Black-Scholes Options Calculator
Price a call or put with Black-Scholes and see all five Greeks, intrinsic value, time value and break-even.
Price an option and see the Greeks
Options Calculators
Black-Scholes pricing, the Greeks, implied volatility, position payoffs and covered call returns.
Options are the one instrument where the price you pay is itself the output of a model. A share is worth what it trades at; an option's value depends on the strike, the time left, the volatility expected over that time, and the interest rate — and the relationship between them is not something that can be worked out in your head.
Black-Scholes is the standard model for that relationship. These calculators implement it directly, including the Greeks, which describe how the price responds to each input moving: delta to the underlying, gamma to delta itself, theta to time passing, vega to volatility, and rho to interest rates.
Implied volatility runs the model backwards. Given what an option actually trades at, it solves for the volatility that would produce that price — which is how the market's expectation of future movement is read out of a quote.
Every page states the model's assumptions, because that is where discrepancies with real quotes come from: constant volatility, no jumps, European exercise, and no transaction costs. None of those hold exactly, and the difference is largest on short-dated and deep out-of-the-money contracts.
All options calculators
19 calculators in this category.
Implied Volatility Calculator
Solve for the volatility that makes Black-Scholes match an option's traded price, with the move it implies.
Calculate implied volatility
Options Profit Calculator
Calculate profit, break-even, maximum profit and maximum loss for a long or short call or put at expiry.
Calculate options profit and loss
Covered Call Calculator
Calculate premium income, net cost basis, break-even and the return if assigned when writing calls against shares.
Calculate covered call returns
Options Greeks Calculator
Calculate delta, gamma, theta, vega and rho for a single option and for a whole position in contracts.
Calculate option and position Greeks
Expected Move Calculator
Work out the move an option's implied volatility prices in over a given number of days, with one and two standard deviation ranges.
Calculate the expected move
Vertical Spread Calculator
Calculate maximum profit, maximum loss, break-even and return on risk for bull call, bear put, bull put and bear call spreads.
Calculate vertical spread profit and loss
Iron Condor Calculator
Calculate net credit, maximum profit, maximum loss, both break-evens and the profit range for a four-leg iron condor.
Calculate iron condor profit and loss
Butterfly Spread Calculator
Calculate maximum profit at the body, maximum loss, both break-evens and return on risk for a long or short butterfly.
Calculate butterfly spread profit and loss
Straddle Calculator
Calculate the total premium, both break-evens and the move required for a long or short straddle to profit.
Calculate straddle break-evens
Strangle Calculator
Calculate premium, break-evens and the profit range for a long or short strangle with separate call and put strikes.
Calculate strangle break-evens
Cash Secured Put Calculator
Calculate premium yield, effective purchase price and annualised return on the cash set aside to secure a short put.
Calculate cash secured put returns
Wheel Strategy Calculator
Track total premium collected, adjusted cost basis and cumulative return across a full put-assignment-call cycle.
Calculate wheel strategy returns
Poor Man's Covered Call Calculator
Calculate net debit, maximum profit, break-even and capital saved when replacing stock with a deep in-the-money LEAPS call.
Calculate poor man's covered call returns
Max Pain Calculator
Find the strike where the total value of expiring calls and puts is lowest, using open interest you enter per strike.
Calculate the max pain strike
Options Probability Calculator
Estimate the probability of finishing in the money, of touching a strike before expiry and of a position profiting.
Calculate options probabilities
Binomial Option Pricing Calculator
Price American and European options on a Cox-Ross-Rubinstein tree, with the early exercise premium stated separately.
Price an American option on a tree
Calendar Spread Calculator
Calculate net debit, theta differential and the value of a calendar spread when the front leg expires.
Calculate calendar spread value
Options Margin Calculator
Estimate the Regulation T requirement for naked puts and calls, and the defined requirement for spreads you enter.
Estimate options margin requirements
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