Spread option
A call or put on the difference between two prices, valued under a two-asset model.
- Intrinsic value at forwards
- 1.07
- Payoff at forwards
- 1.07
Across asset 1
Greeks · 10
- 0.567216
- per 1 unit of asset 1
- −0.444881
- per 1 unit of asset 2
- 0.0132631
- per 1 unit of asset 1
- 0.013268
- per 1 unit of asset 2
- −0.0132643
- per 1 unit of each asset
- 0.208875
- per 1 vol point of asset 1
- 0.170214
- per 1 vol point of asset 2
- −0.11341
- per 0.01 correlation
- 0.0246884
- per 1% rate
- −0.0165438
- per day
Model values for illustration, from fixed market data. They are not quotes.
Need your own market data, model parameters or terms? We price them on the same engine.
We price far more than what is shown here. For other products, talk to our team.
Talk to our team →About this product
A call pays the amount by which the first price exceeds the second by more than the strike at expiry; a put pays when it exceeds it by less.
As with the exchange option, correlation drives the value: two prices that move together leave a narrow spread.
What you can change
The contract terms above. Market data, model parameters and numerical settings are fixed for this demo and shown with each result.
The Greeks
- Delta 1 per 1 unit of asset 1
- How much the option's value changes when asset 1 moves by 1 unit, with asset 2 unchanged.
- Delta 2 per 1 unit of asset 2
- How much the option's value changes when asset 2 moves by 1 unit, with asset 1 unchanged.
- Gamma 1 per 1 unit of asset 1
- How much Delta 1 changes when asset 1 moves by 1 unit.
- Gamma 2 per 1 unit of asset 2
- How much Delta 2 changes when asset 2 moves by 1 unit.
- Cross Gamma per 1 unit of each asset
- How much Delta 1 changes when asset 2 moves by 1 unit. It is also how much Delta 2 changes when asset 1 moves by 1 unit.
- Vega 1 per 1 vol point of asset 1
- How much the option's value changes when the volatility of asset 1 rises by 1 point.
- Vega 2 per 1 vol point of asset 2
- How much the option's value changes when the volatility of asset 2 rises by 1 point.
- Correlation 01 per 0.01 correlation
- How much the option's value changes when the correlation between the two assets rises by 0.01.
- Rho per 1% rate
- How much the value changes when interest rates rise by 1 percentage point.
- Theta per day
- How much the value changes as one calendar day passes, with everything else unchanged.
For more services, go to Structured Products Solution →