Equity Derivatives Formula & Cheat Sheet
Interactive cheat sheet and formulas for the NISM Series VIII: Equity Derivatives certification. Filter concepts and download the print-friendly PDF guide for offline reference.
Key Futures & Options Formulas
Calculates the fair price of a futures contract, where r is the risk-free rate, t is time, and d is the dividend yield.
Defines the relationship between the price of a European call (C), put (P), spot price (S), and present value of strike price PV(K). Used to identify arbitrage opportunities.
The buyer of a call option makes a profit if the spot price at expiration (S_t) exceeds the strike price (K), minus the premium paid.
The buyer of a put option makes a profit if the spot price at expiration (S_t) falls below the strike price (K), minus the premium paid.
The real, tangible value of an in-the-money call option if it were exercised immediately.
The real, tangible value of an in-the-money put option if it were exercised immediately.
Margin & Trading Guidelines
The total margin required to be deposited with the broker before taking a futures/options position. SPAN margin covers worst-case loss; Exposure margin covers system risks.
Profits and losses are computed at the end of each trading day and added/subtracted from the margin account balance.
The spot price at which a call option buyer makes zero net profit and zero loss.
The spot price at which a put option buyer makes zero net profit and zero loss.