|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:50:30 EST 2020
| Setup Time => Mon Jan 27 00:50:30 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
org.drip.state.identifier.CustomLabel@70eeb980
|--------------------------|
| TNR => CALC | INPUT |
|--------------------------|
| 06M => 06.14% | 06.14% |
| 01Y => 10.15% | 10.15% |
| 02Y => 17.04% | 17.04% |
| 03Y => 23.28% | 23.28% |
| 04Y => 29.52% | 29.52% |
| 05Y => 35.02% | 35.02% |
| 07Y => 41.25% | 41.25% |
| 10Y => 45.35% | 45.35% |
| 15Y => 53.85% | 53.85% |
| 20Y => 56.76% | 56.76% |
|--------------------------|
org.drip.state.identifier.CustomLabel@4bb0ffc8
|--------------------------|
| TNR => CALC | INPUT |
|--------------------------|
| 06M => 20.00% | 20.00% |
| 01Y => 23.00% | 23.00% |
| 02Y => 27.00% | 27.00% |
| 03Y => 30.00% | 30.00% |
| 04Y => 33.00% | 33.00% |
| 05Y => 35.00% | 35.00% |
| 07Y => 34.00% | 34.00% |
| 10Y => 29.00% | 29.00% |
| 15Y => 26.00% | 26.00% |
| 20Y => 19.00% | 19.00% |
|--------------------------|
ATM_CALLPRICE_TERM_STRUCTURE
| TNR => Cubic Poly | Quart Poly | KaklisPand | KLKHyperbl | KLKRatlLin | KLKRatlQua |
| 03M => 06.14% | 06.14% | 06.14% | 06.14% | 06.14% | 06.14% |
| 09M => 07.84% | -56.38% | 07.84% | 07.77% | 07.93% | 06.64% |
| 18M => 13.42% | 02.40% | 13.42% | 13.41% | 13.44% | 15.50% |
| 30Y => 56.76% | 56.76% | 56.76% | 56.76% | 56.76% | 56.76% |
| 42M => 26.44% | 19.86% | 26.44% | 26.46% | 26.42% | 33.62% |
| 54M => 32.19% | 28.26% | 32.19% | 32.16% | 32.23% | 18.03% |
| 06Y => 38.35% | 35.37% | 38.35% | 38.41% | 38.27% | 66.37% |
| 09Y => 43.63% | 42.99% | 43.63% | 43.54% | 43.71% | -11.00% |
| 12Y => 48.66% | 46.74% | 48.66% | 48.60% | 48.69% | 147.02% |
| 18Y => 56.22% | 56.21% | 56.22% | 56.38% | 55.99% | -166.96% |
| 25Y => 56.76% | 56.76% | 56.76% | 56.76% | 56.76% | 56.76% |
ATM_CALLVOL_TERM_STRUCTURE
| TNR => Cubic Poly | Quart Poly | KaklisPand | KLKHyperbl | KLKRatlLin | KLKRatlQua |
| 03M => 20.00% | 20.00% | 20.00% | 20.00% | 20.00% | 20.00% |
| 09M => 21.37% | -56.03% | 21.37% | 21.34% | 21.42% | 20.37% |
| 18M => 24.99% | 12.23% | 24.99% | 25.00% | 24.99% | 26.85% |
| 30Y => 19.00% | 19.00% | 19.00% | 19.00% | 19.00% | 19.00% |
| 42M => 31.50% | 23.79% | 31.50% | 31.50% | 31.51% | 38.22% |
| 54M => 34.22% | 29.29% | 34.22% | 34.23% | 34.19% | 20.89% |
| 06Y => 35.09% | 32.28% | 35.09% | 35.20% | 34.94% | 61.88% |
| 09Y => 30.60% | 29.97% | 30.60% | 30.55% | 30.63% | -21.93% |
| 12Y => 27.80% | 26.51% | 27.80% | 27.76% | 27.82% | 122.56% |
| 18Y => 22.23% | 22.22% | 22.23% | 22.33% | 22.07% | -193.33% |
| 25Y => 19.00% | 19.00% | 19.00% | 19.00% | 19.00% | 19.00% |
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:50:31 EST 2020
| Setup Time => Mon Jan 27 00:50:31 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
---------------------------------------------------------
HESTON 1993 SPOT OPTION PRICING
---------------------------------------------------------
{blackscholescallvolatility=0.34035163860445744, blackscholesputvolatility=0.34035163860445805, calctime=0.1138585, callcharm=NaN, callcolor=NaN, calldelta=0.56445320347952, callgamma=NaN, callprice=0.10048185859115533, callprob1=0.56445320347952, callprob2=0.4690169774552599, callrho=NaN, callspeed=NaN, calltheta=NaN, callultima=NaN, callvanna=NaN, callvega=NaN, callveta=NaN, callvomma=NaN, df=0.9892421110334401, effectivevolatility=0.19999999999999998, impliedcallvolatility=0.20000003664035218, impliedputvolatility=0.2000000366403526, putcharm=NaN, putcolor=NaN, putdelta=NaN, putgamma=NaN, putprice=0.0897239696245955, putpricefromparity=0.0897239696245955, putprob1=NaN, putprob2=NaN, putrho=NaN, putspeed=NaN, puttheta=NaN, putultima=NaN, putvanna=NaN, putvega=NaN, putveta=NaN, putvomma=NaN, tte=0.49828884325804246}
---------------------------------------------------------
HESTON 1993 FORWARD OPTION PRICING
---------------------------------------------------------
{blackscholescallvolatility=0.34027438374314656, blackscholesputvolatility=0.34027438374314684, calctime=0.078224, callcharm=NaN, callcolor=NaN, calldelta=0.5566292616065134, callgamma=NaN, callprice=0.09447160042737851, callprob1=0.5566292616065134, callprob2=0.461130293887998, callrho=NaN, callspeed=NaN, calltheta=NaN, callultima=NaN, callvanna=NaN, callvega=NaN, callveta=NaN, callvomma=NaN, df=0.9892421110334401, effectivevolatility=0.19999999999999998, impliedcallvolatility=0.20000003651531434, impliedputvolatility=0.20000003651531506, putcharm=NaN, putcolor=NaN, putdelta=NaN, putgamma=NaN, putprice=0.09447160042737857, putpricefromparity=0.09447160042737857, putprob1=NaN, putprob2=NaN, putrho=NaN, putspeed=NaN, puttheta=NaN, putultima=NaN, putvanna=NaN, putvega=NaN, putveta=NaN, putvomma=NaN, tte=0.49828884325804246}
---------------------------------------------------------
BLACK SCHOLES SPOT OPTION PRICING
---------------------------------------------------------
{blackscholescallvolatility=0.19999999448782319, blackscholesputvolatility=0.19999999448782346, calctime=1.6010000000000002E-4, callcharm=0.06866145295670704, callcolor=-2.7788241565362815, calldelta=0.5885496776912064, callgamma=2.726242081817688, callprice=0.06135311283092811, callprob1=0.5885496776912064, callprob2=0.5329297640893262, callrho=0.26555295568585185, callspeed=-6.972415863717129, calltheta=-0.06728530332234495, callultima=-0.5210859272256066, callvanna=-0.1607588970695065, callvega=0.27763255199469195, callveta=-0.2741845636563552, callvomma=0.025674602137450788, df=0.9892421110334401, effectivevolatility=0.19999999999999998, impliedcallvolatility=0.19999999448782319, impliedputvolatility=0.19999999448782346, putcharm=0.06866145295670704, putcolor=-2.7788241565362815, putdelta=-0.4114503223087936, putgamma=2.726242081817688, putprice=0.05059522386436823, putpricefromparity=0.05059522386436812, putprob1=0.4114503223087936, putprob2=0.4670702359106738, putrho=-0.23273588757219066, putspeed=-6.972415863717129, puttheta=-0.04557866953097534, putultima=-0.5210859272256066, putvanna=-0.1607588970695065, putvega=0.27763255199469195, putveta=-0.2741845636563552, putvomma=0.025674602137450788, tte=0.49828884325804246}
---------------------------------------------------------
BLACK '76 FORWARD OPTION PRICING
---------------------------------------------------------
{blackscholescallvolatility=0.2000000096181497, blackscholesputvolatility=0.20000000961815015, calctime=2.089E-4, callcharm=0.14523139736591015, callcolor=-2.8657157123495467, calldelta=0.5585139783844253, callgamma=2.7953372077766163, callprice=0.05550731755667035, callprob1=0.5585139783844253, callprob2=0.5024030254260206, callrho=0.2503418223888727, callspeed=-5.709939838979841, calltheta=-0.0668122226441311, callultima=-0.15733201240859754, callvanna=-0.01188572597598498, callvega=0.27857706875583527, callveta=-0.2734766080727127, callvomma=0.0012350428330423762, df=0.9892421110334401, effectivevolatility=0.19999999999999998, impliedcallvolatility=0.2000000096181497, impliedputvolatility=0.20000000961815015, putcharm=0.14523139736591015, putcolor=-2.8657157123495467, putdelta=-0.4414860216155747, putgamma=2.7953372077766163, putprice=0.055507317556670405, putpricefromparity=0.05550731755667035, putprob1=0.4414860216155747, putprob2=0.4975969745739795, putrho=-0.2479470208691698, putspeed=-5.709939838979841, puttheta=-0.0451055888527615, putultima=-0.15733201240859754, putvanna=-0.01188572597598498, putvega=0.27857706875583527, putveta=-0.2734766080727127, putvomma=0.0012350428330423762, tte=0.49828884325804246}
|------------------------------------------------------------|
|----------------- INPUT SURFACE RECOVERY -----------------|
|------------------------------------------------------------|
| ATM/TTE => 1Y 2Y 3Y 4Y 5Y |
|------------------------------------------------------------|
| 0.80 => 44.00% 38.00% 33.00% 27.00% 25.00% |
| 0.90 => 41.00% 34.00% 30.00% 22.00% 27.00% |
| 1.00 => 36.00% 31.00% 28.00% 30.00% 37.00% |
| 1.10 => 38.00% 31.00% 34.00% 40.00% 47.00% |
| 1.20 => 43.00% 46.00% 48.00% 52.00% 57.00% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------- INTERIM SURFACE RECALCULATION --------------|
|------------------------------------------------------------|
| ATM/TTE => 18M 27M 36M 45M 54M |
|------------------------------------------------------------|
| 0.85 => 38.96% 34.91% 31.56% 24.80% 23.05% |
| 0.93 => 36.07% 32.27% 29.17% 23.82% 24.67% |
| 1.00 => 33.42% 29.96% 28.00% 28.94% 33.10% |
| 1.07 => 32.62% 29.46% 31.59% 35.77% 40.89% |
| 1.15 => 38.13% 37.34% 40.40% 44.34% 48.77% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------- INTERIM SURFACE RECALCULATION --------------|
|------------------------------------------------------------|
| ATM/TTE => 06M 21M 36M 51M 66M |
|------------------------------------------------------------|
| 0.70 => 44.00% 39.38% 33.00% 26.12% 25.00% |
| 0.85 => 42.87% 37.25% 31.56% 22.71% 25.20% |
| 1.00 => 36.00% 32.17% 28.00% 31.41% 37.00% |
| 1.15 => 40.40% 37.36% 40.40% 47.24% 51.95% |
| 1.30 => 43.00% 45.37% 48.00% 53.21% 57.00% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 06M 21M 36M 51M 66M |
|------------------------------------------------------------|
| 0.70 => 44.00% 39.38% 33.00% 26.12% 25.00% |
| 0.85 => 42.87% 37.25% 31.56% 22.71% 25.20% |
| 1.00 => 36.00% 32.17% 28.00% 31.41% 37.00% |
| 1.15 => 40.40% 37.36% 40.40% 47.24% 51.95% |
| 1.30 => 43.00% 45.37% 48.00% 53.21% 57.00% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 06M 21M 36M 51M 66M |
|------------------------------------------------------------|
| 0.70 => 44.00% 42.70% 33.00% 25.84% 25.00% |
| 0.85 => 50.48% 58.97% 48.72% 31.90% 29.58% |
| 1.00 => 36.00% 38.72% 28.00% 31.07% 37.00% |
| 1.15 => 40.27% 40.69% 40.15% 47.18% 51.96% |
| 1.30 => 43.00% 46.55% 48.00% 53.14% 57.00% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 06M 21M 36M 51M 66M |
|------------------------------------------------------------|
| 0.70 => 44.00% 39.38% 33.00% 26.12% 25.00% |
| 0.85 => 42.87% 37.25% 31.56% 22.71% 25.20% |
| 1.00 => 36.00% 32.17% 28.00% 31.41% 37.00% |
| 1.15 => 40.40% 37.36% 40.40% 47.24% 51.95% |
| 1.30 => 43.00% 45.37% 48.00% 53.21% 57.00% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 06M 21M 36M 51M 66M |
|------------------------------------------------------------|
| 0.70 => 44.00% 39.33% 33.00% 26.03% 25.00% |
| 0.85 => 42.97% 37.06% 31.60% 22.18% 25.03% |
| 1.00 => 36.00% 32.17% 28.00% 31.35% 37.00% |
| 1.15 => 40.43% 36.99% 40.33% 47.14% 51.91% |
| 1.30 => 43.00% 45.41% 48.00% 53.21% 57.00% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 06M 21M 36M 51M 66M |
|------------------------------------------------------------|
| 0.70 => 44.00% 39.42% 33.00% 26.21% 25.00% |
| 0.85 => 42.72% 37.42% 31.51% 23.31% 25.43% |
| 1.00 => 36.00% 32.17% 28.00% 31.44% 37.00% |
| 1.15 => 40.38% 37.80% 40.52% 47.34% 51.98% |
| 1.30 => 43.00% 45.34% 48.00% 53.20% 57.00% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 06M 21M 36M 51M 66M |
|------------------------------------------------------------|
| 0.70 => 44.00% 41.89% 33.00% -15.45% 25.00% |
| 0.85 => 43.70% 41.55% 32.70% -17.26% 25.20% |
| 1.00 => 36.00% 34.24% 28.00% -01.96% 37.00% |
| 1.15 => 22.50% 10.81% 11.40% -457.02% 44.80% |
| 1.30 => 43.00% 44.06% 48.00% 75.63% 57.00% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 06M 21M 36M 51M 66M |
|------------------------------------------------------------|
| 0.70 => 44.00% 39.38% 33.00% 26.12% 25.00% |
| 0.85 => 50.48% 59.46% 48.72% 32.54% 29.58% |
| 1.00 => 36.00% 32.17% 28.00% 31.41% 37.00% |
| 1.15 => 40.27% 36.99% 40.15% 47.22% 51.96% |
| 1.30 => 43.00% 45.37% 48.00% 53.21% 57.00% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 06M 21M 36M 51M 66M |
|------------------------------------------------------------|
| 0.70 => 44.00% 39.38% 33.00% 26.12% 25.00% |
| 0.85 => 42.80% 37.27% 31.54% 22.87% 25.29% |
| 1.00 => 36.00% 32.17% 28.00% 31.41% 37.00% |
| 1.15 => 40.38% 37.51% 40.45% 47.28% 51.97% |
| 1.30 => 43.00% 45.37% 48.00% 53.21% 57.00% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 06M 21M 36M 51M 66M |
|------------------------------------------------------------|
| 0.70 => 44.00% 39.45% 33.00% 26.29% 25.00% |
| 0.85 => 43.70% 39.07% 32.70% 25.92% 25.20% |
| 1.00 => 36.00% 32.18% 28.00% 31.51% 37.00% |
| 1.15 => 22.50% -05.71% 11.40% -37.66% 44.80% |
| 1.30 => 43.00% 45.31% 48.00% 53.20% 57.00% |
|------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:50:31 EST 2020
| Setup Time => Mon Jan 27 00:50:31 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
blackscholescallvolatility => 0.2002193594921644
blackscholesputvolatility => 0.20021935949216435
calctime => 1.272E-4
callcharm => 0.06866284274006372
callcolor => -2.7758656832788895
calldelta => 0.5885144841015717
callgamma => 2.7233102692237936
callprice => 0.06141439903750391
callprob1 => 0.5885144841015717
callprob2 => 0.532832235086937
callrho => 0.2655043580720672
callspeed => -6.9585142260129444
calltheta => -0.0673454273183978
callultima => -0.5189786064658545
callvanna => -0.16010932488572593
callvega => 0.27763817158302606
callveta => -0.27418706657876135
callvomma => 0.025560525469831615
df => 0.9892421110334401
effectivevolatility => 0.2002193649961296
impliedcallvolatility => 0.2002193594921644
impliedputvolatility => 0.20021935949216435
putcharm => 0.06866284274006372
putcolor => -2.7758656832788895
putdelta => -0.41148551589842836
putgamma => 2.7233102692237936
putprice => 0.05065651007094392
putpricefromparity => 0.05065651007094392
putprob1 => 0.41148551589842836
putprob2 => 0.467167764913063
putrho => -0.23278448518597528
putspeed => -6.9585142260129444
puttheta => -0.045638793527028196
putultima => -0.5189786064658545
putvanna => -0.16010932488572593
putvega => 0.27763817158302606
putveta => -0.27418706657876135
putvomma => 0.025560525469831615
tte => 0.49828884325804246
Implied Volatility From Call Price : 20.02%
Implied Volatility From Put Price : 20.02%
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:50:31 EST 2020
| Setup Time => Mon Jan 27 00:50:31 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
|------------------------------------|
| TNR => CALC | IMPL | INPUT |
|------------------------------------|
| 01Y => 65.93% | 70.00% | 70.00% |
| 02Y => 66.39% | 67.20% | 67.20% |
| 03Y => 50.10% | 66.10% | 66.10% |
| 04Y => 25.11% | 59.60% | 59.60% |
| 05Y => 34.06% | 55.10% | 55.10% |
| 06Y => 29.14% | 51.80% | 51.80% |
| 07Y => 29.63% | 49.20% | 49.20% |
| 08Y => 27.38% | 47.10% | 47.10% |
| 09Y => 22.94% | 45.20% | 45.20% |
|------------------------------------|
ATM_CALLVOL_TERM_STRUCTURE
| TNR => Cubic Poly | Quart Poly | KaklisPand | KLKHyperbl | KLKRatlLin | KLKRatlQua |
| 18M => 63.58% | 64.68% | 63.58% | 63.33% | 63.75% | 66.49% |
| 30M => 65.95% | 71.83% | 65.95% | 67.16% | 65.85% | 55.89% |
| 42M => 28.69% | 34.56% | 28.69% | 23.15% | 28.52% | 65.83% |
| 54M => 32.48% | 41.40% | 32.48% | 35.02% | 32.19% | ?% |
| 06Y => 28.85% | 21.48% | 28.85% | 29.14% | 29.34% | ?% |
| 09Y => 22.83% | 22.71% | 22.83% | 22.94% | 22.70% | 1040.31% |
Infinity | 0.0
NaN | 0.0
NaN | 0.0
Infinity | 0.0
Infinity | 0.0
Infinity | 0.0
Infinity | 0.0
Infinity | 0.0
Infinity | 0.0
Infinity | 0.0
4.664388290307626 | 6.615680445842542E-4
1.6379828514927504 | 0.0033747522601839663
2.753785273642984 | 8.571428571428966E-4
1.7869529889163829 | 0.0017727875513337196
0.7846267869749938 | 0.00630094638366684
5.9339563268971105 | 6.615680445842542E-4
1.9301109480140355 | 0.0033747522601839663
3.187262824468726 | 8.571428571428966E-4
2.2642952448653855 | 0.0017727875513337196
1.070648170424663 | 0.00630094638366684
6.048795331001474 | 6.615680445842542E-4
2.0282848092758 | 0.0033747522601839663
3.3864699842167107 | 8.571428571428966E-4
2.333420541946177 | 0.0017727875513337196
1.0840562216519045 | 0.00630094638366684
null
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 18M 27M 36M 45M 54M |
|------------------------------------------------------------|
| 0.85 => ?% ?% ?% ?% ?% |
| 0.93 => ?% ?% ?% ?% ?% |
| 1.00 => 466.44% 163.80% 275.38% 178.70% 78.46% |
| 1.07 => 593.40% 193.01% 318.73% 226.43% 107.06% |
| 1.15 => 604.88% 202.83% 338.65% 233.34% 108.41% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 12M 24M 36M 48M 60M |
|------------------------------------------------------------|
| 0.80 => 24.29% 29.47% 34.49% 39.61% 44.94% |
| 0.90 => 18.24% 23.70% 28.81% 33.93% 39.21% |
| 1.00 => 13.21% 18.76% 23.85% 28.91% 34.11% |
| 1.10 => 09.06% 14.51% 19.50% 24.46% 29.54% |
| 1.20 => 05.66% 10.86% 15.69% 20.50% 25.44% |
|------------------------------------------------------------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 06M 21M 36M 51M 66M |
|------------------------------------------------------------|
| 0.50 => 24.29% 28.18% 34.49% 40.92% 44.94% |
| 0.70 => 24.29% 28.18% 34.49% 40.92% 44.94% |
| 0.85 => 21.18% 25.20% 31.59% 38.02% 42.03% |
| 1.00 => 13.21% 17.40% 23.85% 30.19% 34.11% |
| 1.15 => 07.30% 11.33% 17.55% 23.68% 27.45% |
| 1.30 => 05.66% 09.58% 15.69% 21.71% 25.44% |
| 1.50 => 05.66% 09.58% 15.69% 21.71% 25.44% |
|------------------------------------------------------------|
|--------- STRIKE TERM STRUCTURE FROM MARKET SURFACE --------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 06M 21M 36M 51M 66M |
|------------------------------------------------------------|
| 0.50 => 24.29% 28.18% 34.49% 40.92% 44.94% |
| 0.70 => 24.29% 28.18% 34.49% 40.92% 44.94% |
| 0.85 => 21.27% 25.27% 31.65% 38.07% 42.08% |
| 1.00 => 13.21% 17.40% 23.85% 30.19% 34.11% |
| 1.15 => 07.36% 11.38% 17.60% 23.71% 27.49% |
| 1.30 => 05.66% 09.58% 15.69% 21.71% 25.44% |
| 1.50 => 05.66% 09.58% 15.69% 21.71% 25.44% |
|------------------------------------------------------------|
|-------- MATURITY TERM STRUCTURE FROM MARKET SURFACE -------|
|------------------------------------------------------------|
|------------------------------------------------------------|
| ATM/TTE => 06M 21M 36M 51M 66M |
|------------------------------------------------------------|
| 0.50 => 24.29% 28.18% 34.49% 40.92% 44.94% |
| 0.70 => 24.29% 28.18% 34.49% 40.92% 44.94% |
| 0.85 => 24.29% 28.18% 34.49% 40.92% 44.94% |
| 1.00 => 13.21% 17.40% 23.85% 30.19% 34.11% |
| 1.15 => 13.21% 17.40% 23.85% 30.19% 34.11% |
| 1.30 => 13.21% 17.40% 23.85% 30.19% 34.11% |
| 1.50 => 13.21% 17.40% 23.85% 30.19% 34.11% |
|------------------------------------------------------------|
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:50:32 EST 2020
| Setup Time => Mon Jan 27 00:50:32 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
blackscholescallvolatility => 1.0160756620204852
blackscholesputvolatility => 1.016075662020485
calctime => 4.8610000000000005E-4
callcharm => NaN
callcolor => NaN
calldelta => 0.2785490654548745
callgamma => NaN
callprice => 0.28399412552008996
callprob1 => 0.2785490654548745
callprob2 => -0.005504274438465904
callrho => NaN
callspeed => NaN
calltheta => NaN
callultima => NaN
callvanna => NaN
callvega => NaN
callveta => NaN
callvomma => NaN
df => 0.9892421110334401
effectivevolatility => 1.0
impliedcallvolatility => 1.000000008529259
impliedputvolatility => 1.0000000085292595
putcharm => NaN
putcolor => NaN
putdelta => -0.005312828901344577
putgamma => NaN
putprice => 0.27323623655352997
putpricefromparity => 0.27323623655352997
putprob1 => 0.005312828901344577
putprob2 => 0.28157825303643846
putrho => NaN
putspeed => NaN
puttheta => NaN
putultima => NaN
putvanna => NaN
putvega => NaN
putveta => NaN
putvomma => NaN
tte => 0.49828884325804246
Implied Vol: 101.61%
|-----------------------------------------------------------------|
| Copyright (C) 2011-2020 (DRIP, DROP)
|-----------------------------------------------------------------|
| Build Version => 4.66.0 multi mode
| Build JVM (TM) => 1.8.0_112
| Build Snap => Sun Jan 26 23:00:02 EST 2020
| Start Time => Mon Jan 27 00:50:32 EST 2020
| Setup Time => Mon Jan 27 00:50:32 EST 2020
| Setup Duration => 0 ms
|-----------------------------------------------------------------|
blackscholescallvolatility => 1.0000000001520917
blackscholesputvolatility => 1.0000000001520921
calctime => 3.075E-4
callcharm => 0.0654091958953076
callcolor => -0.5917707859404253
calldelta => 0.6493599832701054
callgamma => 0.5194218727065957
callprice => 0.2797675417363209
callprob1 => 0.6493599832701054
callprob2 => 0.3736117148790594
callrho => 0.18616654923474008
callspeed => -0.7930581973052959
calltheta => -0.2735001536121541
callultima => -0.02964961894252329
callvanna => 0.11945988409551597
callvega => 0.2644820521317114
callveta => -0.22945953689563833
callvomma => -0.03269873069672834
df => 0.9892421110334401
effectivevolatility => 1.0
impliedcallvolatility => 1.0000000001520917
impliedputvolatility => 1.0000000001520921
putcharm => 0.0654091958953076
putcolor => -0.5917707859404253
putdelta => -0.35064001672989464
putgamma => 0.5194218727065957
putprice => 0.26900965276976097
putpricefromparity => 0.2690096527697609
putprob1 => 0.35064001672989464
putprob2 => 0.6263882851209406
putrho => -0.3121222940233024
putspeed => -0.7930581973052959
puttheta => -0.25179351982078446
putultima => -0.02964961894252329
putvanna => 0.11945988409551597
putvega => 0.2644820521317114
putveta => -0.22945953689563833
putvomma => -0.03269873069672834
tte => 0.49828884325804246
Implied Vol: 100.00%