Derivex

Black-Scholes Model & Strategy Analysis
Call
$49.54
Put
$44.26

Model Components

d1 Calculation
d1=ln⁡(S/K)+(r+σ2/2)TσTd_1 = \frac{\ln(S/K) + (r + \sigma^2/2)T}{\sigma\sqrt{T}}
d1 =0.1564
d2 Calculation
d2=d1−σTd_2 = d_1 - \sigma\sqrt{T}
d2 =-0.0668
N(d1)N(d_1)
56.21%
Delta proxy
N(d2)N(d_2)
47.34%
Exercise probability
Option Prices
Call Price
$49.54
S⋅N(d1)−Ke−rT⋅N(d2)S \cdot N(d_1) - Ke^{-rT} \cdot N(d_2)
Put Price
$44.26
Ke−rT⋅N(−d2)−S⋅N(−d1)Ke^{-rT} \cdot N(-d_2) - S \cdot N(-d_1)

Standard Normal Distribution

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