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Black-Scholes Option Calculator

Enter the option details

$
$
days

Calendar days. Converted to years by dividing by 365.

%

Annualized standard deviation of the stock's returns (historical or implied).

%

Annual, continuously compounded.

%

Annual, continuous. Use 0 for no dividends.

Option values

Call price

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Put price

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Option Greeks for the call and the put
GreekCallPut
Time to expiration–
d1 / N(d1)– / –
d2 / N(d2)– / –
Call intrinsic / time value– / –
Put intrinsic / time value– / –
Put-call parity: call − put = Se−qT − Ke−rT–

Prices are per share; a standard US equity option contract covers 100 shares. The model assumes European exercise and constant volatility, interest rate and dividend yield, so it is a theoretical value, not a market quote. American options can be worth more than these values when early exercise pays off.

Results are estimates for educational purposes and are not financial, tax or legal advice.

Work out the theoretical value of a European call and put from the stock price, strike, time to expiration, volatility, interest rate and dividend yield, along with the option Greeks. Next, open the free pivot point calculator and enter your own details to see an estimate in seconds.