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Options Pricing – Black Scholes Model

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: A Guide to Calculating Your Options' Worth

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 Limitations:

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.

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