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Financial Analytics

A Practitioner's Resourcekit

Author: Thiru Praturi

Option-Greek Sensitivities

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BondOptions Pricer

Credit Derivatives

Maturity Factor 4.3.4

Binomial Tree 2.4.1

Bond Convexity 4.3.9

Option Analytics 8.1.12

Option Greeks 8.2.5

YTM Calcs 4.2.5

Curve Analytics 11.1.2

IR Swaps 11.2.2

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Cliquets/Ratchets

Thiruspace.com : SampleTopics : Option Greeks 8.2.5

Interactive Analyzer to study "Greeks" Behaviour

Option Type	Strike Price	Underlying Price	Exercise Year(s)	Volatility %	RF Yield %	Div Yield %%

All
Price
Delta
Gamma
Vega
Theta
Rho

Vanilla Options Greeks Calculator - Thiruspace.com
Type	SpotPx	OptPrice	OptDelta	OptGamma	OptVega	OptTheta	OptRho
Call	19.25	0	0	0	0	0	0
Call	24.375	0	0	0.001	0.002	-0.01	0
Call	29.5	0.04	0.02	0.007	0.015	-0.13	0.01
Call	34.625	0.27	0.08	0.019	0.058	-0.52	0.03
Call	39.75	1	0.21	0.032	0.128	-1.18	0.09
Call	44.875	2.54	0.39	0.037	0.191	-1.82	0.19
Call	50	5.03	0.58	0.033	0.214	-2.14	0.3
Call	55.125	8.39	0.73	0.025	0.197	-2.11	0.4
Call	60.25	12.42	0.84	0.017	0.156	-1.83	0.47
Call	65.375	16.89	0.9	0.01	0.11	-1.48	0.53
Call	70.5	21.63	0.94	0.006	0.071	-1.15	0.56
Call	75.625	26.52	0.96	0.003	0.043	-0.89	0.58
Call	80.75	31.48	0.97	0.001	0.025	-0.69	0.59