Black-Scholes options calculator

WARNING: This page is not intended as a basis for trading decisions. No responsibility whatsoever is assumed for its correctness or suitability for any given purpose. Use at your own risk.

Type numbers with decimal POINT and without thousand separators!

Options parameters
Lowest strike $
Strike spread $
Spot price $
Expiration date (y/m/d)
Volatility (%/yr.)
Interest rate (%/yr.)
 
Call strike Premium Intrinsic Delta Gamma Theta Vega Rho
               
               
               
               
               
               
               
 
Put strike Premium Intrinsic Delta Gamma Theta Vega Rho
               
               
               
               
               
               
               

Price probability distribution at expiration

From price To price Probability Accumulated
probability
     
       
       
       
       
       
       
 

Covered call sells
Base capital is
Stock purchase cost $
 
Strike Premium ROI at spot ROI if assigned Assignment
probability
         
         
         
         
         
         
         

Minimum time considered for ROI calculation is 30 days, since there is only one option series per month.

 
Call option spreads
Spread type
Spread distance
 
Strike 1 Strike 2 Profit at spot Max profit Max loss Profit > 0 probability ROM/ROI at spot Maximum ROM/ROI
               
               
               
               
               
               

ROM (Return on margin) assumes that margin will be equal to the spread for credit spreads. ROI for debit spreads considers the base capital to be the upfront net expenditure.

Minimum time considered for ROI/ROM calculation is 30 days, since there is only one option series per month.

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