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 328
Stock Price (S) $249.91

Stock Price (S) $249.91

status #VALUE!
Strike Price (X) $250.00

Strike Price (X) $250.00

appl_mid #VALUE!
Volatility (s) 40.00%

Volatility (s) 40.00%

spy_ltrade 249.91
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) $230.84



D1 0.21160

D1 0.01313



D2 -0.18840

D2 -0.38687



N(D1) 0.58379

N(D1) 0.50524



N(D2) 0.42528

N(D2) 0.34942



Call Price $40.10496

Call Price $29.70666



Put Price $38.94808

Put Price $47.62296



Value of Call Options (000) $401,050

Value of Call Options (000) $297,067



After-tax Option Value (000) $320,840

After-tax Option Value (000) $237,653




UI Guide
Tips on sscalc0.online spreadsheets
close guide ยป
close 1
Click Login to search the spreadserve.com database for spreadsheets and formulae
Previous Next