OPTION CALCULATOR

Black-Scholes

Select option type and input all parameters in the left box. 
Click on "Calculate value & Greeks" to see all output values in the right box.

 

Input: 

Option type: Select Call or Put option.

Spot: Current spot price of the underlying. 

Time: Time until maturity of the option expressed in years. 

Volatility: Annualised volatility of the underlying (implied volatility of the option).

Carry rate: continuously compounded, per annum carry rate of the underlying. 

Interest rate: Typically the money market rate or risk free rate (continuously compounded rate).


Output:

Value: Theoretical Black-Scholes model value of the option. 

Delta: ∂TV / ∂Spot. The change in the option's theoretical value for a change in the underlying spot price. 

Gamma = ∂Delta / ∂Spot. The change in the option’s Delta for a change in the underlying spot price by 1 unit. 

Vega: ∂TV / ∂Volatility. The change in the option's theoretical value for a change in the volatility by 1% point.

Theta: ∂TV / ∂Time. The change in the option's theoretical value for a change in the time to expiry. Note that the output is expressed as a change per year.  Example: If  TV = 6.00, and Theta = 5,20, then the value of the option decreases by 5.2/52 to 5.9, if 1 week goes by.

Forward price: The current forward price of the underlying with same expiry as the option.

Probability: Risk-neutral probability of the option ending In-The-Money: 

 

Nosco Partners AG, Glärnischstrasse 48d, 8712 Stäfa, Switzerland

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