Table 3:European Call Option Elasticity: Percentage Change in Option Price for a one Percentage Change in Stock Price

Part One: Ratio of Current Stock Price to Present Value of the Exercise Price is between 0.70 and 0.96.

sigma x sqr(T)	0.7	0.71	0.72	0.73	0.74	0.75	0.76	0.77	0.78	0.79	0.8	0.81	0.82	0.83	0.84	0.85	0.86	0.87	0.88	0.89	0.9	0.91	0.92	0.93	0.94	0.95	0.96
0.01	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	554	451
0.02	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	0	999	284	255	229	205	181	158	136
0.03	0	0	0	0	0	0	0	0	0	0	0	0	0	0	455	202	181	168	156	144	133	122	111	101	91.5	82	72.9
0.04	0	0	0	0	0	0	0	0	0	730	135	138	133	126	119	112	106	99.51	93.14	86.91	80.84	74.94	69.23	63.71	58.4	53.32	48.48
0.05	0	0	0	0	0	111	123	114	107	102	97.72	93.1	88.58	84.16	79.82	75.58	71.44	67.39	63.44	59.59	55.86	52.23	48.72	45.34	42.08	38.96	35.98
0.06	101	139	96.58	93.53	90.1	86.77	83.25	79.86	76.54	73.29	70.1	66.98	63.92	60.92	58	55.13	52.34	49.61	46.95	44.37	41.86	39.43	37.08	34.8	32.62	30.52	28.5
0.07	78.87	75.82	73.05	70.36	67.79	65.26	62.78	60.35	57.96	55.63	53.34	51.09	48.9	46.75	44.65	42.6	40.6	38.65	36.76	34.91	33.12	31.39	29.71	28.09	26.52	25.02	23.57
0.08	61.21	59.14	57.13	55.15	53.21	51.31	49.44	47.61	45.82	44.07	42.35	40.67	39.02	37.42	35.85	34.32	32.82	31.37	29.95	28.58	27.24	25.94	24.69	23.47	22.3	21.17	20.09
0.09	49.37	47.77	46.21	44.67	43.16	41.68	40.23	38.81	37.42	36.06	34.73	33.43	32.16	30.92	29.7	28.52	27.36	26.24	25.15	24.08	23.05	22.05	21.07	20.13	19.22	18.35	17.5
0.1	40.88	39.6	38.35	37.12	35.92	34.74	33.59	32.46	31.35	30.27	29.21	28.18	27.17	26.18	25.22	24.28	23.36	22.47	21.6	20.76	19.93	19.14	18.36	17.61	16.89	16.19	15.51
0.11	34.57	33.52	32.5	31.5	30.53	29.57	28.63	27.71	26.81	25.93	25.07	24.23	23.41	22.61	21.83	21.07	20.32	19.6	18.89	18.21	17.54	16.89	16.26	15.65	15.06	14.49	13.93
0.12	29.73	28.87	28.03	27.2	26.39	25.59	24.82	24.06	23.31	22.59	21.88	21.18	20.5	19.84	19.19	18.56	17.95	17.35	16.77	16.2	15.65	15.11	14.59	14.08	13.59	13.11	12.65
0.13	25.95	25.22	24.51	23.82	23.14	22.47	21.82	21.18	20.55	19.94	19.35	18.77	18.2	17.64	17.1	16.57	16.05	15.55	15.06	14.58	14.12	13.66	13.23	12.8	12.38	11.98	11.59
0.14	22.92	22.31	21.7	21.11	20.53	19.96	19.41	18.87	18.34	17.82	17.31	16.81	16.33	15.86	15.4	14.95	14.51	14.08	13.66	13.25	12.86	12.47	12.1	11.73	11.38	11.03	10.7
0.15	20.47	19.93	19.41	18.9	18.41	17.92	17.44	16.97	16.52	16.07	15.64	15.21	14.79	14.39	13.99	13.6	13.23	12.86	12.5	12.15	11.81	11.47	11.15	10.83	10.53	10.23	9.94
0.16	18.44	17.97	17.52	17.08	16.65	16.22	15.81	15.4	15.01	14.62	14.24	13.87	13.51	13.16	12.81	12.48	12.15	11.83	11.52	11.21	10.91	10.62	10.34	10.07	9.8	9.54	9.29
0.17	16.74	16.33	15.94	15.55	15.17	14.8	14.44	14.08	13.74	13.4	13.07	12.74	12.43	12.12	11.81	11.52	11.23	10.95	10.68	10.41	10.15	9.89	9.65	9.4	9.17	8.94	8.72
0.18	15.3	14.95	14.6	14.26	13.92	13.59	13.27	12.96	12.66	12.36	12.06	11.78	11.5	11.23	10.96	10.7	10.44	10.2	9.95	9.72	9.48	9.26	9.04	8.83	8.62	8.41	8.21
0.19	14.08	13.76	13.45	13.15	12.85	12.56	12.27	12	11.73	11.46	11.2	10.95	10.7	10.45	10.22	9.99	9.76	9.54	9.32	9.11	8.91	8.7	8.51	8.32	8.13	7.95	7.77
0.2	13.02	12.74	12.46	12.19	11.92	11.66	11.41	11.16	10.92	10.68	10.45	10.22	10	9.78	9.57	9.36	9.16	8.96	8.77	8.58	8.39	8.21	8.04	7.87	7.7	7.54	7.38
0.21	12.1	11.85	11.6	11.35	11.12	10.88	10.65	10.43	10.21	10	9.79	9.59	9.39	9.19	9	8.81	8.63	8.45	8.28	8.11	7.94	7.78	7.62	7.46	7.31	7.17	7.02
0.22	11.3	11.07	10.84	10.62	10.41	10.2	9.99	9.79	9.59	9.4	9.21	9.02	8.84	8.67	8.49	8.33	8.16	8	7.84	7.69	7.54	7.39	7.25	7.1	6.97	6.83	6.7
0.23	10.59	10.38	10.17	9.97	9.78	9.59	9.4	9.22	9.04	8.86	8.69	8.52	8.36	8.2	8.04	7.89	7.74	7.59	7.45	7.31	7.17	7.04	6.91	6.78	6.65	6.53	6.41
0.24	9.96	9.77	9.58	9.4	9.22	9.05	8.88	8.71	8.55	8.39	8.23	8.08	7.93	7.78	7.64	7.5	7.36	7.23	7.1	6.97	6.84	6.72	6.6	6.48	6.37	6.26	6.15
0.25	9.4	9.22	9.05	8.89	8.72	8.56	8.41	8.26	8.11	7.96	7.82	7.68	7.54	7.41	7.27	7.15	7.02	6.9	6.78	6.66	6.55	6.43	6.32	6.22	6.11	6.01	5.91
0.26	8.89	8.73	8.58	8.42	8.28	8.13	7.99	7.85	7.71	7.57	7.44	7.31	7.19	7.07	6.94	6.83	6.71	6.6	6.49	6.38	6.27	6.17	6.07	5.97	5.87	5.78	5.69
0.27	8.44	8.29	8.15	8.01	7.87	7.74	7.6	7.47	7.35	7.22	7.1	6.99	6.87	6.76	6.64	6.54	6.43	6.33	6.22	6.12	6.03	5.93	5.84	5.75	5.66	5.57	5.48
0.28	8.03	7.89	7.76	7.63	7.5	7.38	7.26	7.14	7.02	6.91	6.8	6.69	6.58	6.47	6.37	6.27	6.17	6.08	5.98	5.89	5.8	5.71	5.62	5.54	5.45	5.37	5.29
0.29	7.66	7.53	7.41	7.29	7.17	7.05	6.94	6.83	6.72	6.62	6.51	6.41	6.31	6.21	6.12	6.03	5.93	5.85	5.76	5.67	5.59	5.51	5.42	5.35	5.27	5.19	5.12
0.3	7.32	7.2	7.09	6.97	6.86	6.76	6.65	6.55	6.45	6.35	6.25	6.16	6.07	5.98	5.89	5.8	5.72	5.63	5.55	5.47	5.39	5.32	5.24	5.17	5.1	5.03	4.96
0.31	7.01	6.9	6.79	6.69	6.58	6.48	6.39	6.29	6.2	6.11	6.02	5.93	5.84	5.76	5.68	5.59	5.52	5.44	5.36	5.29	5.21	5.14	5.07	5	4.94	4.87	4.81
0.32	6.72	6.62	6.52	6.42	6.33	6.23	6.14	6.05	5.97	5.88	5.8	5.71	5.63	5.56	5.48	5.4	5.33	5.26	5.18	5.11	5.05	4.98	4.91	4.85	4.79	4.72	4.66
0.33	6.46	6.36	6.27	6.18	6.09	6	5.92	5.83	5.75	5.67	5.59	5.52	5.44	5.37	5.3	5.22	5.15	5.09	5.02	4.95	4.89	4.83	4.77	4.71	4.65	4.59	4.53
0.34	6.21	6.13	6.04	5.95	5.87	5.79	5.71	5.63	5.55	5.48	5.4	5.33	5.26	5.19	5.12	5.06	4.99	4.93	4.87	4.81	4.75	4.69	4.63	4.57	4.52	4.46	4.41
0.35	5.99	5.91	5.82	5.74	5.67	5.59	5.51	5.44	5.37	5.3	5.23	5.16	5.1	5.03	4.97	4.9	4.84	4.78	4.72	4.67	4.61	4.55	4.5	4.45	4.39	4.34	4.29
0.36	5.78	5.7	5.63	5.55	5.48	5.4	5.33	5.26	5.2	5.13	5.07	5	4.94	4.88	4.82	4.76	4.7	4.64	4.59	4.53	4.48	4.43	4.38	4.33	4.28	4.23	4.18
0.37	5.59	5.51	5.44	5.37	5.3	5.23	5.17	5.1	5.04	4.97	4.91	4.85	4.79	4.74	4.68	4.62	4.57	4.52	4.46	4.41	4.36	4.31	4.26	4.22	4.17	4.12	4.08
0.38	5.41	5.34	5.27	5.2	5.14	5.07	5.01	4.95	4.89	4.83	4.77	4.71	4.66	4.6	4.55	4.5	4.44	4.39	4.34	4.3	4.25	4.2	4.16	4.11	4.07	4.02	3.98
0.39	5.24	5.17	5.11	5.04	4.98	4.92	4.86	4.8	4.75	4.69	4.64	4.58	4.53	4.48	4.43	4.38	4.33	4.28	4.23	4.19	4.14	4.1	4.05	4.01	3.97	3.93	3.89
0.4	5.08	5.02	4.95	4.9	4.84	4.78	4.72	4.67	4.61	4.56	4.51	4.46	4.41	4.36	4.31	4.26	4.22	4.17	4.13	4.08	4.04	4	3.96	3.92	3.88	3.84	3.8
0.41	4.93	4.87	4.81	4.76	4.7	4.65	4.59	4.54	4.49	4.44	4.39	4.34	4.29	4.25	4.2	4.16	4.11	4.07	4.03	3.99	3.95	3.91	3.87	3.83	3.79	3.75	3.72
0.42	4.79	4.73	4.68	4.63	4.57	4.52	4.47	4.42	4.37	4.32	4.28	4.23	4.19	4.14	4.1	4.06	4.02	3.97	3.93	3.9	3.86	3.82	3.78	3.74	3.71	3.67	3.64
0.43	4.66	4.61	4.55	4.5	4.45	4.4	4.36	4.31	4.26	4.22	4.17	4.13	4.09	4.04	4	3.96	3.92	3.88	3.85	3.81	3.77	3.73	3.7	3.66	3.63	3.6	3.56
0.44	4.54	4.48	4.44	4.39	4.34	4.29	4.25	4.2	4.16	4.11	4.07	4.03	3.99	3.95	3.91	3.87	3.83	3.8	3.76	3.72	3.69	3.66	3.62	3.59	3.56	3.52	3.49
0.45	4.42	4.37	4.32	4.28	4.23	4.19	4.14	4.1	4.06	4.02	3.98	3.94	3.9	3.86	3.82	3.79	3.75	3.72	3.68	3.65	3.61	3.58	3.55	3.52	3.48	3.45	3.42
0.46	4.31	4.26	4.22	4.17	4.13	4.09	4.05	4	3.96	3.93	3.89	3.85	3.81	3.78	3.74	3.71	3.67	3.64	3.6	3.57	3.54	3.51	3.48	3.45	3.42	3.39	3.36
0.47	4.2	4.16	4.12	4.07	4.03	3.99	3.95	3.91	3.88	3.84	3.8	3.77	3.73	3.7	3.66	3.63	3.59	3.56	3.53	3.5	3.47	3.44	3.41	3.38	3.35	3.32	3.3
0.48	4.1	4.06	4.02	3.98	3.94	3.9	3.87	3.83	3.79	3.76	3.72	3.69	3.65	3.62	3.59	3.55	3.52	3.49	3.46	3.43	3.4	3.37	3.35	3.32	3.29	3.26	3.24
0.49	4.01	3.97	3.93	3.89	3.85	3.82	3.78	3.75	3.71	3.68	3.64	3.61	3.58	3.55	3.51	3.48	3.45	3.42	3.4	3.37	3.34	3.31	3.28	3.26	3.23	3.21	3.18
0.5	3.92	3.88	3.85	3.81	3.77	3.74	3.7	3.67	3.63	3.6	3.57	3.54	3.51	3.48	3.45	3.42	3.39	3.36	3.33	3.3	3.28	3.25	3.23	3.2	3.17	3.15	3.13