Feature: A premium is a price, never a debt

Description: The greeks price European index options -- SPX, SPXW, XSP -- by Black-Scholes. A contract is a spot, a strike and its right, the time to expiry, a vol and a rate; every check prices it as it stands.

File name: pricing.feature

Relative path: features/pricing.feature

Scenarios

Chart

Status Progress

Passed	100.00 %
Failed	0.00 %

Scenario Outline: Four days out, an option is worth at least its intrinsic value

Given an SPX at 7500

And a rate of 0.045

Given a call struck at 7300

And 4 days to expiry

And a vol of 0.18

Then the price is at least 200

Scenario Outline: Four days out, an option is worth at least its intrinsic value

Given an SPX at 7500

And a rate of 0.045

Given a call struck at 7700

And 4 days to expiry

And a vol of 0.18

Then the price is at least 0

Scenario Outline: Four days out, an option is worth at least its intrinsic value

Given an SPX at 7500

And a rate of 0.045

Given a put struck at 7700

And 4 days to expiry

And a vol of 0.18

Then the price is at least 200

Scenario Outline: Four days out, an option is worth at least its intrinsic value

Given an SPX at 7500

And a rate of 0.045

Given a put struck at 7300

And 4 days to expiry

And a vol of 0.18

Then the price is at least 0

Scenario: Far out of the money and about to expire, a call is worth nothing

Given an SPX at 7500

And a rate of 0.045

Given a call struck at 8000

And 0.27 days to expiry

And a vol of 0.12

Then the price is 0 within 0.0001

Scenario: Deep in the money and about to expire, a put is worth a little under intrinsic

Its strike is paid at expiry, so the money is worth its discount.

Given an SPX at 7500

And a rate of 0.045

Given a put struck at 7700

And 0.27 days to expiry

And a vol of 0.12

Then the price is 199.74 within 0.01

Scenario: A vol outside the envelope is refused, not clamped

Given an SPX at 7500

And a rate of 0.045

Then a vol of 7 is refused

And a vol of 0.0001 is refused