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Option Price Calculator
Calculate option prices using Black-Scholes or Binomial Tree models.
Calculate Greeks - Gamma, Rho etc.
Calculate probability of closing in-the-money (ITM)
Calculate a multi-dimensional analysis
This calculator calculates the fair market price, the Greeks, and the probability of closing in-the-money (ITM) for an option contract. You can choose either the Black-Scholes model or the Binomial Tree model.
The binomial model is most appropriate when the buyer can exercise the option contract before expiration. This applies to American style options. Use the Black-Scholes model for contracts that can be exercised only at expiration. This applies to European style options.
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The Calculator-Calculate option prices and Greeks
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The Greeks
This Wikipedia article explains the Greeks in detail. The summary below provides key definitions.
Delta measures how much the theoretical option value changes when the underlying asset price changes. Delta ranges from 1.00 to −1.00. Deep–in–the–money options eventually move dollar for dollar with the underlying stock. Calls and puts have opposite delta signs.
Gamma measures the rate of change of Delta.
Theta measures how much the option price declines due to the passage of time. Theta is also known as “time decay.”
Vega measures an option’s sensitivity to changes in volatility of the underlying asset. In finance, Vega is expressed as the amount of money per underlying share that the option value will gain or lose when volatility changes by one percentage point. All options, both calls and puts, gain value as volatility increases.
Rho measures how sensitive the option price is to a change in interest rates.
Omega (Elasticity) is the percentage change in option value for a percentage change in the underlying price. Omega measures leverage. A higher Omega indicates greater leverage and greater risk.
Probability, while not a Greek, measures how likely an option contract is to close in–the–money (ITM). A contract that closes ITM is not always profitable. Profitability depends on the premium paid.
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Currency and Date Conventions
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7 Comments on “Option Price Calculator | Black Scholes & Binomial Models”
Questions? Ask them here. We're happy to help.
Jim Nance says:
Hi Karl, I’m looking to automate, as fully as possible, the pricing & manipulation of american stock options such as Google, Apple, IBM, etc. (I don’t trade indexes, futures, european, etc.) I’m having the devil of a time getting a risk-free interest rate I feel confident to use – from every source I’ve read nobody can agree between using the S&P, or T-Bill rates, or LIBOR swap curve. Do you have a binomial option pricing calculator that will calculate the historical volatility & implied volatility, populate the risk free interest rate, chart multiple legs & show the affects of time erosion for strategy analysis and forecast price probability?
Please say you do…….thanks for your time, Jim
Karl says:
Hi Jim, I don’t have anything that populates the risk-free rate of return. You’ll have to type it in yourself. Nor do I have anything that calculates the implied volatility, but this calculator should make the other calculations that you asked about. Make sure you have the "Pricing Model" on the Calculator tab set to "Binomial Tree".
jim nance says:
Thank-you for the prompt response. Jim
Andre D Wright says:
Is it possible to write 20 year call options against stock?
Karl says:
I can’t say. Sorry. But my guess is, sure, it can be done, but how do you find a buyer? You would also need someone to prepare the contract, I imagine.
Mark Burch says:
I am trying to get the chart for a mortgage of $105,000. repayment over 20 years, which we are already at the end of period and be able to print the chart as well.
Karl says:
This amortization schedule calculator will allow you to print a payment schedule. I think that’s what you are looking for. Let me know if you had anything else in mind. I’m not sure because you are on the Options calculator page.
Jim Nance says:
Hi Karl,
I’m looking to automate, as fully as possible, the pricing & manipulation of american stock options such as Google, Apple, IBM, etc. (I don’t trade indexes, futures, european, etc.)
I’m having the devil of a time getting a risk-free interest rate I feel confident to use – from every source I’ve read nobody can agree between using the S&P, or T-Bill rates, or LIBOR swap curve.
Do you have a binomial option pricing calculator that will calculate the historical volatility & implied volatility, populate the risk free interest rate, chart multiple legs & show the affects of time erosion for strategy analysis and forecast price probability?
Please say you do…….thanks for your time,
Jim
Karl says:
Hi Jim, I don’t have anything that populates the risk-free rate of return. You’ll have to type it in yourself. Nor do I have anything that calculates the implied volatility, but this calculator should make the other calculations that you asked about. Make sure you have the "Pricing Model" on the Calculator tab set to "Binomial Tree".
jim nance says:
Thank-you for the prompt response.
Jim
Andre D Wright says:
Is it possible to write 20 year call options against stock?
Karl says:
I can’t say. Sorry. But my guess is, sure, it can be done, but how do you find a buyer? You would also need someone to prepare the contract, I imagine.
Mark Burch says:
I am trying to get the chart for a mortgage of $105,000. repayment over 20 years, which we are already at the end of period and be able to print the chart as well.
Karl says:
This amortization schedule calculator will allow you to print a payment schedule. I think that’s what you are looking for. Let me know if you had anything else in mind. I’m not sure because you are on the Options calculator page.