SPY option value based on the Black-Scholes Model


















Black-Scholes Option Pricing Model


Black-Scholes Option Pricing Model (with dilution)
iex #VALUE!
Inputs:


Inputs (with dilution effects):


hbcount 369
Stock Price (S) #VALUE!

Stock Price (S) #VALUE!

status open
Strike Price (X) $250.00

Strike Price (X) $250.00

appl_mid #VALUE!
Volatility (s) 40.00%

Volatility (s) 40.00%

spy_ltrade #VALUE!
Risk-free Rate 0.50%

Risk-free Rate 0.50%



Time to expiration (T) 1 yrs
Time to expiration (T) 1 yrs


Dividend Yield 0.00%

Dividend Yield 0.00%



# of Options (000) 10,000

# of Options (000) 10,000



# Shares Outstanding (000) 100,000

# Shares Outstanding (000) 100,000



Tax Rate 20.00%

Tax Rate 20.00%



Output:


\








Adjusted S (dilution) #VALUE!



D1 #VALUE!

D1 #VALUE!



D2 #VALUE!

D2 #VALUE!



N(D1) #VALUE!

N(D1) #VALUE!



N(D2) #VALUE!

N(D2) #VALUE!



Call Price #VALUE!

Call Price #VALUE!



Put Price #VALUE!

Put Price #VALUE!



Value of Call Options (000) #VALUE!

Value of Call Options (000) #VALUE!



After-tax Option Value (000) #VALUE!

After-tax Option Value (000) #VALUE!




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