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| SENSITIVITY ANALYSIS | |||||||||||||
| Two-Way Sensitivity Tables for Option Price | |||||||||||||
| CALL PRICE: Spot Price vs Volatility | |||||||||||||
| Spot \ Vol | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | |||
| $80.00 | $0.09 | $0.60 | $1.53 | $2.71 | $4.04 | $5.47 | $6.95 | $8.47 | $10.01 | $11.56 | |||
| $85.00 | $0.38 | $1.38 | $2.70 | $4.18 | $5.75 | $7.36 | $9.00 | $10.65 | $12.31 | $13.97 | |||
| $90.00 | $1.19 | $2.70 | $4.36 | $6.08 | $7.82 | $9.57 | $11.33 | $13.09 | $14.85 | $16.59 | |||
| $93.00 | $2.06 | $3.81 | $5.60 | $7.42 | $9.23 | $11.05 | $12.86 | $14.67 | $16.47 | $18.26 | |||
| $96.00 | $3.28 | $5.16 | $7.04 | $8.91 | $10.78 | $12.64 | $14.49 | $16.34 | $18.17 | $19.99 | |||
| $100.00 | $5.47 | $7.34 | $9.23 | $11.12 | $13.02 | $14.91 | $16.80 | $18.68 | $20.55 | $22.40 | |||
| $104.00 | $8.24 | $9.91 | $11.72 | $13.58 | $15.47 | $17.36 | $19.26 | $21.15 | $23.04 | $24.92 | |||
| $107.00 | $10.63 | $12.08 | $13.77 | $15.57 | $17.42 | $19.30 | $21.19 | $23.09 | $24.99 | $26.88 | |||
| $110.00 | $13.21 | $14.41 | $15.96 | $17.68 | $19.48 | $21.33 | $23.21 | $25.10 | $26.99 | $28.89 | |||
| $115.00 | $17.79 | $18.60 | $19.88 | $21.41 | $23.10 | $24.88 | $26.71 | $28.58 | $30.46 | $32.35 | |||
| $120.00 | $22.56 | $23.06 | $24.06 | $25.40 | $26.95 | $28.63 | $30.39 | $32.21 | $34.07 | $35.95 | |||
| PUT PRICE: Spot Price vs Volatility | |||||||||||||
| Spot \ Vol | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | |||
| $80.00 | $16.79 | $17.31 | $18.24 | $19.42 | $20.75 | $22.17 | $23.65 | $25.17 | $26.71 | $28.27 | |||
| $85.00 | $12.19 | $13.19 | $14.51 | $15.99 | $17.55 | $19.16 | $20.80 | $22.46 | $24.12 | $25.78 | |||
| $90.00 | $8.10 | $9.61 | $11.26 | $12.98 | $14.72 | $16.48 | $18.24 | $20.00 | $21.75 | $23.50 | |||
| $93.00 | $6.03 | $7.77 | $9.57 | $11.38 | $13.20 | $15.02 | $16.83 | $18.64 | $20.43 | $22.22 | |||
| $96.00 | $4.31 | $6.18 | $8.06 | $9.93 | $11.80 | $13.66 | $15.52 | $17.36 | $19.19 | $21.02 | |||
| $100.00 | $2.57 | $4.44 | $6.33 | $8.23 | $10.12 | $12.02 | $13.90 | $15.78 | $17.65 | $19.51 | |||
| $104.00 | $1.42 | $3.10 | $4.90 | $6.76 | $8.65 | $10.54 | $12.44 | $14.34 | $16.22 | $18.11 | |||
| $107.00 | $0.87 | $2.32 | $4.01 | $5.81 | $7.67 | $9.54 | $11.44 | $13.33 | $15.23 | $17.12 | |||
| $110.00 | $0.51 | $1.71 | $3.26 | $4.98 | $6.78 | $8.63 | $10.51 | $12.40 | $14.29 | $16.19 | |||
| $115.00 | $0.19 | $1.00 | $2.28 | $3.82 | $5.50 | $7.28 | $9.11 | $10.98 | $12.86 | $14.75 | |||
| $120.00 | $0.06 | $0.56 | $1.56 | $2.90 | $4.45 | $6.13 | $7.89 | $9.71 | $11.57 | $13.45 | |||
| CALL PRICE: Spot Price vs Time to Expiration | |||||||||||||
| Spot \ Time | 1M | 2M | 3M | 6M | 9M | 1Y | 1.25Y | 1.5Y | 2Y | 3Y | |||
| $80.00 | $0.00 | $0.01 | $0.05 | $0.39 | $0.92 | $1.53 | $2.17 | $2.82 | $4.11 | $6.53 | |||
| $85.00 | $0.00 | $0.08 | $0.24 | $0.98 | $1.84 | $2.70 | $3.54 | $4.36 | $5.90 | $8.66 | |||
| $90.00 | $0.08 | $0.41 | $0.82 | $2.08 | $3.27 | $4.36 | $5.37 | $6.33 | $8.07 | $11.10 | |||
| $93.00 | $0.30 | $0.90 | $1.48 | $3.05 | $4.40 | $5.60 | $6.70 | $7.72 | $9.56 | $12.71 | |||
| $96.00 | $0.86 | $1.73 | $2.47 | $4.27 | $5.75 | $7.04 | $8.19 | $9.26 | $11.17 | $14.42 | |||
| $100.00 | $2.42 | $3.49 | $4.34 | $6.31 | $7.88 | $9.23 | $10.44 | $11.54 | $13.52 | $16.86 | |||
| $104.00 | $5.05 | $6.02 | $6.83 | $8.78 | $10.35 | $11.72 | $12.95 | $14.07 | $16.07 | $19.45 | |||
| $107.00 | $7.56 | $8.33 | $9.05 | $10.89 | $12.42 | $13.77 | $14.99 | $16.10 | $18.11 | $21.49 | |||
| $110.00 | $10.34 | $10.91 | $11.51 | $13.19 | $14.65 | $15.96 | $17.15 | $18.25 | $20.24 | $23.60 | |||
| $115.00 | $15.24 | $15.58 | $16.00 | $17.36 | $18.66 | $19.88 | $21.00 | $22.06 | $23.98 | $27.27 | |||
| $120.00 | $20.22 | $20.46 | $20.76 | $21.84 | $22.97 | $24.06 | $25.11 | $26.10 | $27.93 | $31.11 | |||
| CALL DELTA: Spot Price vs Volatility | |||||||||||||
| Spot \ Vol | 10% | 15% | 20% | 25% | 30% | 35% | 40% | 45% | 50% | 55% | |||
| $80.00 | 0.0294 | 0.1104 | 0.1895 | 0.2535 | 0.3046 | 0.3462 | 0.3809 | 0.4108 | 0.4370 | 0.4603 | |||
| $85.00 | 0.0991 | 0.2053 | 0.2812 | 0.3359 | 0.3776 | 0.4110 | 0.4389 | 0.4629 | 0.4842 | 0.5034 | |||
| $90.00 | 0.2361 | 0.3279 | 0.3832 | 0.4215 | 0.4506 | 0.4743 | 0.4946 | 0.5126 | 0.5289 | 0.5439 | |||
| $93.00 | 0.3466 | 0.4090 | 0.4461 | 0.4724 | 0.4933 | 0.5110 | 0.5266 | 0.5409 | 0.5543 | 0.5669 | |||
| $96.00 | 0.4673 | 0.4912 | 0.5080 | 0.5220 | 0.5346 | 0.5462 | 0.5574 | 0.5682 | 0.5786 | 0.5889 | |||
| $100.00 | 0.6242 | 0.5963 | 0.5869 | 0.5850 | 0.5869 | 0.5909 | 0.5963 | 0.6026 | 0.6094 | 0.6167 | |||
| $104.00 | 0.7558 | 0.6902 | 0.6589 | 0.6431 | 0.6355 | 0.6326 | 0.6327 | 0.6348 | 0.6383 | 0.6428 | |||
| $107.00 | 0.8309 | 0.7509 | 0.7075 | 0.6831 | 0.6693 | 0.6617 | 0.6582 | 0.6575 | 0.6586 | 0.6612 | |||
| $110.00 | 0.8858 | 0.8025 | 0.7511 | 0.7199 | 0.7007 | 0.6891 | 0.6823 | 0.6790 | 0.6780 | 0.6787 | |||
| $115.00 | 0.9407 | 0.8687 | 0.8122 | 0.7737 | 0.7479 | 0.7306 | 0.7193 | 0.7121 | 0.7079 | 0.7060 | |||
| $120.00 | 0.9656 | 0.9135 | 0.8599 | 0.8185 | 0.7886 | 0.7673 | 0.7524 | 0.7421 | 0.7352 | 0.7309 | |||
| Notes | |||||||||||||
| 1. Tables show option values across different combinations of input parameters while holding others constant at their current values. | |||||||||||||
| 2. Green highlighted rows indicate the at-the-money (ATM) strike level. | |||||||||||||
| 3. All calculations use the generalized Black-Scholes-Merton formula with continuous dividend yield. | |||||||||||||