Binary Values (for stock and stock indexes)                    


Underlying Price (S)  

To calculate the theoretical value of a binary option, simply input the requested information such as the underlying price, the days to expiration, etc.   The "Interest Rate" is generally the risk-free rate.   Some traders use the interest rate on 90-day Treasury bills as an estimate of this rate.   Dividend information on the S&P 500 can be found by performing a key word search on "S&P Dividend Yield".   There is no dividend on VIX.   Information on volatility is available from the Volatility Optimizer under the Trading Tools tab on the CBOE‘s web site, click here.

Output values are shown out to three decimal points for call and put values.  Values of delta, gamma, vega and theta are provided to six decimal points.

Strike (X)  
Days  
Volatility (v)  
Interest Rate (r)  
Dividend Yield (q)  
  
 
  
Calculated Values
CallsPuts
Binary Value
Binary Delta (decimal format)
Binary Gamma (decimal format)
Binary Theta (daily)
Binary Vega (per 1%)
Binary Rho (per 1%)