Options Pricing & Greeks Calculator

Estimate a vanilla call or put price, all five Greeks, time decay and volatility sensitivity.

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.