This form configures parameters for a Call Option Strategy, likely used in a pricing or simulation model. Each input represents a key variable in the valuation or payoff structure.
| Field | Description |
|---|---|
| Strategy | Type of option strategy selected (e.g., Call, Put, Spread). |
| S | Current price of the underlying asset (e.g., stock). |
| IV (σ) | Implied volatility (%) of the underlying asset. |
| T | Time to expiration in days. |
| K | Strike price of the option. |
| N | Number of contracts or option units. |
| dK | Strike price difference. 2-K/4-K case: dK = K1 - K0. |
| dK2 | Strike price difference. 3-K case: dK2 = K - K24-K case: dK2 = K0 - K2. |
| dK3 | Strike price difference. 3-K case: dK3 = K3 - K4-K case: dK3 = K3 - K1. |
| dT | Days of expiration difference for calendar/diagonal spreads. dT = T(longer-expiration) - T |
| S_dB1 | Smallest price of underlying asset in (dB). S_dB1 = - 10 * log(Smin / S) |
| S_dB2 | Largest price of underlying assert in (dB). S_dB2 = 10 * log(Smax / S) |
| t | List of early close days from day 0. |
| σ_t | List of Implied volatility at Day t. It should be the same dimension as t. |
| r | Risk-free interest rate (%), used in pricing models. |
| q | Dividend yield (%) of the underlying asset. |