With respect to bonds, it is the bond dollar value of one basis point (0.01%) adjusted with an embedded option (callability of puttability). In other words, it is the dollar amount by which the price of a USD 100 par bond with an embedded option will decline if the yields curve shifts up by one basis point. The following formula gives this value:

Option-adjusted DV01= option-adjusted duration x USD 100-par bond price x 0.0001

Calculating this value requires an investor to prepare a set of theoretical futures prices for a range of bond yields, and then to derive the slope of the resulting curve at a given level of yields.

Generally, an option-adjusted DV01 for a financial contract is the product of its duration and portfolio equivalent value divided by 100 basis points.

It is known for short as OADV01.