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FX OTC Option Table

Spot: 1.1219
Rate: 1.35%
Sigma: 6.41%

CALL OPTIONS

Strike Ξ” ΠΏΠΏ Moneyness % Delta Gamma Theta Vega Prob ITM Premium Premium (ΠΏΠΏ) Breakeven
1.1125 -93.7 -0.84% 0.836 24.8094 -0.00021 0.03836 83.4% 0.01052 105.2 1.1230
1.1150 -68.7 -0.61% 0.766 30.7832 -0.00025 0.04759 76.3% 0.00852 85.2 1.1235
1.1175 -43.7 -0.39% 0.682 35.8168 -0.00028 0.05538 67.9% 0.00672 67.2 1.1242
1.1200 -18.7 -0.17% 0.587 39.0949 -0.00030 0.06045 58.4% 0.00514 51.4 1.1251
1.1225 6.3 0.06% 0.488 40.0498 -0.00030 0.06192 48.5% 0.00380 38.0 1.1263
1.1250 31.3 0.28% 0.389 38.5222 -0.00029 0.05956 38.6% 0.00271 27.1 1.1277
1.1275 56.3 0.50% 0.298 34.8045 -0.00026 0.05381 29.5% 0.00187 18.7 1.1294
1.1300 81.3 0.72% 0.217 29.5496 -0.00022 0.04569 21.5% 0.00123 12.3 1.1312
1.1325 106.3 0.95% 0.152 23.5852 -0.00017 0.03647 15.0% 0.00078 7.8 1.1333

PUT OPTIONS

Strike Ξ” ΠΏΠΏ Moneyness % Delta Gamma Theta Vega Prob ITM Premium Premium (ΠΏΠΏ) Breakeven
1.1125 -93.7 -0.84% -0.164 24.8094 -0.00017 0.03836 16.6% 0.00087 8.7 1.1116
1.1150 -68.7 -0.61% -0.234 30.7832 -0.00021 0.04759 23.7% 0.00137 13.7 1.1136
1.1175 -43.7 -0.39% -0.318 35.8168 -0.00024 0.05538 32.1% 0.00206 20.6 1.1154
1.1200 -18.7 -0.17% -0.412 39.0949 -0.00026 0.06045 41.6% 0.00298 29.8 1.1170
1.1225 6.3 0.06% -0.512 40.0498 -0.00026 0.06192 51.5% 0.00414 41.4 1.1184
1.1250 31.3 0.28% -0.610 38.5222 -0.00025 0.05956 61.4% 0.00555 55.5 1.1194
1.1275 56.3 0.50% -0.702 34.8045 -0.00022 0.05381 70.5% 0.00720 72.0 1.1203
1.1300 81.3 0.72% -0.782 29.5496 -0.00018 0.04569 78.5% 0.00907 90.7 1.1209
1.1325 106.3 0.95% -0.848 23.5852 -0.00013 0.03647 85.0% 0.01111 111.1 1.1214
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