Options Pricing Calculator
Work out the fair value of a call and a put using the Black-Scholes model, with all the Greeks, and see how the value changes with the stock price and time.
Stock
Option
Calendar days to expiry: 30
Manual settings
Has only a small effect. Leave at 4% if unsure.
The stock's yearly dividend as a % of its price. Leave at 0 if it doesn't pay one.
Find the implied volatility in your broker's option chain, or work it out with our Implied Volatility calculator.
Option value by stock price
Option value over time
Uses the Black-Scholes model for European-style options, with calendar days and a 365-day year. Values are per share; multiply by 100 for one contract. Theta is the change in value per day and vega the change for a 1-point move in IV. For educational purposes only.
What is the Options Pricing calculator?
This calculator works out the fair value of a call and a put using the Black-Scholes model, the standard way options are priced. Give it the stock price, strike, time to expiry and implied volatility, and it shows what the options should be worth today, along with their Greeks.
It's useful for checking whether a quoted price looks reasonable, seeing how an option's value would change if the stock moves, and understanding how time and volatility affect options.
How to use this calculator
1. Choose whether to chart a call or a put. The values for both are always shown at the top.
2. Enter the stock's current price. Adding the ticker symbol is optional.
3. Enter the strike price and the implied volatility (IV).
4. Set the expiry date, or type the number of days to expiry.
5. If the stock pays a dividend, you can add its yearly yield under "Manual settings", and change the interest rate.
The calculator updates as you type. You'll see:
- The fair value of the call and the put, per share and per contract.
- The Greeks: delta, gamma, theta and vega for each.
- A chart of the option's value at different stock prices, today, at two dates in between, and at expiry. Hover over the chart (or tap it on a phone) to read exact values.
- A table of the option's value by stock price and date.
What the Greeks mean
- Delta: how much the option's price changes when the stock moves $1. It's also a rough guide to the chance of finishing in the money.
- Gamma: how much delta changes when the stock moves $1.
- Theta: how much value the option loses each day from time passing.
- Vega: how much the option's price changes when implied volatility moves by 1 point.
Things to keep in mind
- The result depends heavily on the implied volatility you enter. Find it in your broker's option chain, or work it out with our Implied Volatility calculator.
- Black-Scholes assumes options can only be exercised at expiry. For most US stock options the value is very close, but deep in-the-money options and dividend-paying stocks can differ slightly.
- Real market prices have a bid and an ask. The fair value should sit somewhere between them.
This calculator gives estimates for educational purposes only. It isn't financial advice.