## Input:

## Option type: Select Call or Put option.

## Spot: Current spot price of the underlying.

## Time: Time until maturity of the option expressed in years.

## Volatility: Annualised volatility of the underlying (implied volatility of the option).

## Carry rate: continuously compounded, per annum carry rate of the underlying.

## Interest rate: Typically the money market rate or risk free rate (continuously compounded rate).

## Output:

## Value: Theoretical Black-Scholes model value of the option.

## Delta: ∂TV / ∂Spot. The change in the option's theoretical value for a change in the underlying spot price.

## Gamma = ∂Delta / ∂Spot. The change in the option’s Delta for a change in the underlying spot price by 1 unit.

## Vega: ∂TV / ∂Volatility. The change in the option's theoretical value for a change in the volatility by 1% point.

## Theta: ∂TV / ∂Time. The change in the option's theoretical value for a change in the time to expiry. Note that the output is expressed as a change per year. Example: If TV = 6.00, and Theta = 5,20, then the value of the option decreases by 5.2/52 to 5.9, if 1 week goes by.

## Forward price: The current forward price of the underlying with same expiry as the option.

## Probability: Risk-neutral probability of the option ending In-The-Money:

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