Pricing & Greeks
Options Pricing & Greeks Calculator
Estimate a vanilla call or put price, all five Greeks, time decay and volatility sensitivity.
About this calculator
How to use this tool
Black–Scholes–Merton assumes European exercise, constant volatility and rates, continuous dividend yield and a lognormal positive underlying. It is a reference model, not a prediction or a tradable quote. American exercise, discrete dividends, bid/ask spreads and volatility skew can change observed values.
Delta and Gamma use a one-unit underlying move. Theta is per calendar day; Vega and Rho are per percentage point. Outputs are per underlying unit; multiply by your contract multiplier and signed quantity for position exposure.
At expiration, price becomes intrinsic value and most Greeks are not defined; they display N/A. Zero-IV values use a deterministic discounted payoff. For European options, price minus immediate-exercise intrinsic can be negative because exercise is deferred.
Worked example
With spot and strike both $100, one year, 20% IV, 5% rate and no dividends, the European call is approximately $10.4506 and the put $5.5735.
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Model references and conventions
365 calendar days per year. Continuous rates for theoretical pricing. All examples are illustrative.
