|
SAMPLE
CALCULATION
| |
Alpha |
|
Implied |
|
Market |
|
|
| Days |
Factor |
X |
Volatility |
X |
Price |
= |
ALPHA |
| 90 |
.19788 |
|
.15 |
|
1000 |
|
29.7 |
ALPHA
GRID
| |
ALPHA |
|
ALPHA |
|
ALPHA |
| DAYS |
FACTOR |
DAYS |
FACTOR |
DAYS |
FACTOR |
| 120 |
.22852 |
80 |
.18655 |
40 |
.13186 |
| 119 |
.22756 |
79 |
.18538 |
39 |
.13020 |
| 118 |
.22660 |
78 |
.18420 |
38 |
.12852 |
| 117 |
.22564 |
77 |
.18302 |
37 |
.12681 |
| 116 |
.22467 |
76 |
.18183 |
36 |
.12508 |
| 115 |
.22370 |
75 |
.18062 |
35 |
.12333 |
| 114 |
.22273 |
74 |
.17942 |
34 |
.12155 |
| 113 |
.22175 |
73 |
.17820 |
33 |
.11975 |
| 112 |
.22076 |
72 |
.17697 |
32 |
.11792 |
| 111 |
.21977 |
71 |
.17574 |
31 |
.11606 |
| 110 |
.21878 |
70 |
.17449 |
30 |
.11417 |
| 109 |
.21778 |
69 |
.17324 |
29 |
.11225 |
| 108 |
.21678 |
68 |
.17198 |
28 |
.11029 |
| 107 |
.21577 |
67 |
.17071 |
27 |
.10830 |
| 106 |
.21476 |
66 |
.16943 |
26 |
.10627 |
| 105 |
.21375 |
65 |
.16814 |
25 |
.10420 |
| 104 |
.21273 |
64 |
.16684 |
24 |
.10210 |
| 103 |
.21170 |
63 |
.16553 |
23 |
.09994 |
| 102 |
.21067 |
62 |
.16421 |
22 |
.09774 |
| 101 |
.20963 |
61 |
.16288 |
21 |
.09549 |
| 100 |
.20859 |
60 |
.16154 |
20 |
.09318 |
| 99 |
.20755 |
59 |
.16018 |
19 |
.09082 |
| 98 |
.20649 |
58 |
.15882 |
18 |
.08839 |
| 97 |
.20544 |
57 |
.15744 |
17 |
.08589 |
| 96 |
.20438 |
56 |
.15605 |
16 |
.08332 |
| 95 |
.20331 |
55 |
.15465 |
15 |
.08067 |
| 94 |
.20223 |
54 |
.15324 |
14 |
.07793 |
| 93 |
.20115 |
53 |
.15181 |
13 |
.07509 |
| 92 |
.20007 |
52 |
.15037 |
12 |
.07213 |
| 91 |
.19898 |
51 |
.14892 |
11 |
.06905 |
| 90 |
.19788 |
50 |
.14745 |
10 |
.06583 |
| 89 |
.19678 |
49 |
.14596 |
9 |
.06244 |
| 88 |
.19567 |
48 |
.14446 |
8 |
.05886 |
| 87 |
.19455 |
47 |
.14295 |
7 |
.05505 |
| 86 |
.19343 |
46 |
.14142 |
6 |
.05095 |
| 85 |
.19230 |
45 |
.13987 |
5 |
.04649 |
| 84 |
.19116 |
44 |
.13831 |
4 |
.04156 |
| 83 |
.19002 |
43 |
.13672 |
3 |
.03597 |
| 82 |
.18887 |
42 |
.13512 |
2 |
.02933 |
| 81 |
.18772 |
41 |
.13350 |
1 |
.02068 |
|
|
|
|
|
|
OPTION
TABLE
| Position |
Delta |
Gamma |
Vega |
Theta |
| Long
Calls |
+ |
+ |
+ |
- |
| Short
Calls |
- |
- |
- |
+ |
| Long
Puts |
- |
+ |
+ |
- |
| Short
Puts |
+ |
- |
- |
+ |
|
|