Options pricing calculator
Theoretical call and put prices and the Greeks from the Black-Scholes model. Enter the stock price, strike, days to expiration, implied volatility and rate; add a market price to solve for implied volatility.
How to read the Greeks
Delta is the price change per $1 move in the stock and roughly the probability of finishing in the money; gamma is how fast delta changes; theta is the daily cost of time; vega is the sensitivity to a one-point change in implied volatility; rho is the sensitivity to rates. For the P/L of a whole structure at expiration use the options profit calculator.
Frequently asked questions
- How is an option's theoretical price calculated?
- With the Black-Scholes model: the stock price, the strike, time to expiration, implied volatility and the risk-free rate combine into a probability-weighted value of the payoff. The calculator also returns the Greeks: delta, gamma, theta, vega and rho.
- What implied volatility should I enter?
- The IV quoted for that contract in the option chain. If you have the market price instead, enter it in the market price field and the calculator solves for the IV that reproduces it.
- Why does the calculator's price differ from the market?
- Black-Scholes assumes European exercise, no dividends and constant volatility. American options, dividend payers and skewed volatility all move real prices away from the model, which is exactly why the implied volatility field exists.