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FX OTC Option Table

Spot: 1.1384
Rate: 1.35%
Sigma: 4.20%

CALL OPTIONS

Strike Ξ” ΠΏΠΏ Moneyness % Delta Gamma Theta Vega Prob ITM Premium Premium (ΠΏΠΏ) Breakeven
1.1284 -100.0 -0.88% 0.941 17.7284 -0.00009 0.01852 94.0% 0.01045 104.5 1.1388
1.1309 -75.0 -0.66% 0.881 29.8877 -0.00013 0.03121 88.0% 0.00817 81.7 1.1390
1.1334 -50.0 -0.44% 0.789 43.5730 -0.00017 0.04551 78.8% 0.00608 60.8 1.1394
1.1359 -25.0 -0.22% 0.664 54.9865 -0.00020 0.05743 66.3% 0.00427 42.7 1.1401
1.1384 0.0 0.00% 0.519 60.1207 -0.00021 0.06279 51.7% 0.00279 27.9 1.1412
1.1409 25.0 0.22% 0.371 57.0070 -0.00019 0.05954 36.9% 0.00169 16.9 1.1425
1.1434 50.0 0.44% 0.240 46.9219 -0.00016 0.04900 23.8% 0.00093 9.3 1.1443
1.1459 75.0 0.66% 0.140 33.5559 -0.00011 0.03505 13.9% 0.00047 4.7 1.1463
1.1484 100.0 0.88% 0.073 20.8692 -0.00007 0.02180 7.2% 0.00021 2.1 1.1486

PUT OPTIONS

Strike Ξ” ΠΏΠΏ Moneyness % Delta Gamma Theta Vega Prob ITM Premium Premium (ΠΏΠΏ) Breakeven
1.1284 -100.0 -0.88% -0.059 17.7284 -0.00005 0.01852 6.0% 0.00017 1.7 1.1282
1.1309 -75.0 -0.66% -0.118 29.8877 -0.00009 0.03121 12.0% 0.00039 3.9 1.1305
1.1334 -50.0 -0.44% -0.211 43.5730 -0.00013 0.04551 21.2% 0.00079 7.9 1.1326
1.1359 -25.0 -0.22% -0.335 54.9865 -0.00016 0.05743 33.7% 0.00147 14.7 1.1344
1.1384 0.0 0.00% -0.481 60.1207 -0.00017 0.06279 48.3% 0.00250 25.0 1.1359
1.1409 25.0 0.22% -0.629 57.0070 -0.00015 0.05954 63.1% 0.00389 38.9 1.1370
1.1434 50.0 0.44% -0.759 46.9219 -0.00011 0.04900 76.2% 0.00564 56.4 1.1377
1.1459 75.0 0.66% -0.860 33.5559 -0.00007 0.03505 86.1% 0.00767 76.7 1.1382
1.1484 100.0 0.88% -0.927 20.8692 -0.00003 0.02180 92.8% 0.00991 99.1 1.1384
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