Options Pricing – Black Scholes Model
A Guide to Calculating Your Options’ Worth
Spot Price:
Enter a value between 10 and 20,000.
Strike Price:
Enter a value between 10 and 20,000.
Volality(%):
Enter a value between 1 and 100.
Interest(%):
Enter a value between 1 and 100.
Expiry:
Choose a future date for expiry.
Dividend:
Enter a value between 5 and 300.
| Type | Value |
|---|---|
| Call Status | – |
| Call Price | – |
| Call Delta (Δ) | – |
| Call Rho (ρ) | – |
| Call Theta (θ) | – |
| Put Status | – |
| Put Price | – |
| Put Delta (Δ) | – |
| Put Theta (θ) | – |
| Put Rho (ρ) | – |
| Vega (v) | – |
| Gamma (Γ) | – |
Calculating Options Greeks & Valuation
Step-by-Step Calculation:
- Input the current market price of the underlying asset into the 'Spot Price' field.
- Enter the exercise price at which the asset can be bought or sold into the 'Strike Price' field.
- Specify the expected market volatility of the asset's price in the 'Implied Volatility (IV)' field, represented as a percentage.
- Input the risk-free interest rate, typically derived from government bond yields, into the appropriate field.
- Select the expiration date of your options contract and note any annual dividends paid by the underlying asset.
The calculator will display Delta, Gamma, Theta, Rho & Vega for both put and call options.
→ Output Information
The calculator will provide Delta, Gamma, Theta, Rho, and Vega values for both put and call options.
Model LImitation:
Note that the Black-Scholes Option Pricing Model applies solely to European vanilla options.
Further Learning:
For a deeper understanding of Options Delta and its application, refer to our comprehensive article on Options Greeks.
