Black-Scholes Option Pricing Calculator

Advanced options pricing and Greeks analysis

Option Parameters

Current market price of the underlying stock
$
The price at which the option can be exercised
$
Time until option expires (in years, e.g., 0.25 for 3 months)
years
Risk-free interest rate (annual percentage)
%
Historical or implied volatility (annual percentage)
%

Market Insights

Moneyness (S/K):1.000
Days to Expiry:91
Annual Vol:20.0%

Option Prices

Call Price

$4.61

Black-Scholes theoretical price

Put Price

$3.37

Black-Scholes theoretical price

Time Value

$4.61

Call option time premium

Intrinsic Value

$0.00

Immediate exercise value

Option Status

This call option is currently at-the-money with 91 days until expiration.

Option Greeks (Call)

Delta

0.5695

Price sensitivity to underlying

Change in option price for $1 change in underlying price

Gamma

0.039

Delta sensitivity

Change in delta for $1 change in underlying price

Theta

$-0.03

Time decay (per day)

Change in option price per day (time decay)

Vega

$0.20

Volatility sensitivity

Change in option price for 1% change in volatility

Rho

$0.13

Interest rate sensitivity

Change in option price for 1% change in interest rate