Black-Scholes Option Pricing Calculator

Your details

A call gives the right to buy; a put gives the right to sell.
The current market price of the underlying asset (S).
The price at which the option can be exercised (K).
Time remaining until the option expires, in years. 0.25 = 3 months, 0.5 = 6 months, 1 = 1 year.
years
Annualised volatility of the underlying asset as a percentage. Implied volatility can be read from the options market.
%
The continuously compounded risk-free interest rate, typically proxied by the yield on short-term government bonds.
%
Continuous annualised dividend yield of the stock. Leave at 0 for non-dividend-paying stocks.
%
Currency
Option priceNear-the-money
$5.9885

Theoretical fair value of the selected option type

Call price$5.9885
Put price$8.3960
d1-0.0462
d2-0.223
Delta0.4816
Gamma0.022544
Theta (per day)-$0.0251
Vega (per 1% vol)$0.2818
Rho (per 1% rate)$0.2108
Call price$5.9885
Put price$8.3960

This call is near-the-money, priced at $5.9885 per share.

  • Delta of 0.4816 means a $1 move in the stock price changes the option value by about $0.48. It also approximates a 48% chance the option expires in-the-money.
  • Theta of -0.0251 means the option loses about $0.0251 per calendar day from time decay alone.
  • Vega of 0.2818 means each 1-percentage-point rise in implied volatility adds about $0.2818 to the option price.

Next stepCompare the theoretical price to the market quote: a higher market price implies the market is pricing in more volatility than your input, and vice versa. The difference is the implied-volatility spread.

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