Supershare

(ModelStatistic, Asset, LowerStrike, UpperStrike, TimeExpire, Volatility, InterestRate, YieldRate, MarketPrice, TimeFormat, InterestType, YieldType)

Argument

Description

ModelStatistic

Numeric value indicating the type of function required for the return value:

•Theoretical = 1

•Delta = 2

•Gamma = 3

•Theta = 4

•ImpliedVol = 5

•Vega = 6

•Rho = 7

•Psi = 8

•Lambda = 9

•StrikeSensLow = 22  (Strike Sensitivity of the Lower Strike)

•ImpliedStrikeLow = 23  (Implied Lower Strike Value)

•StrikeSensUp = 24  (Strike Sensitivity of the Upper Strike)

•ImpliedStrikeUp = 25  (Implied Upper Strike Value)

Asset

The price of the underlying asset. Must be > 0.

LowerStrike

The lower strike price that determines if the option has a payoff. Must be > 0.

UpperStrike

The upper strike price that determines if the option has a payoff. Must be > 0.

TimeExpire

Time, expressed in either Days or Years (depending on the TimeFormat value), until the options expiration. Must be > 0.

Volatility

Annualized volatility of the underlying security. Must be > 0.

InterestRate

Risk-free interest rate expressed as a percentage. This rate is interpreted as a continuously compounded rate unless otherwise specified in the InterestType argument.

Must be > 0.

YieldRate

Yield, expressed as a percentage (dividends or interest yield), of the underlying asset price. This rate is interpreted as a continuously compounded rate unless specified otherwise in the YieldType argument.

MarketPrice

Optional. The selling price of the option in the marketplace. This input is required when implied volatility and strike are calculated. Price must be > 0.

TimeFormat

Optional. Alphanumeric value indicating the format of the time arguments (i.e. TimeExpire). If omitted, Days are used as the default. Specified as either:

•Days = 0 or "D" (case insensitive)

•Years = 1 or "Y" (case insensitive)

InterestType

Optional. Alphanumeric value indicating the type of InterestRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used.

YieldType

Optional. Alphanumeric value indicating the type of YieldRate to use when evaluating the option. This value is converted to Continuously Compounded for the calculations. If omitted, a Continuously Compounded rate is used.

Calculate all of functions for a supershare option whose asset price 175 days from expiration is $43, the lower exercise price is $40, the upper exercise price is $45, the risk-free interest rate is 8% per annum, the yield rate is 5.5% per annum, and the annual volatility is 23%. All of the rates are considered continuous. So,

Input

Output

Variable

Value

Function

Name

Value

Asset

43

1

Theoretical:

0.293880

LowerStrike

40

2

Delta:

-0.002972

UpperStrike

45

3

Gamma:

-0.005888

InterestRate

8%

4

Theta:

0.000862

YieldRate

5.5%

5

Implied Vol.:

0.225002

TimeExpire

175

6

Vega:

-0.012004

Volatility

23%

7

Rho:

-0.002022

TimeFormat

Days

8

Psi:

0.000613

MarketPrice

0.3

9

Lambda:

-0.434849

22

Strike Sens Low:

0.057790

23

Implied Strike Low:

45.106124

24

Strike Sens Upper:

-0.061819

25

Implied Strike Upper:

39.900943

Asset or Nothing

Cash or Nothing

Two Asset Cash or Nothing

Gap

Binary Barrier