Stock Options Calculator
Calculate stock option prices, Greeks, and profit/loss scenarios. Estimate call and put option values with Black-Scholes model.
Step 1: Option Parameters
Call Option
Put Option
Option Basics
Call options give the right to buy at the strike price. Put options give the right to sell at the strike price. Time value decays as expiration approaches.
Step 2: Market Parameters
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Black-Scholes Model
This calculator uses the Black-Scholes model for European-style options. Assumes constant volatility and no transaction costs.
Option Pricing Results
Summary
Greeks
Profit/Loss Scenarios
Option Premium (per share)
$2.85
Call Option • 30 days to expiry
Total Contract Value
$2,850.00
Intrinsic Value
$0.00
Time Value
$2.85
Break-Even Price
$107.85
Delta
0.45
Gamma
0.08
Vega
0.12
Theta
-0.05
Rho
0.03
Option Greeks Explained
Delta (Δ)
0.45
Rate of change of option price relative to underlying asset price
Gamma (Γ)
0.08
Rate of change of delta relative to underlying asset price
Vega (ν)
0.12
Sensitivity to changes in volatility of the underlying asset
Theta (Θ)
-0.05
Time decay – rate of change of option price relative to time
Rho (ρ)
0.03
Sensitivity to changes in the risk-free interest rate
Profit/Loss Scenarios at Expiry
| Stock Price at Expiry | Option Value | Profit/Loss (per share) | Total P/L | Return % |
|---|
Black-Scholes Formula
C = S•N(d1) – K•e^(-rT)•N(d2) for calls. P = K•e^(-rT)•N(-d2) – S•N(-d1) for puts. Where d1 = [ln(S/K) + (r + σ²/2)T] / (σ√T), d2 = d1 – σ√T.
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