Options Pricing Calculator

Black-Scholes model for European options

Parameters

Option Type

Load from Instrument

Spot Price (S)

Strike Price (K)

Time to Expiry

Volatility (%) 25.0

1% 150%

Risk-free Rate (%) 2.0

0% 20%

Dividend Yield (%) 0.0

0% 15%

Quick Presets

Theoretical Price

$0.00

Intrinsic Value

$0.00

Time Value

$0.00

At The Money

Deep ITM ATM Deep OTM

Delta

0.0000

Price sensitivity

Gamma

0.0000

Delta change rate

Theta

0.0000

Time decay/day

Vega

0.0000

Vol sensitivity

Rho

0.0000

Rate sensitivity

Prob. ITM

50.0%

Prob. OTM

50.0%

0.0000

Break-even at Expiry

$100.00

Distance to Break-even

0.00%

Black-Scholes Formula

$$C = Se^{-qT}N(d_1) - Ke^{-rT}N(d_2)$$

$$P = Ke^{-rT}N(-d_2) - Se^{-qT}N(-d_1)$$

$$d_1 = \frac{\ln(S/K) + (r - q + \sigma^2/2)T}{\sigma\sqrt{T}}$$

$$d_2 = d_1 - \sigma\sqrt{T}$$

S=Spot, K=Strike, T=Time, r=Rate, q=Div, σ=Vol, N(·)=CDF