Black-Scholes
07 • LIVECumulative Normal Distribution (Abramowitz). Vega per 1% IV, Theta per day, Rho per 1% rates.
THEORETICAL PRICE
$8.42
per share ×100 = $842
INTRINSIC
$0.00
vs
EXTRINSIC
$8.42
time value
Greeks
Δ DELTA
0.58
per $1 move
Γ GAMMA
0.018
delta accel
Θ THETA
-0.12
per day
V VEGA
0.42
per 1% IV
ρ RHO
0.08
per 1% rates
Delta 0.58 ≈ 58% prob ITM at expiry (approx). Gamma peaks ATM & near expiry.
P&L at Expiration
Breakeven $188.42Max Loss (if OTM)
-$842
Profit if +10%
+$1,258
Breakeven Move
+4.7%