Black-Scholes Option Value Calculator

Use the Home link to return to the home page. Do not use the back button.
No responsibility is assumed for the correctness or suitability of this calculator for any application. It is not intended for use as the basis for making trading decisions nor is it intended to suggest any trading strategy or give trading advice. Use at your own risk
Underlying Price:
Strike Price:
Risk Free Rate %:
Volatility %:
Time To Expiration (years):
 
Call Put
Value$2.2684$0.7796
Delta0.6758-0.3242
Gamma0.10100.1010
Vega25.630025.6300
Theta3.22180.2666
Rho32.5220-16.7212
Notes:
1. Use the Home link to return to the home page. Do not use the back button.
2. User input can be any constant statement using only numerics and +, -, *, and /. For example 3/365 could be entered for 3 days Time To Expiration.
3. European style options are assumed. Dividends are not considered.
4. Risk Free Rate % is an annualized percentage.
5. Volatility % is the standard deviation of the log normal prices x 100.
6. Delta (Hedge Ratio) is the rate of change in the option value with respect to a change in the underlying price ($/$).
7. Gamma is rate of change of delta with respect to a change in the underlying price (units/$).
8. Vega is the rate of change in the option value with respect to a change in the underlying volatility ($/units).
9. Theta is the rate of change of the option value with respect to a change in the time to matutity ($/years).
10. Rho is the rate of change in the option value with respect to a change in the risk free rate ($/units).
11. Vega and Rho are sometimes expressed as value change per percent change ($/%). Divide by 100 if that is desired.
12. Theta is sometimes expressed as value change per days to maturity ($/day). Divide by 365 if that is desired.
13. Positive Theta means an increase in Time To Expiration results in an increase in option value.
Change the sign if the reverse is desired.