Most comprehensive Option on Future option application. Key Features:
1. Computes American and European option price for Option on Futures
2. Computes Option Greeks - Delta, Vega, Theta, Gamma and Rho. In case of currency option
3. Implied volatility - Both from American and European Call/Put option prices, implied volatility is derived.
4. Call, put, covered call and protective put option strategy payoff and payoff chart is provided.
Input:
1. Future Price
2. Strike/Exercise Price
3. Expiration time in day, month, year or select expiration date
4. Risk free interest rate
5. Foreign interest rate for foreign currency options
6. Historic volatility of the security
Output:
1. Summary - American/European Call/Put Price, Intrinsic Value and Time Value
2. Greeks - Delta, Gamma, Theta, Vega, Rho for call/put
3. Payoff- payoff of call, put, covered call and protective put
Implied Volatility - From European/American Call/Put price, implied volatility is calculated.
Print & E-Mail:
1. Print depreciation schedule
2. E-Mail depreciation schedule as a formatted pdf attachment
Note: American option price and implied volatility results are not calculated always as the solutions may not converge for each data set.