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        Vanilla Option Calculator

Model:
Future
Pricing Date
Expiry Date
Strike
Interest Rate (%)
Volatility (%)
 
CallPut
Price
Delta (%)
Gamma (%)
Theta
Vega
Rho
Market Option Price
Implied Volatility (%)

        Spread Option Calculator

Model:
Future1
Future2
Pricing Date
Expiry Date
Strike
Interest Rate (%)
Volatility1 (%)
Volatility2 (%)
Correlation (%)
 
Call Put
Price
Delta1 (%)
Delta2 (%)
Gamma1 (%)
Gamma2 (%)
Theta
Vega1
Vega2
Vega12
Rho
Disclaimer: Option and derivative calculations are provided by PMC Derivatives Ltd All rights reserved. Calculations are provided for informational purposes only, and are not intended for trading and valuation analysis purposes. PMC Derivatives Ltd shall not be liable for any errors in the content, or for any actions taken in reliance thereon.

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