TOUCH THE MODEL.
Change one assumption. Watch every dependent output react.
EXPERIMENT 01
Black–Scholes–Merton · ACT/365-like · continuous ratesVanilla Option Workstation
Move from a source-labelled underlying through model, price, risk, scenarios, mathematics and implementation.
GUIDED EXPERIMENT
Change one assumption with intent
Load a coherent example, observe the linked calculation, then return to unrestricted manual exploration.
New here? Start with one example and change only the suggested input.
First try
PV · MODEL21.2758
Delta0.5789
Gamma0.0080
Vega / 1 vol pt0.8432
Theta / day-0.0335
Rho / 100bp1.0518
FORWARD 225.0925DF 0.960789INTRINSIC 0.0000TIME VALUE 21.2758MONEYNESS 0.9929
RISK EXPLORERVEGA vs underlying
Vega (per 1 vol point) across the current spot range.
- vega
Use Left/Right or Up/Down arrows to inspect values; Home and End jump to the bounds.
View chart data
| Spot | vega |
|---|---|
| 141.99 | 0.12254 |
| 144.61 | 0.14378 |
| 147.23 | 0.16710 |
| 149.85 | 0.19242 |
| 152.47 | 0.21966 |
| 155.09 | 0.24868 |
| 157.71 | 0.27931 |
| 160.33 | 0.31134 |
| 162.96 | 0.34455 |
| 165.58 | 0.37867 |
| 168.20 | 0.41341 |
| 170.82 | 0.44850 |
| 173.44 | 0.48362 |
| 176.06 | 0.51847 |
| 178.68 | 0.55273 |
| 181.31 | 0.58612 |
| 183.93 | 0.61835 |
| 186.55 | 0.64914 |
| 189.17 | 0.67825 |
| 191.79 | 0.70545 |
| 194.41 | 0.73055 |
| 197.03 | 0.75337 |
| 199.65 | 0.77377 |
| 202.28 | 0.79164 |
| 204.90 | 0.80690 |
| 207.52 | 0.81949 |
| 210.14 | 0.82940 |
| 212.76 | 0.83662 |
| 215.38 | 0.84119 |
| 218.00 | 0.84316 |
| 220.62 | 0.84261 |
| 223.25 | 0.83963 |
| 225.87 | 0.83432 |
| 228.49 | 0.82682 |
| 231.11 | 0.81725 |
| 233.73 | 0.80578 |
| 236.35 | 0.79253 |
| 238.97 | 0.77768 |
| 241.59 | 0.76138 |
| 244.22 | 0.74379 |
| 246.84 | 0.72507 |
| 249.46 | 0.70538 |
| 252.08 | 0.68486 |
| 254.70 | 0.66366 |
| 257.32 | 0.64193 |
| 259.94 | 0.61979 |
| 262.56 | 0.59738 |
| 265.19 | 0.57481 |
| 267.81 | 0.55220 |
| 270.43 | 0.52963 |
| 273.05 | 0.50721 |
| 275.67 | 0.48503 |
| 278.29 | 0.46314 |
| 280.91 | 0.44163 |
| 283.54 | 0.42055 |
| 286.16 | 0.39995 |
| 288.78 | 0.37988 |
| 291.40 | 0.36038 |
| 294.02 | 0.34146 |
| 296.64 | 0.32317 |
| 299.26 | 0.30551 |
SCENARIO MATRIXVEGA · underlying × volatility
SINGLE VECTORIZED GRID| Underlying \ volatility | 12.0% | 17.0% | 22.0% | 27.0% | 32.0% |
|---|---|---|---|---|---|
| 174.75 | 0.18921 | 0.37982 | 0.50110 | 0.57420 | 0.61926 |
| 196.60 | 0.63781 | 0.71676 | 0.74973 | 0.76530 | 0.77280 |
| 218.44 | 0.83609 | 0.84222 | 0.84324 | 0.84220 | 0.83996 |
| 240.28 | 0.54977 | 0.69999 | 0.76970 | 0.80548 | 0.82498 |
| 262.13 | 0.21615 | 0.44932 | 0.60113 | 0.69364 | 0.75104 |
PAYOFF EXPLORERValue today ≠ payoff at maturity
K 220.00Discounted option value today versus contractual payoff at maturity.
- Today
- Payoff
Use Left/Right or Up/Down arrows to inspect values; Home and End jump to the bounds.
Today’s value includes discounted optionality and time value. The maturity payoff contains neither.
Invert price into volatility.
V = φ · [S e^(−qT) N(φd₁) − K e^(−rT) N(φd₂)]