632
0.0092236816

Survival Probability
1
0.98
0.9604
0.941192
0.92236816
0.9039207968
Para sacar el Spread se necesita que la suma de la Tabla 1
y Tabla 3 multiplicado por S, sea igual que el resultado de
la Tabla 2.
En este caso=
S= Expected Payof/ (Expected Payment + Expected
Accrual Payment)
Discount Rate
VP Expected Payment
0.9512294245
0.904837418
0.8607079764
0.8187307531
0.7788007831

lt Protection Buyer
Expected Payof
0.012
0.01176
0.0115248
0.011294304
0.0110684179

0.932204836
0.8690058563
0.8100914617
0.7551711783
0.7039742244
4.0704475567
Discount Factor

Esta tabla muestra el calculo del valor p

Payment hecho sobre el CDS asumiendo
hechos a s por ao y el nocional principa
sacar el Spread.

Hay que recordar que la suma va multip

VP Expected Payof
0.975309912
0.0117037189
0.9277434863
0.0109102634
0.8824969026
0.0101706003
0.8394570208
0.0094810828
0.7985162188
0.0088383112
0.0511039767

Esta tabla muestra el

Discount Factor
VP of Expected Accrual Time
Accrual Payment en caso
0.975309912
0.0097530991
de Default.
0.9277434863
0.0090918862
0.8824969026
0.0084755003
Hay que recordar que la
0.8394570208
0.0079009023
suma va multiplicada por
S.
0.7985162188
0.0073652594
0.0425866472
0.0005291342 Total PV of CDS to Default Protection Seller:

Expected Payments from the Default Protection Buyer to the Default Protection Seller:
Survival Probability
Expected PayDiscount RateVP expected Payment
0
1
1
0.98 0.01217639 0.95122942
0.0115825378
2
0.9604 0.01193286 0.90483742
0.0107972978
3
0.941192 0.0116942 0.86070798
0.0100652932
4
0.92236816 0.01146032 0.81873075
0.009382915
5
0.9039207968 0.01123111 0.77880078
0.0087467987
0.0505748425

la muestra el calculo del valor presente del Expected

t hecho sobre el CDS asumiendo que los payments son
a s por ao y el nocional principal es 1. Esto nos sirve para
Spread.
recordar que la suma va multiplicada por S.

Esta tabla muestra el calculo del

valor presente del Expected Payof
con un nocional de 1.

Total PV of CDS to Default Protection Buyer:

muestra el
yment en caso
.

ecordar que la
multiplicada por

DS to Default Protection Seller:

Total PV of CDS to Default Protection Seller:

Use Solver to find that swap rate (D24) which equates

the EPV of the long and short positions:

Assets Value Today

V(0)

T
12.3953864739

Equity Today
Voletility

Risk Neutral Probability of Default

Market Value of Debt today
Present Value of promise payments
Expected Loss on Debt
YTM
Default Spread
Debt Radio
Expected Recovery
Distance to default

Dividend
d

t
1

3
0.8

0.1269714
9.39538698
9.51229425
0.01244305
0.06236627
0.01236627
0.76740602
0.90200116
1.14082491

Debt
D

Risk-free
r
d1
d2
N(d1)
10
0.05 0.21230479 1.35312969 1.14082491 0.9119929

N(d2)
N(-d1)
N(-d2)
N(d1)
Sigmae
Equity
0.8730286 0.0880071 0.1269714 0.26320974 0.80000028 2.9999995