Theoretical value
1.45%of spot
- Total premium
- $144.69
- Intrinsic
- $0.00
- Time value
- $1.45
- Breakeven
- $106.45
Risk sensitivity
Payoff at expiry
long call, held to expiration
Across the spot
How each metric bends as the underlying moves, expiry held fixed
Back out volatility
Enter the price the market is paying and solve for implied volatility.
Implied volatility
Waiting on a market price.
Scenario grid
Position P&L for simultaneous spot and implied-volatility shocks, time held constant
| Vol / Spot | −10% | −5% | Flat spot | +5% | +10% |
|---|---|---|---|---|---|
| −10 vol | −$144.45 | −$138.78 | −$90.78 | +$86.18 | +$434.74 |
| −5 vol | −$142.32 | −$124.31 | −$47.88 | +$146.01 | +$477.66 |
| Flat vol | −$135.75 | −$100.88 | +$0.00 | +$205.84 | +$526.37 |
| +5 vol | −$123.35 | −$70.27 | +$50.84 | +$265.67 | +$578.57 |
| +10 vol | −$105.03 | −$34.27 | +$103.56 | +$325.49 | +$632.99 |
Reading the greeks
Price change for a $1 move in the underlying, and the hedge ratio: 0.50 means 50 shares per contract.
How fast delta itself changes. Peaks at-the-money and near expiry, where exposure flips quickest.
Value surrendered as one day passes with spot and volatility unchanged. Negative for long options.
Price change for a one point shift in implied volatility. Long options gain when vol rises.
Price change for a one point shift in the risk-free rate. Small over short expiries.