Options
3 tools in the Investing area.
Option Strategy Payoff
The profit and loss of an option position at expiry. Pick a strategy (long call or put, covered call, protective put, cash-secured put, bull call or bear put spread, straddle, strangle, collar, iron condor, butterfly) or enter up to four legs of your own with the premiums you see quoted; the page writes out each leg's payoff with the numbers, adds up the net premium paid or received, finds the maximum profit, the maximum loss and the break-even prices exactly from the straight-line payoff, tabulates the profit at every strike and break-even and draws the profit against the stock price with each leg shown. Advanced mode adds the position's Black-Scholes value and profit today, its sensitivities to the stock price, time and volatility, and the model probability of finishing above each break-even. A calculator for education and analysis, not investment advice.
1 worked example reproduced, listed on the tool page.
Option Pricing
Option values for analysts and valuation memoranda. Black-Scholes-Merton European calls and puts with a continuous dividend yield or cash dividends by the escrowed model, every first-order sensitivity and two second-order ones checked by finite differences, put-call parity and the no-arbitrage bounds, implied volatility by a bracketed Newton solve, break-even prices and the value against the stock price at expiry and before. Binomial trees (Cox-Ross-Rubinstein, Jarrow-Rudd, Leisen-Reimer) for European and American options with the early-exercise boundary, a convergence table and the Barone-Adesi and Whaley approximation beside. Employee stock options: the expected term by the simplified method of SEC Staff Accounting Bulletins 107 and 110, volatility from a pasted price history or from comparable companies, a lattice with vesting, an exercise multiple and a post-vesting exit rate, a dilution-adjusted (warrant) value and the compensation cost schedule, straight-line and graded. Multi-leg strategies are in the Option Strategy Payoff tool. Monte Carlo with antithetic variates for a European option and an arithmetic average-price Asian option with the geometric closed form as control. A calculator, not investment advice.
1 worked example reproduced, listed on the tool page.
Volatility Cone and Smile
How much a price has moved, set against its own history, and what volatility option prices imply. Paste daily closing prices: the page works the realised volatility of the latest 20 days step by step, repeats it for every rolling window of 10 to 250 days and draws the volatility cone, with an implied volatility you enter shown for comparison. Advanced mode turns an option chain into the implied volatility of each line, flags lines outside their no-arbitrage bounds and reports the at-the-money level, the 25-delta risk reversal and the butterfly. A calculator for education and analysis, not investment advice.
1 worked example reproduced, listed on the tool page.
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