Tool
Option Calculator
Price options with Black-Scholes-Merton and solve for implied volatility. Also outputs Delta, Gamma, Vega, Theta and Rho in real time.
Inputs
%
%
%
Leave empty to price using the volatility above; enter an observed market price to back out the implied volatility.
Results (Greeks)
Theoretical Price6.2163
Delta (Δ)0.5431
Gamma (Γ)0.0264
Vega (ν) per 1%0.1983
Theta (Θ) per day-0.0352
Rho (ρ) per 1%0.1202
Formulas
Call: C = S·e−qT·N(d₁) − K·e−rT·N(d₂) Put: P = K·e−rT·N(−d₂) − S·e−qT·N(−d₁)
d₁ = [ ln(S/K) + (r − q + σ²/2)·T ] / (σ·√T) d₂ = d₁ − σ·√T