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Derivative calculator
Options Intelligence Pro
Black-Scholes quantitative modeling and Greek sensitivity
Underlying & Strike
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Market Dynamics
Theoretical Price
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Delta
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Gamma
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Theta
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Vega
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About the Derivative calculator
Find the theoretical value of a European call or put option from the stock price, strike, volatility and time to expiry using the Black-Scholes model.
How to use the Derivative calculator
- Enter the Current Stock Price (S), Strike Price (K), Implied Volatility (%) and Days to Expiration.
- Choose Call Option or Put Option.
- Press Calculate Theoretical Value.
Formula and method
Black-Scholes: d1 = (ln(S/K) + (r + ΟΒ²/2)T) Γ· (ΟβT), d2 = d1 β ΟβT. Call value = SΒ·N(d1) β KΒ·e^(βrT)Β·N(d2). N is the normal cumulative distribution.
Tips
- The model assumes constant volatility and no early exercise, so real option prices differ.
- Options are risky and can lose their entire value. This is educational, not investment advice.
Frequently Asked Questions
The market's expectation of how much the stock will move, taken from current option prices.