Black-Scholes Option Value

Input Data
Stock Price now (P)
Exercise Price of Option (EX)
Number of periods to Exercise in years (t)
Compounded Risk-Free Interest Rate (rf)
Standard Deviation (annualized

22.5
61
0.5
5.00%
25.00%

Output Data
Present Value of Exercise Price (PV(EX))
*t^.5
d1
d2
Delta N(d1) Normal Cumulative Density Function
Bank Loan N(d2)*PV(EX)

59.4939
0.1768
-5.4121
-5.5889
0.0000
0.0000

Value of Call
Value of Put

0.00
36.99

Butterfly Payoff

-0.5
Spot Price
Call1-long
Call2-long
Call3-short
Call4-short

Bullish Call Spread

0
-5.5
-2
3.5
3.5

17.5
22.5
20
20

0
0
0
0

0
-5.5
3.5

17.5
20

0
0

-2
Spot Price
long call
short call

 E=N ( d1 ) V

V
E

 E =N ( d1 ) V

V
E

Bu
8
6
4
2
0

spot price
0
1
2
3
4
5
6
7
8
9
10
11
12

Premium
-5.5
2
Strik_price
17.5
22.5
spot price Call1-short
Call2-long Payoff
0
-5.5
2
-3.5
1
-5.5
2
-3.5
2
-5.5
2
-3.5
3
-5.5
2
-3.5
4
-5.5
2
-3.5
5
-5.5
2
-3.5
6
-5.5
2
-3.5
7
-5.5
2
-3.5
8
-5.5
2
-3.5
9
-5.5
2
-3.5
10
-5.5
2
-3.5
11
-5.5
2
-3.5
12
-5.5
2
-3.5
13
-5.5
2
-3.5
14
-5.5
2
-3.5
15
-5.5
2
-3.5
16
-5.5
2
-3.5
17
-5.5
2
-3.5
18
-5
2
-3
19
-4
2
-2
20
-3
2
-1
21
-2
2
0
22
-1
2
1
23
0
1.5
1.5
24
1
0.5
1.5
25
2
-0.5
1.5
26
3
-1.5
1.5
27
4
-2.5
1.5
28
5
-3.5
1.5
29
6
-4.5
1.5
30
7
-5.5
1.5

-2
-4
-6
-8

Call1-short

4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29

Bull Sread

Call1-short
Call2-long
Payof

Premium
2
Strik_price
22.5
22.5
spot price Stock_long Call1_short Payoff
0
-22.5
2
-20.5
1
-21.5
2
-19.5
2
-20.5
2
-18.5
3
-19.5
2
-17.5
4
-18.5
2
-16.5
5
-17.5
2
-15.5
6
-16.5
2
-14.5
7
-15.5
2
-13.5
8
-14.5
2
-12.5
9
-13.5
2
-11.5
10
-12.5
2
-10.5
11
-11.5
2
-9.5
12
-10.5
2
-8.5
13
-9.5
2
-7.5
14
-8.5
2
-6.5
15
-7.5
2
-5.5
16
-6.5
2
-4.5
17
-5.5
2
-3.5
18
-4.5
2
-2.5
19
-3.5
2
-1.5
20
-2.5
2
-0.5
21
-1.5
2
0.5
22
-0.5
2
1.5
23
0.5
1.5
2
24
1.5
0.5
2
25
2.5
-0.5
2
26
3.5
-1.5
2
27
4.5
-2.5
2
28
5.5
-3.5
2
29
6.5
-4.5
2
30
7.5
-5.5
2

Covered Ca
10
5
0
spot price 2

11

14

-5
-10
-15
-20
-25

Stock_long

Call1

Covered Call writing

Stock_long

11

14

17

Call1_short

20

Payof

23

26

29

Premium
-2
Strik_price
22.5
22.5
spot price Stock_long putl1_long Payoff
0
-22.5
20.5
-2
1
-21.5
19.5
-2
2
-20.5
18.5
-2
3
-19.5
17.5
-2
4
-18.5
16.5
-2
5
-17.5
15.5
-2
6
-16.5
14.5
-2
7
-15.5
13.5
-2
8
-14.5
12.5
-2
9
-13.5
11.5
-2
10
-12.5
10.5
-2
11
-11.5
9.5
-2
12
-10.5
8.5
-2
13
-9.5
7.5
-2
14
-8.5
6.5
-2
15
-7.5
5.5
-2
16
-6.5
4.5
-2
17
-5.5
3.5
-2
18
-4.5
2.5
-2
19
-3.5
1.5
-2
20
-2.5
0.5
-2
21
-1.5
-0.5
-2
22
-0.5
-1.5
-2
23
0.5
-2
-1.5
24
1.5
-2
-0.5
25
2.5
-2
0.5
26
3.5
-2
1.5
27
4.5
-2
2.5
28
5.5
-2
3.5
29
6.5
-2
4.5
30
7.5
-2
5.5

Covered Put Bu
25
20
15
10
5
0
spot price 2
-5

11

14

-10
-15
-20
-25

Stock_long

putl1_long

Covered Put Buying

11

Stock_long

14

17

putl1_long

20

Payof

23

26

29

Premium
-1.5
0.5
Strik_price
22.5
20
spot price Put1-long
Put2-short Payoff
0
21
-19.5
1.5
1
20
-18.5
1.5
2
19
-17.5
1.5
3
18
-16.5
1.5
4
17
-15.5
1.5
5
16
-14.5
1.5
6
15
-13.5
1.5
7
14
-12.5
1.5
8
13
-11.5
1.5
9
12
-10.5
1.5
10
11
-9.5
1.5
11
10
-8.5
1.5
12
9
-7.5
1.5
13
8
-6.5
1.5
14
7
-5.5
1.5
15
6
-4.5
1.5
16
5
-3.5
1.5
17
4
-2.5
1.5
18
3
-1.5
1.5
19
2
-0.5
1.5
20
1
0.5
1.5
21
0
0.5
0.5
22
-1
0.5
-0.5
23
-1.5
0.5
-1
24
-1.5
0.5
-1
25
-1.5
0.5
-1
26
-1.5
0.5
-1
27
-1.5
0.5
-1
28
-1.5
0.5
-1
29
-1.5
0.5
-1
30
-1.5
0.5
-1

Bear Sp
24
20
16
12
8
4
0
spot price 2

11

14

-4
-8
-12
-16
-20
-24

Put1-long

Put2-

Bear Spread

Put1-long

11

14

17

Put2-short

20

Payof

23

26

29

Premium
-5.5
-2
3.5
Strik_price
17.5
22.5
20
spot price Call1-long
Call2-long 2*Call3-short
0
-5.5
-2
7
1
-5.5
-2
7
2
-5.5
-2
7
3
-5.5
-2
7
4
-5.5
-2
7
5
-5.5
-2
7
6
-5.5
-2
7
7
-5.5
-2
7
8
-5.5
-2
7
9
-5.5
-2
7
10
-5.5
-2
7
11
-5.5
-2
7
12
-5.5
-2
7
13
-5.5
-2
7
14
-5.5
-2
7
15
-5.5
-2
7
16
-5.5
-2
7
17
-5.5
-2
7
18
-5
-2
7
19
-4
-2
7
20
-3
-2
7
21
-2
-2
5
22
-1
-2
3
23
0
-1.5
1
24
1
-0.5
-1
25
2
0.5
-3
26
3
1.5
-5
27
4
2.5
-7
28
5
3.5
-9
29
6
4.5
-11
30
7
5.5
-13

Butterfly_payoff
-0.5
-0.5
-0.5
-0.5
-0.5
-0.5
-0.5
-0.5
-0.5
-0.5
-0.5
-0.5
-0.5
-0.5
-0.5
-0.5
-0.5
-0.5
0
1
2
1
0
-0.5
-0.5
-0.5
-0.5
-0.5
-0.5
-0.5
-0.5

Butterfly Payof
10

0
spot price 2

11

14

17

20

23

26

-5

-10

-15

Call1-long

Call2-long

2*Call3-short

Butterfly_payof

29

23

26

terfly_payof

29