DERIVATIVES <GO>
DESK PRICER
VANILLA | DIGITAL | SHARKFIN | FCN / DCN | PHOENIX | SNOWBALL
VOL SURFACE →
ONLINE // SITES
CONTRACT // SNOWBALL
FAIR ANNUAL COUPON4.3466%
PRODUCTSNOWBALL
ENGINESNOWBALL-MC
SPOT100.0000
PV1.882480
VOL15.00%
RF / Q1.80% / 3.80%
KO PROB86.69%
KI & SURVIVE5.61%
KO OBS11
ZERO-COUPON PV-1.4473
PV vs UNDERLYING
CLEAN OPTION PV
SCENARIO ANALYSIS
| SCENARIO | UNDERLYING | MOVE | PV | P&L |
|---|---|---|---|---|
| DOWN 20% | 80.0000 | -20.00% | -15.216438 | -17.098918 |
| DOWN 10% | 90.0000 | -10.00% | -1.624888 | -3.507368 |
| SPOT | 100.0000 | 0.00% | 1.882480 | 0.000000 |
| UP 10% | 110.0000 | 10.00% | 1.729994 | -0.152486 |
| UP 20% | 120.0000 | 20.00% | 1.674957 | -0.207523 |
GREEKS (SPOT)
- DELTA
- 0.046144
- GAMMA
- -0.016224
- VEGA (dPV/dVOL)
- -42.668451
- THETA (1D)
- -0.016710
- RHO (dPV/dRF)
- 4.886387
- PHI (dPV/dQ)
- -5.320124
PV BY MATURITY
2.103M
2.676M
2.389M
1.8812M
FAIR ANNUAL COUPON4.3466%
UNIT PRICE1.882480
ENGINESNOWBALL-MC
KO PROB86.69%
KI & SURVIVE5.61%
KO OBS11
ZERO-COUPON PV-1.4473
QUOTE BASIS: DESK OPTION LEG / ZERO PV · DAILY KI · MONTHLY KO AFTER LOCK-UP · 245 TRADING DAYS