How it works

Each leg is a call, a put or a future, bought or sold, at a strike from the chain you picked. The premium is the settlement price of that strike on that day and the volatility is the implied volatility of that price, so the curve before expiry starts from the market's own prices.

At expiry an option is worth what it pays: the index minus the strike for a call, the strike minus the index for a put, never less than zero. The profit of the position is that value less the premium paid, or plus the premium received, times the lots and the lot size of the contract on that date.

Before expiry the builder values each option with the Black 76 model on the forward, with the days left, the rate of the day and the leg's own volatility. The slider moves the date forward. A calendar spread is valued at the expiry of its nearer leg.

What it leaves out

Brokerage, slippage, the margin the exchange blocks and any change in volatility. The charges line covers the statutory ones on entry only. A real position can also be closed before expiry at prices this page does not know.