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. You can use either decimal point or comma as decimal separator, just be sure not to use thousand separators.

This tool is targeted to option spread analysis. If your need a simple, bare-bones Black-Scholes calculator, check out this version.

Options parameters

Lowest strike $
Strike spread $
Spot price $	+ -
Base date (y/m/d)
Expiration date (y/m/d)
	365 days/year 252 business days/year Inform number of days
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	spot price purchase cost
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	Credit spread Debit spread
Spread distance	Next strike Two strikes higher Three strikes higher Four strikes higher Five strikes higher

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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