Implied Volatility Calculator
Work out the implied volatility (IV) built into an option's price, plus its Greeks, and see how the option's price would change if IV rises or falls.
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.
Use the mid-price between the bid and the ask for the option price.
Example shown. Replace with your own numbers.
Option price at different IV levels
If implied volatility changes
Uses the Black-Scholes model for European-style options, with calendar days and a 365-day year. Greeks are per share: theta is the change in price per day, and vega is the change for a 1-point move in IV. Multiply by 100 for one contract. For educational purposes only.
What is Implied Volatility?
Implied volatility (IV) is the market's estimate of how much a stock is likely to move over the next year, worked out backwards from an option's price. When traders expect bigger swings, they pay more for options, so IV rises. When things are calm, options get cheaper and IV falls.
IV is shown as a yearly percentage. An IV of 30% means the market expects the stock to finish within about 30% of today's price, up or down, roughly two times out of three over a year. Over shorter periods the expected move is smaller.
How to use this calculator
1. Choose whether the option is a call or a put.
2. Enter the stock's current price. Adding the ticker symbol is optional.
3. Enter the option's strike price and its price. Use the mid-price between the bid and the ask.
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 implied volatility of the option, and the expected move in the stock that it points to by expiry.
- The option's Greeks: delta, gamma, theta and vega. These show how the price reacts to changes in the stock price, time and volatility.
- The option's intrinsic value and time value.
- A chart showing how the option's price changes with implied volatility, with your option marked.
- A table of what the option would be worth if IV rose or fell by 5, 10, 15 or 20 points.
When is it most useful?
- Checking whether an option looks cheap or expensive. Compare its IV with the stock's usual level or with other strikes and expiries.
- Before an earnings report. IV usually climbs beforehand and drops sharply afterwards (the "IV crush"). The table shows how much that drop could cost or save you.
- Deciding whether to buy or sell options. Many traders prefer selling options when IV is high and buying them when IV is low.
- Understanding the Greeks of a trade before you place it.
Things to keep in mind
- IV is a forecast built into today's prices, not a guarantee. The stock can move more or less than IV suggests.
- Different strikes and expiries on the same stock often have different IVs. Puts below the current price usually have higher IV than calls above it.
- This calculator uses the Black-Scholes model, which assumes options can only be exercised at expiry. For most US stock options the result is very close, but deep in-the-money options and dividend-paying stocks can differ slightly from your broker's figure.
- Wide bid-ask spreads make IV less reliable. Use the mid-price, and be cautious with options that rarely trade.
This calculator gives estimates for educational purposes only. It isn't financial advice.