Options are now a mainstream tool for individual investors, and S&P 500 options expire every weekday, so the vocabulary on an option chain changes faster than most guides. This glossary defines 122 options terms in plain English, grouped the way you meet them in practice, from the contract itself through pricing, the Greeks, volatility, strategies, expiration, market structure and tax. New to options altogether? Start with options basics for tech investors, then use this page as your reference.
How should you use this options glossary?
Use this glossary as a lookup, not a course. Each term has a one- or two-sentence definition and, where Proflex has written a full guide, a link to it. Jump by letter with the A–Z bar, or scan a whole group below.
Jump to a letter: 0–9 · A · B · C · D · E · F · G · H · I · L · M · N · O · P · Q · R · S · T · U · V · W · Z
| Group | Terms | Starts with |
|---|---|---|
| What are the basic options contract terms | 21 | Option, Call option, Put option, Underlying… |
| How are options priced, and what does moneyness mean | 15 | Intrinsic value, Extrinsic value (time value), In the money (ITM), At the money (ATM)… |
| What are the options Greeks | 11 | The Greeks, Delta, Gamma, Theta… |
| What are the key volatility terms in options | 12 | Implied volatility (IV), Historical (realized) volatility, IV rank, IV percentile… |
| What are the common options strategies called | 23 | Covered call, Buy-write, Covered call ETF, Cash-secured put… |
| What happens at expiration, exercise and assignment | 16 | OPEX (options expiration), Monthly options, Weekly options, Triple witching… |
| What are the options market-structure terms professionals use | 12 | Market maker, OCC (Options Clearing Corporation), GEX (gamma exposure), Positive gamma regime… |
| What tax and account terms apply to options | 12 | Section 1256 contract, 60/40 rule, Mark-to-market, Form 6781… |
If you can explain moneyness, delta, theta and implied volatility to someone else, you understand enough to read an option chain. Everything else refines those four ideas.
What are the basic options contract terms?
Every listed option is defined by a handful of contract terms. Learn these first; every other word in this glossary builds on them.
- Option
- A contract that gives its buyer the right, but not the obligation, to buy or sell an asset at a set price on or before a set date. The seller takes on the matching obligation in exchange for the premium. Deep dive: options basics for tech investors.
- Call option
- The right to buy the underlying at the strike price. A call gains value as the underlying rises.
- Put option
- The right to sell the underlying at the strike price. A put gains value as the underlying falls, which is why puts are the basic hedging tool. Deep dive: how to hedge a stock portfolio with options.
- Underlying
- The asset an option is written on: a stock, an ETF, an index or a futures contract.
- Strike price
- The fixed price at which the option can be exercised. Strike selection is most of the decision in any options trade.
- The price of an option, quoted per share. The buyer pays it and the seller keeps it whatever happens next.
- Expiration date
- The last day an option exists. After it, the option is exercised, assigned or worthless. Deep dive: options expiration (OPEX) explained.
- Contract multiplier
- The number of units one contract controls. A standard US equity option covers 100 shares, so a $2.00 premium costs $200 per contract.
- Option chain
- The table of every strike and expiration listed for an underlying, with bids, asks, volume, open interest and usually the Greeks.
- Open interest
- The number of contracts outstanding that have not been closed, exercised or expired. It shows where positions sit, not how much traded today.
- Volume
- The number of contracts traded in a session. High volume with rising open interest means new positions are being opened.
- Long
- Owning an option (you bought it). Your risk is limited to the premium paid.
- Short (writer)
- Having sold an option you did not own. The writer collects premium and takes on the obligation to buy or deliver shares if assigned.
- Buy to open
- An order that opens a new long option position.
- Sell to open
- An order that opens a new short option position, collecting premium. Covered calls and cash-secured puts start this way.
- Buy to close
- An order that ends a short option position by buying it back.
- Sell to close
- An order that ends a long option position by selling it.
- American-style option
- An option that can be exercised on any business day up to expiration. Almost all single-stock and ETF options, including SPY, are American-style.
- European-style option
- An option that can be exercised only at expiration. Most broad index options, such as SPX, are European-style, so they cannot be assigned early.
- Cash-settled
- Settled by paying the in-the-money amount in cash rather than delivering shares. SPX options are cash-settled.
- Physically settled
- Settled by delivering the underlying shares at the strike price. Stock and ETF options are physically settled.
How are options priced, and what does moneyness mean?
An option’s price splits into intrinsic value (what it would be worth exercised now) and extrinsic value (everything else). Moneyness tells you which of the two dominates.
- Intrinsic value
- The amount an option is in the money: stock price minus strike for a call, strike minus stock price for a put, and never below zero.
- Extrinsic value (time value)
- The part of the premium above intrinsic value. It pays for time and uncertainty, and it decays to zero by expiration. Deep dive: theta in the options Greeks guide.
- In the money (ITM)
- A call with a strike below the stock price, or a put with a strike above it. An ITM option has intrinsic value.
- At the money (ATM)
- An option whose strike is at or very near the current price. ATM options carry the most extrinsic value and the most gamma.
- Out of the money (OTM)
- A call with a strike above the stock price, or a put with a strike below it. An OTM option is all extrinsic value.
- Deep in the money
- An option so far in the money that it behaves almost like the stock, with a delta near 1.00 for calls or −1.00 for puts. Deep ITM calls are the usual LEAPS stock-replacement choice. Deep dive: LEAPS options explained.
- Moneyness
- Where the strike sits relative to the current price: in, at or out of the money. Often expressed as a percentage or by delta.
- Bid
- The highest price a buyer is currently willing to pay. You sell at the bid if you use a market order.
- Ask (offer)
- The lowest price a seller is currently willing to accept. You buy at the ask if you use a market order.
- Bid-ask spread
- The gap between bid and ask. Wide spreads are a hidden cost; on thinly traded strikes they can exceed a week of time decay.
- Mid price
- The halfway point between bid and ask. Limit orders at or near the mid usually get better fills than market orders.
- Breakeven
- The underlying price at expiration where a position neither gains nor loses. For a long call it is the strike plus the premium paid.
- Black–Scholes model
- The 1973 pricing model that values European options from price, strike, time, rate and volatility. It is the reference model behind most quoted Greeks and implied volatilities.
- Put-call parity
- The no-arbitrage link between European calls and puts on the same strike and expiry: call minus put equals the stock price minus the present value of the strike (adjusted for dividends).
- Probability in the money
- The market-implied chance an option finishes in the money. Delta is a rough stand-in; brokers often show the model figure separately.
| Stock price vs strike | Call is… | Put is… |
|---|---|---|
| Stock above strike | In the money | Out of the money |
| Stock at strike | At the money | At the money |
| Stock below strike | Out of the money | In the money |
What are the options Greeks?
The Greeks measure how an option’s price responds to one input changing while the others stay still. Professionals manage positions by their Greeks, not by their prices.
- The Greeks
- Sensitivities of an option’s price to changes in the stock price, time, volatility and interest rates, named after Greek letters. Deep dive: the options Greeks explained.
- Delta
- How much an option’s price moves for a $1 move in the underlying. Calls run from 0 to 1, puts from −1 to 0; an ATM option sits near 0.50.
- Gamma
- How fast delta changes for a $1 move in the underlying. Gamma is highest for at-the-money options close to expiration.
- Theta
- How much value an option loses from one day passing, all else equal. Buyers pay theta; sellers earn it.
- Vega
- How much an option’s price changes for a 1-point change in implied volatility. Longer-dated options carry more vega.
- Rho
- How much an option’s price changes for a 1-point change in interest rates. It matters mainly for long-dated options.
- Vanna
- How much delta changes when implied volatility changes. When volatility falls after a sell-off, vanna pushes dealer hedges and can fuel a rally.
- Charm (delta decay)
- How much delta changes as time passes, with price and volatility unchanged. Charm drives the drift in dealer hedging into expiration day.
- Delta-neutral
- A position whose combined delta is close to zero, so small moves in the underlying barely change its value. Market makers aim to stay delta-neutral.
- Delta hedging
- Buying or selling the underlying to offset an options position’s delta, and adjusting as delta changes. Deep dive: gamma exposure (GEX).
- An options position expressed as shares: contracts × 100 × delta. Ten calls at 0.50 delta behave like about 500 shares for small moves.
What are the key volatility terms in options?
Volatility is the one pricing input nobody can observe directly, so it gets the richest vocabulary. These terms tell you whether options are cheap or expensive.
- Implied volatility (IV)
- The volatility figure that makes a pricing model match the option’s market price, quoted as an annualized percentage. It is the market’s price of uncertainty. Deep dive: implied volatility guide.
- Historical (realized) volatility
- How much the underlying actually moved over a past window, annualized. Compare it with implied volatility to judge whether options are rich or cheap.
- IV rank
- Where current implied volatility sits between its 52-week low (0) and high (100). An IV rank of 80 means IV is near the top of its one-year range.
- IV percentile
- The share of days over the past year on which implied volatility was lower than today. It is less distorted by one extreme spike than IV rank. Deep dive: IV percentile for iron condors.
- Volatility skew
- Different implied volatilities across strikes of the same expiration. In equities, downside puts usually carry higher IV than upside calls, because investors pay up for crash protection.
- Volatility smile
- A skew shape where both deep out-of-the-money puts and calls carry higher IV than at-the-money options.
- Term structure
- How implied volatility varies across expiration dates. Normally longer expiries carry higher IV; inverted term structure (short-dated IV above long-dated) signals stress.
- IV crush
- The sharp fall in implied volatility after a scheduled event such as earnings. It can make an option lose money even when the stock moves in the right direction.
- VIX
- Cboe’s index of the 30-day implied volatility of the S&P 500, calculated from SPX option prices. Often called the fear gauge. Deep dive: VIX volatility regimes.
- Expected move
- The one-standard-deviation price range implied by options for a given period, roughly price × IV × √(days ÷ 365).
- The tendency of implied volatility to exceed the volatility that later occurs, on average. It is the edge behind systematic option selling, and hedge funds harvest it at scale. Deep dive: hedge fund strategies retail investors can use.
- Contango and backwardation (VIX futures)
- Contango is when later VIX futures trade above nearer ones, the normal state. Backwardation is the reverse and usually appears during sell-offs.
What are the common options strategies called?
Most strategies are combinations of the same four building blocks: buying or selling calls and puts. The names describe the shape of the payoff.
- Covered call
- Selling a call against shares you already own. You collect premium in exchange for capping your upside at the strike. Deep dive: covered calls for income.
- Buy-write
- Buying shares and selling a covered call on them in one trade. The Cboe BuyWrite Index tracks the strategy on the S&P 500. Deep dive: options income vs dividend investing.
- Covered call ETF
- A fund that runs a covered-call program on a stock index and distributes the premium. Deep dive: covered call ETFs.
- Cash-secured put
- Selling a put while holding enough cash to buy the shares if assigned. You are paid to wait for a stock at a price you chose. Deep dive: cash-secured puts and the wheel.
- Wheel strategy
- Selling cash-secured puts until assigned, then selling covered calls on the shares until they are called away, and repeating.
- Protective put
- Buying a put on stock you own to set a floor under it. It works like insurance: the premium is the cost, the strike is the deductible. Deep dive: portfolio hedging with options.
- Collar
- Owning the stock, buying a put below the price and selling a call above it. The call premium pays for some or all of the put. Deep dive: the collar strategy for concentrated stock.
- Zero-cost collar
- A collar struck so the call premium roughly equals the put premium, making the hedge free in cash terms; the cost is the upside above the call strike.
- Vertical spread
- Buying one option and selling another of the same type and expiration at a different strike. It defines both maximum gain and maximum loss.
- Credit spread
- A vertical spread opened for a net credit, such as a bull put spread or bear call spread. You profit if the short strike stays out of the money. Deep dive: credit spread options.
- Debit spread
- A vertical spread opened for a net debit. It is a cheaper, capped version of buying a call or put outright.
- Bull put spread
- Selling a put and buying a lower-strike put in the same expiration, for a credit. It profits if the stock stays above the short strike.
- Bear call spread
- Selling a call and buying a higher-strike call in the same expiration, for a credit. It profits if the stock stays below the short strike.
- Iron condor
- A bull put spread plus a bear call spread on the same underlying and expiration. It profits if the price stays inside a range. Deep dive: iron condor entries by IV percentile.
- Butterfly spread
- Buying one option, selling two at a middle strike and buying one further out, all the same type and expiration. It pays most if the price finishes at the middle strike. Deep dive: the butterfly options strategy.
- Straddle
- Buying (or selling) a call and a put at the same strike and expiration. A long straddle bets on a big move in either direction.
- Strangle
- Like a straddle, but with an out-of-the-money call and an out-of-the-money put at different strikes. Cheaper to buy, and needs a larger move.
- Calendar spread
- Selling a near-term option and buying a longer-dated option at the same strike. It profits from faster decay in the short leg.
- Diagonal spread
- A calendar spread with different strikes on each leg, combining time and price views.
- LEAPS
- Long-term Equity AnticiPation Securities: listed options that expire more than a year out. Used for stock replacement and long-dated hedges. Deep dive: LEAPS options strategy.
- Poor man’s covered call
- A diagonal spread that uses a deep in-the-money LEAPS call in place of the shares and sells short-dated calls against it.
- Naked (uncovered) option
- A short option with no offsetting stock or option position. A naked call has theoretically unlimited risk and needs the highest broker approval level.
- Ratio spread
- A spread with unequal numbers of long and short options, such as buying one and selling two. It can leave uncovered risk on one side.
Strategy names hide risk. A “wheel” is still a short put on a stock that can fall 40%, and a “naked” call has no ceiling on its loss. Read the payoff, not the name.
What happens at expiration, exercise and assignment?
Expiration is where options stop being probabilities and become shares or cash. These terms cover the calendar and the mechanics.
- OPEX (options expiration)
- Shorthand for expiration day, especially the standard monthly expiration on the third Friday of the month. Deep dive: options expiration explained.
- Monthly options
- Standard options that expire on the third Friday of each month. They carry the most open interest.
- Weekly options
- Options that expire in the weeks between monthly expirations. Many large stocks, ETFs and indexes list them.
- Triple witching
- The quarterly third Friday (March, June, September, December) when stock index futures, index options and stock options expire together, often with heavy volume.
- DTE (days to expiration)
- The number of calendar days until an option expires. Income traders often open positions at 30–45 DTE.
- AM settlement
- Settlement based on a special opening price on expiration morning. Standard monthly SPX options are AM-settled, so their last trading day is the day before.
- PM settlement
- Settlement based on the closing price on expiration day. SPX weekly and daily options (SPXW) and stock options are PM-settled.
- Exercise
- The holder using the option’s right: buying shares at the strike with a call, or selling them with a put.
- Assignment
- The notice that obliges an option writer to fulfill the contract after a holder exercises. It is allocated randomly among writers.
- Automatic exercise (exercise by exception)
- The Options Clearing Corporation’s procedure that automatically exercises options finishing in the money by a small threshold at expiration, unless the holder instructs otherwise through their broker.
- Early exercise
- Exercising an American-style option before expiration. It rarely makes sense except to capture a dividend or for deep in-the-money puts.
- Early assignment
- Being assigned before expiration on a short American-style option. The risk is highest on in-the-money calls just before an ex-dividend date.
- Pin risk
- The uncertainty when the underlying closes almost exactly at your short strike on expiration day, so you do not know whether you will be assigned.
- Max pain
- The strike at which the combined payout to option holders would be smallest at expiration. A popular idea with weak evidence behind it as a price forecast.
- Roll
- Closing an option and opening a similar one at a later expiration and/or different strike, usually in one order. Rolling for a net credit is the standard way to manage a tested short option.
- 0DTE (zero days to expiration)
- An option on its last trading day. SPX lists expirations every weekday, so same-day options are available daily. Deep dive: 0DTE options explained.
What are the options market-structure terms professionals use?
Options volume now moves the underlying market through dealer hedging. These are the terms institutional desks use that most retail glossaries leave out.
- Market maker
- A firm that continuously quotes bids and asks and hedges the resulting positions, earning the spread rather than betting on direction.
- OCC (Options Clearing Corporation)
- The central clearinghouse for all US listed options. It guarantees every contract and runs exercise and assignment.
- GEX (gamma exposure)
- An estimate of dealers’ aggregate gamma across strikes. It indicates how much hedging flow a given move in the index would force. Deep dive: gamma exposure (GEX) in options trading.
- Positive gamma regime
- When dealers are net long gamma, they sell rallies and buy dips to stay hedged, which damps volatility and can pin prices.
- Negative gamma regime
- When dealers are net short gamma, they buy rallies and sell dips, which amplifies moves.
- Zero-gamma level (gamma flip)
- The index level where estimated dealer gamma changes sign. Price behavior often changes character on either side of it.
- Call wall
- The strike with the largest call gamma or open interest above the market, which often acts as resistance.
- Put wall
- The strike with the largest put gamma or open interest below the market, which often acts as support.
- Put/call ratio
- Put volume or open interest divided by call volume or open interest. Extreme readings are used as a contrarian sentiment signal. Deep dive: put/call ratio guide.
- SPX options
- Options on the S&P 500 index itself: European-style, cash-settled, with expirations every weekday. Their notional is 100 × the index level.
- Index options vs ETF options
- Index options such as SPX are cash-settled and European-style; ETF options such as SPY are American-style and settle in shares. The tax treatment differs too.
- Options liquidity
- How easily you can trade a strike without moving the price, judged by volume, open interest and bid-ask width.
These market-structure terms are the Proflex angle: GEX, vanna, charm, skew and term structure are how institutional desks read the tape, and they explain why indexes often pin into expiration and accelerate after it.
What tax and account terms apply to options?
Options trading has its own tax rules and account permissions. These definitions summarize US federal rules; they are not tax advice, and the statute links in Sources are the authority.
- Section 1256 contract
- A tax category that includes broad-based index options such as SPX. Gains and losses are marked to market at year end and taxed 60% long-term and 40% short-term, whatever the holding period.
- 60/40 rule
- The Section 1256 split: 60% of the gain or loss is treated as long-term and 40% as short-term. It lowers the blended rate for index-option traders.
- Mark-to-market
- Treating open positions as if sold at fair value on the last business day of the year. Section 1256 contracts are taxed this way.
- Form 6781
- The IRS form used to report Section 1256 contracts and straddles.
- Wash sale
- Selling a security at a loss and buying a substantially identical security (including, in some cases, options on it) within 30 days before or after. The loss is disallowed for now and added to the new position’s basis.
- Straddle (tax)
- For tax purposes, offsetting positions that substantially reduce risk, such as stock plus a protective put. Straddle rules can defer losses and suspend holding periods.
- Qualified covered call
- A covered call that meets conditions in Section 1092(c)(4), broadly an exchange-traded call with more than 30 days to expiration that is not deep in the money, so it escapes most straddle rules.
- Constructive sale
- A hedge that removes substantially all risk and upside on an appreciated position, which the tax code can treat as a sale. Very tight collars are the classic risk.
- Options approval level
- The tier of strategies a broker lets you trade, from covered calls at the lowest level to naked options at the highest, based on experience and finances.
- Margin
- Collateral a broker requires to hold short options or borrow to buy. Requirements depend on the strategy and account type.
- Portfolio margin
- A risk-based margin method that sets requirements from the whole portfolio’s stress-tested losses. It usually lowers requirements for hedged positions but needs large account minimums.
- Pattern day trader (PDT)
- A margin-account customer who makes four or more day trades in five business days (with day trades above a set share of activity). PDT accounts must keep at least $25,000 in equity.
Options terms A to Z
Every term on this page in alphabetical order, linked to its definition.
0–9 — 0DTE (zero days to expiration), 60/40 rule
A — AM settlement, American-style option, Ask (offer), Assignment, At the money (ATM), Automatic exercise (exercise by exception)
B — Bear call spread, Bid, Bid-ask spread, Black–Scholes model, Breakeven, Bull put spread, Butterfly spread, Buy to close, Buy to open, Buy-write
C — Calendar spread, Call option, Call wall, Cash-secured put, Cash-settled, Charm (delta decay), Collar, Constructive sale, Contango and backwardation (VIX futures), Contract multiplier, Covered call, Covered call ETF, Credit spread
D — Debit spread, Deep in the money, Delta, Delta hedging, Delta-neutral, Diagonal spread, DTE (days to expiration)
E — Early assignment, Early exercise, European-style option, Exercise, Expected move, Expiration date, Extrinsic value (time value)
F — Form 6781
G — Gamma, GEX (gamma exposure)
H — Historical (realized) volatility
I — Implied volatility (IV), In the money (ITM), Index options vs ETF options, Intrinsic value, Iron condor, IV crush, IV percentile, IV rank
M — Margin, Mark-to-market, Market maker, Max pain, Mid price, Moneyness, Monthly options
N — Naked (uncovered) option, Negative gamma regime
O — OCC (Options Clearing Corporation), Open interest, OPEX (options expiration), Option, Option chain, Options approval level, Options liquidity, Out of the money (OTM)
P — Pattern day trader (PDT), Physically settled, Pin risk, PM settlement, Poor man’s covered call, Portfolio margin, Positive gamma regime, Premium, Probability in the money, Protective put, Put option, Put wall, Put-call parity, Put/call ratio
R — Ratio spread, Rho, Roll
S — Section 1256 contract, Sell to close, Sell to open, Share equivalent (delta exposure), Short (writer), SPX options, Straddle, Straddle (tax), Strangle, Strike price
T — Term structure, The Greeks, Theta, Triple witching
U — Underlying
V — Vanna, Variance risk premium, Vega, Vertical spread, VIX, Volatility skew, Volatility smile, Volume
W — Wash sale, Weekly options, Wheel strategy
Z — Zero-cost collar, Zero-gamma level (gamma flip)
What should you read after the glossary?
- Read the options Greeks explained to turn delta, gamma, theta and vega into numbers you can use.
- Read the implied volatility guide to judge when options are cheap or expensive.
- Pick one strategy guide — covered calls, cash-secured puts or collars — and paper-trade it through one full expiration.
- Learn the calendar with options expiration (OPEX) explained before you hold a short option into expiry.
- Structure the whole book with options portfolio structure.
Frequently asked questions
What are the basic options terms every beginner should know?
Start with call, put, strike price, premium and expiration date, then moneyness (in, at or out of the money), intrinsic and extrinsic value, and the four main Greeks: delta, gamma, theta and vega. Those terms explain most of what you see on an option chain.
What does in the money mean?
An option is in the money when it has intrinsic value: a call whose strike is below the stock price, or a put whose strike is above it. At expiration, in-the-money options are normally exercised automatically.
What is the difference between exercise and assignment?
Exercise is what the option holder does when they use their right to buy or sell at the strike. Assignment is the notice the option writer receives obliging them to fulfill the contract after a holder exercises.
What does sell to open mean?
Sell to open is an order that opens a new short option position, collecting the premium. Covered calls and cash-secured puts start with a sell-to-open order, and the position is later ended with a buy-to-close order or by expiration.
What is extrinsic value?
Extrinsic value, also called time value, is the part of an option's price above its intrinsic value. It reflects time left and implied volatility, and it decays to zero by expiration. An at-the-money or out-of-the-money option is entirely extrinsic value.
What does DTE mean in options?
DTE stands for days to expiration, the number of calendar days until an option expires. 0DTE means the option expires today. Many income strategies open positions around 30 to 45 DTE.
Key takeaways
- Every option is a call (right to buy) or a put (right to sell) at a strike price until an expiration date; a standard equity contract covers 100 shares.
- Premium = intrinsic value + extrinsic value; only extrinsic value decays with time.
- Moneyness depends on the option type: a strike below the stock price puts a call in the money and a put out of the money.
- The Greeks (delta, gamma, theta, vega, rho) are how professionals measure and manage option risk.
- Implied volatility, IV rank and skew tell you whether options are cheap or expensive before you trade.
- Market-structure terms such as GEX, vanna and charm explain why indexes pin into expiration and move sharply after it.
Sources and method
- SEC Investor.gov, Options — official plain-language definition of options, calls and puts
- FINRA, Options — option risks, account approval and investor protections
- FINRA Rule 2360, Options — exercise, position limits and options account approval
- OCC, Characteristics and Risks of Standardized Options — contract terms, exercise and assignment, automatic exercise
- Cboe, SPX options — European style, cash settlement and daily expirations
- Cboe, VIX — definition of the VIX index
- Cboe Options Institute — strategy and terminology education
- FINRA, Day trading — pattern day trader definition and $25,000 minimum equity
- 26 U.S. Code § 1256 — Section 1256 contracts, 60/40 treatment and mark-to-market
- 26 U.S. Code § 1091 — wash sales
- 26 U.S. Code § 1092 — straddles and qualified covered calls
- 26 U.S. Code § 1259 — constructive sales
- IRS Publication 550 — tax treatment of options, straddles and wash sales
Definitions summarize standard US listed-options conventions and federal tax rules as of 2026; broker practices, exchange rules and tax law can change, so confirm specifics with your broker, the exchange and a tax adviser. Chart 2 values are illustrative Black–Scholes outputs with the inputs stated.