CMA Final SFM – Complete Futures & Options Derivatives Tool
CMA Final SFM - Complete Futures & Options Derivatives Tool

CMA Final SFM - Complete Futures & Options Derivatives Tool

Interactive calculators, visualizations, and report generation

SEBI Norms & Lot Size Compliant

Futures Pricing

Options Pricing

Options Payoffs

Options Greeks

Trading Strategies

Arbitrage Relationships

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Futures Pricing Formulas

Cost of Carry Model

The Cost of Carry Model determines the theoretical price of a futures contract based on the spot price plus the cost of carrying the underlying asset until delivery.

Example: If spot price is $1,800, interest rate is 6.5%, and time to expiry is 6 months:

F = 1800 × e^(0.065 × 0.5) ≈ $1,859.45

F = S × e^(r × T)

Spot Price (S):

Risk-Free Rate (r) in %:

Expiry (Months):

Expiry (Days):

Result:

Futures with Continuous Dividend Yield

For assets that provide a continuous dividend yield (like Nifty 50), the cost of carry is reduced by the dividend yield.

Example: Stock index with spot 22000, dividend yield 1.5%, interest rate 6.5%, time 3 months:

F = 22000 × e^((0.065 - 0.015) × 0.25) ≈ 22276.73

F = S × e^((r - q) × T)

Spot Price (S):

Risk-Free Rate (r) in %:

Dividend Yield (q) in %:

Expiry (Months):

Expiry (Days):

Result:

Futures with Storage Costs

For commodities (like Gold/Silver) that incur storage costs, these costs are added to the cost of carry.

Example: Commodity with spot $50, interest rate 6.5%, storage cost 3%, time 1 year:

F = 50 × e^((0.065 + 0.03) × 1) ≈ 54.99

F = S × e^((r + u) × T)

Spot Price (S):

Risk-Free Rate (r) in %:

Storage Cost (u) in %:

Expiry (Months):

Expiry (Days):

Result:

Options Pricing Models

Black-Scholes Model (Call Option)

The Black-Scholes model calculates the theoretical price of European call options using five inputs: stock price, strike price, time to expiration, risk-free rate, and volatility.

C = S × N(d1) - K × e^(-rT) × N(d2)
d1 = [ln(S/K) + (r + σ²/2)T] / (σ√T)
d2 = d1 - σ√T

Stock Price (S):

Strike Price (K):

Expiry (Months):

Expiry (Days):

Risk-Free Rate (r) in %:

Volatility (σ) in %:

Result:

Black-Scholes Model (Put Option)

The Black-Scholes formula for put options can be derived from the call option formula using put-call parity.

P = K × e^(-rT) × N(-d2) - S × N(-d1)

Stock Price (S):

Strike Price (K):

Expiry (Months):

Expiry (Days):

Risk-Free Rate (r) in %:

Volatility (σ) in %:

Result:

Binomial Option Pricing Model (Multi-Period)

The binomial model prices options by creating a binomial tree of possible future stock prices over discrete periods and working backward.

p = (e^(rΔt) - d) / (u - d)
Option Value = e^(-rΔt) × [p×Value_up + (1-p)×Value_down]

Option Type:

Stock Price (S):

Strike Price (K):

Up Factor (u):

Down Factor (d):

Risk-Free Rate (r) in %:

Total Time (Months):

Total Time (Days):

Number of Periods (Steps):

Result:

Options Payoff Calculations (SEBI Lot Size Compliant)

Enter the Lot Size to calculate the actual net Profit/Loss for standard SEBI/NSE derivatives.

Call Option Payoff

The payoff for a call option buyer is the maximum of zero or the difference between the underlying price and the strike price, minus the premium paid.

Long Call = [max(0, S - K) - Premium] × Lot Size
Short Call = [Premium - max(0, S - K)] × Lot Size

Position:

Strike Price (K):

Option Premium:

Price at Expiry (S):

Lot Size:

Result:

Put Option Payoff

The payoff for a put option buyer is the maximum of zero or the difference between the strike price and the underlying price, minus the premium paid.

Long Put = [max(0, K - S) - Premium] × Lot Size
Short Put = [Premium - max(0, K - S)] × Lot Size

Position:

Strike Price (K):

Option Premium:

Price at Expiry (S):

Lot Size:

Result:

Covered Call Payoff

A covered call involves owning the underlying asset and selling a call option against it. This generates premium income but caps your upside potential.

Per Unit = min(S, K) - Purchase Price + Premium
Total Payoff = Per Unit × Lot Size

Stock Purchase Price:

Call Strike (K):

Call Premium Received:

Lot Size:

Stock Price at Expiry (S):

Result:

Options Greeks (Auto-Calculated)

Simply input the core variables, and the tool will automatically calculate intermediate values like d1 and d2.

Delta (Δ)

Delta measures the sensitivity of an option's price to changes in the price of the underlying asset. Call deltas range from 0 to 1, put deltas from -1 to 0.

Δ_call = N(d1)
Δ_put = N(d1) - 1

Option Type:

Stock Price (S):

Strike Price (K):

Expiry (Months):

Expiry (Days):

Risk-Free Rate (r) in %:

Volatility (σ) in %:

Result:

Gamma (Γ)

Gamma measures the rate of change of delta with respect to changes in the underlying price. It's highest for at-the-money options and decreases as options move in or out of the money.

Γ = N'(d1) / (S × σ × √T)

Stock Price (S):

Strike Price (K):

Expiry (Months):

Expiry (Days):

Risk-Free Rate (r) in %:

Volatility (σ) in %:

Result:

Theta (Θ)

Theta measures the sensitivity of an option's price to the passage of time (time decay). Options lose value as expiration approaches.

Θ_call = - (S × N'(d1) × σ) / (2√T) - r × K × e^(-rT) × N(d2)
Θ_put = - (S × N'(d1) × σ) / (2√T) + r × K × e^(-rT) × N(-d2)

Option Type:

Stock Price (S):

Strike Price (K):

Expiry (Months):

Expiry (Days):

Risk-Free Rate (r) in %:

Volatility (σ) in %:

Result:

Options Trading Strategies

Enter the Lot Size to calculate the actual net Profit/Loss.

Straddle Strategy

A straddle involves buying both a call and a put option with the same strike price and expiration date. This strategy profits from significant price moves in either direction.

Per Unit = |S - K| - (Call Premium + Put Premium)

Strike Price (K):

Lot Size:

Call Premium:

Put Premium:

Stock Price at Expiry (S):

Result:

Strangle Strategy

A strangle involves buying out-of-the-money call and put options with different strike prices. It's cheaper than a straddle but requires larger price moves to profit.

Per Unit = max(0, S - K_call) + max(0, K_put - S) - Total Premium

Put Strike Price:

Call Strike Price:

Put Premium:

Call Premium:

Price at Expiry (S):

Lot Size:

Result:

Bull Call Spread

A bull call spread involves buying a call option at a lower strike price and selling a call option at a higher strike price. This strategy profits from moderate price increases with limited risk.

Per Unit = min(max(0, S - K_low), K_high - K_low) - Net Premium

Lower Strike Price:

Higher Strike Price:

Buy Call Premium:

Sell Call Premium:

Price at Expiry (S):

Lot Size:

Result:

Arbitrage Relationships

Put-Call Parity

Put-call parity defines the relationship between the prices of European put and call options with the same strike price and expiration date. Violation of this relationship creates arbitrage opportunities.

C + PV(K) = P + S
where PV(K) = K × e^(-rT)

Stock Price (S):

Strike Price (K):

Call Price (C):

Put Price (P):

Expiry (Months):

Expiry (Days):

Risk-Free Rate (r) in %:

Result:

Call Option Lower Bound

The price of a European call option must be at least the maximum of zero or the difference between the stock price and the present value of the strike price.

C ≥ max(0, S - PV(K))
where PV(K) = K × e^(-rT)

Stock Price (S):

Strike Price (K):

Expiry (Months):

Expiry (Days):

Risk-Free Rate (r) in %:

Actual Call Price:

Result:

Put Option Lower Bound

The price of a European put option must be at least the maximum of zero or the difference between the present value of the strike price and the stock price.

P ≥ max(0, PV(K) - S)
where PV(K) = K × e^(-rT)

Stock Price (S):

Strike Price (K):

Expiry (Months):

Expiry (Days):

Risk-Free Rate (r) in %:

Actual Put Price:

Result:

Session Export Hub

All calculations performed during this session are automatically saved here. You can review them below or export a formal report.

Time	Module	Inputs Used	Calculated Result
No calculations performed yet. Start using the calculators to build your report!

Dynamic Options & Futures Payoff Diagrams

Visualizing True Mathematical Payoff curves based on At-The-Money (ATM) structure.

Why We Built This Derivatives Tool
The traditional way of learning derivatives involves whiteboards, scientific calculators, and static textbook examples. When a student learns about a “Straddle Strategy,” they calculate the breakeven points on paper and move on. But what happens when implied volatility spikes? What happens when the expiration is reduced from three months to 15 days? On paper, seeing these changes takes another 20 minutes of calculation.
We built this tool to bridge the gap between theoretical textbook finance and real-world application. Here is what makes our tool completely unique compared to generic online calculators:
SEBI & NSE Compliance: Most academic tools assume a lot size of 1. Real-world Indian markets trade in specific lot sizes (e.g., Nifty 50 trades in lots of 25 or 50). Our tool includes native Lot Size Multipliers so you can calculate your actual Rupee (₹) Profit and Loss.
Intuitive Time Inputs: No more converting days into abstract fractional years mentally. Input your time to expiry directly in Months and Days, and the tool handles the continuous compounding conversions in the background.
Session Memory & Export Hub: Every calculation you perform is saved in a live session memory. With one click, you can export your entire worksheet as a professionally formatted PDF or Excel (.xlsx) file. This is a game-changer for students submitting assignments or professionals keeping a trading journal.
Dynamic Visualizations: Abstract numbers are turned into interactive HTML5 Canvas charts, allowing you to instantly see the profit and loss zones for complex strategies.

Post Views: 255

Futures Pricing Formulas

Cost of Carry Model

Result:

Futures with Continuous Dividend Yield

Result:

Futures with Storage Costs

Result:

Options Pricing Models

Black-Scholes Model (Call Option)

Result:

Black-Scholes Model (Put Option)

Result:

Binomial Option Pricing Model (Multi-Period)

Result:

Options Payoff Calculations (SEBI Lot Size Compliant)

Call Option Payoff

Result:

Put Option Payoff

Result:

Covered Call Payoff

Result:

Options Greeks (Auto-Calculated)

Delta (Δ)

Result:

Gamma (Γ)

Result:

Theta (Θ)

Result:

Options Trading Strategies

Straddle Strategy

Result:

Strangle Strategy

Result:

Bull Call Spread

Result:

Arbitrage Relationships

Put-Call Parity

Result:

Call Option Lower Bound

Result:

Put Option Lower Bound

Result:

Session Export Hub

CMA Final SFM - Options & Derivatives Calculation Report

Dynamic Options & Futures Payoff Diagrams

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