Is there a symbol for "risk free rate"

For the Interest rate to supply to BSM, use the proper rate determined by the DTE and the best fit, if you are borrowing for that term. This information may change daily, and is avail from Quandl using QuandlCode "USTREASURY/BILLRATES". Below is snip of last few days:
Date 4 Wk Bank Discount Rate 4 Wk Coupon Equiv 13 Wk Bank Discount Rate 13 Wk Coupon Equiv 26 Wk Bank Discount Rate 26 Wk Coupon Equiv 52 Wk Bank Discount Rate 52 Wk Coupon Equiv
9/26/2016 0.1 0.1 0.25 0.25 0.42 0.43 0.56 0.57
9/23/2016 0.09 0.09 0.18 0.18 0.39 0.4 0.58 0.59
9/22/2016 0.1 0.1 0.18 0.18 0.39 0.4 0.58 0.59
9/21/2016 0.12 0.12 0.22 0.22 0.44 0.45 0.6 0.61
9/20/2016 0.17 0.17 0.3 0.3 0.49 0.5 0.6 0.61
9/19/2016 0.14 0.14 0.3 0.3 0.48 0.49 0.59 0.6
9/16/2016 0.19 0.19 0.29 0.29 0.49 0.5 0.6 0.61
9/15/2016 0.19 0.19 0.29 0.29 0.48 0.49 0.59 0.6
9/14/2016 0.24 0.24 0.33 0.33 0.51 0.52 0.61 0.62
9/13/2016 0.25 0.25 0.36 0.37 0.53 0.54 0.62 0.63
9/12/2016 0.22 0.22 0.37 0.38 0.53 0.54 0.55 0.56
9/9/2016 0.23 0.23 0.34 0.35 0.5 0.51 0.56 0.57
9/8/2016 0.25 0.25 0.34 0.35 0.49 0.5 0.55 0.56
9/7/2016 0.25 0.25 0.34 0.35 0.48 0.49 0.55 0.56
9/6/2016 0.24 0.24 0.32 0.32 0.45 0.46 0.54 0.55
9/2/2016 0.24 0.24 0.32 0.32 0.44 0.45 0.57 0.58
9/1/2016 0.26 0.26 0.33 0.33 0.46 0.47 0.58 0.59
8/31/2016 0.26 0.26 0.33 0.33 0.46 0.47 0.59 0.6
8/30/2016 0.23 0.23 0.33 0.33 0.47 0.48 0.59 0.6
8/29/2016 0.24 0.24 0.33 0.33 0.48 0.49 0.6 0.61
8/26/2016 0.27 0.27 0.33 0.33 0.46 0.47 0.6 0.61
8/25/2016 0.27 0.27 0.33 0.33 0.45 0.46 0.58 0.59
 
Unless you are trading something very funding-intensive or long-dated, it does not really matter what you use (LIBOR, FF or T-bills). Other stuff, e.g. divs and short borrow are gonna matter much more anyway.
 
you should actually use your financing rates... which means, depending on whether you're borrowing at 2% variable or have the money sitting at 0%, your pricing should change...

But generally you look at yield curve with LIBOR/Treasury Bills etc. And for longer dated options you use longer maturities. You probably also need to look at the swaps...
 
I calculated the risk free rate from the options prices (I currently own), they were ~0.5% slightly different based on expiry dates. So I assumed they used short term 3-6 months treasury rates to price?
 
ironchef said:
I calculated the risk free rate from the options prices (I currently own), they were ~0.5% slightly different based on expiry dates. So I assumed they used short term 3-6 months treasury rates to price?
More...
if it's 3-6 month options that would make sense
 
>> if you are looking for historical data, best place to pick it from would be http://www.federalreserve.gov/Releases/h15/data.htm.

This was a good source. I went to the URL and clicked on the "Daily" link at top besides: "Federal funds (effective)"
This gives rates from Year 1954 until Today in format below:

2016-09-20,0.40
2016-09-21,0.40
2016-09-22,0.40
2016-09-23,0.40
2016-09-24,0.40
2016-09-25,0.40
2016-09-26,0.40

I now wonder what the 0.40 means. In the case if we buy/sell a 30 DTE or 60 DTE Option. Then will we divide this 0.40 value by DTE days?
For example does 0.40 represent 0.40%/365 days where we will take (0.40%/365) * 24 DTE = 0.026% if it is 24 DTE?
 
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