Option Parameters			Call Option :	Put Option
Underlying Price		Theoretical Price	3.019	2.691
Exercise Price		Delta	0.533	-0.467
Days Until Expiration		Gamma	0.055	0.055
Interest Rates		Gamma 1%	0.006	0.006
Dividend Yield		Vega	0.114	0.114
Volatility		Theta	-0.054	-0.041
Rounding		Rho
Graph Increment

 

 

 

Simulation Table

Point Movement in Underlying Price
Full Point Movement in Volatility
Call Price Put Price Call Delta Put Delta Call Gamma Put Gamma Call Gamma 1% Put Gamma 1% Call Vega Put Vega Call Theta Put Theta

Call Price Simulation

	97	98	99	100	101	102	103
22	1.363	1.738	2.176	2.677	3.241	3.866	4.548
23	1.466	1.847	2.289	2.791	3.353	3.974	4.649
24	1.569	1.956	2.401	2.905	3.466	4.082	4.752
25	1.673	2.066	2.514	3.019	3.578	4.192	4.856
26	1.778	2.176	2.627	3.133	3.691	4.301	4.96
27	1.884	2.286	2.74	3.246	3.804	4.411	5.066
28	1.989	2.396	2.853	3.36	3.917	4.521	5.172