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Black & Scholes

Option Calculator
How to Use
Price of the underlying 250.00 255.00 260.00 265.00 270.00
Risk-free interest rate (%) 9.0 9.0 9.0 9.0 9.0
Strike price 250 250 250 250 250
Annual volatility (%) 45.0 45.0 45.0 45.0 45.0
Time to expiration (days lef 28 28 28 28 28
Dividend yield (%) 0.0 0.0 0.0 0.0 0.0
Price of Call Option 13.26 16.15 19.34 22.81 26.54
Price of Put Option 11.54 9.43 7.62 6.09 4.82
Delta for Call Option 0.547 0.609 0.667 0.721 0.769
Delta for Put Option -0.453 -0.391 -0.333 -0.279 -0.231
Theta for Call Option -0.251 -0.252 -0.248 -0.240 -0.228
Theta for Put Option -0.190 -0.191 -0.187 -0.179 -0.166
Gamma for Call Option 0.013 0.012 0.011 0.010 0.009
Gamma for Put Option 0.013 0.012 0.011 0.010 0.009
Vega for Call Option 0.274 0.271 0.262 0.247 0.228
Vega for Put Option 0.274 0.271 0.262 0.247 0.228
Rho for Call Option 0.095 0.107 0.118 0.129 0.139
Rho for Put Option -0.096 -0.084 -0.072 -0.061 -0.052
Black & Scholes Option Pricing Calculator
Price of the underlying 250.00 Strike price nearest to spot level 250
Risk-free rate of interest(%) 9.0 Strike price interval 10
Annual volatility (%) 45.0
Time to expiration (days left) 28
Dividend yield (%) 0.0
How to USE this calculator Strike Price Premium Delta Theta Gamma Vega Rho
Call option 220 33.59 0.874 -0.161 0.007 0.144 0.142
Put option 220 2.07 -0.126 -0.107 0.007 0.144 -0.026

Call option 230 25.66 0.784 -0.205 0.009 0.203 0.131


Put option 230 4.08 -0.216 -0.149 0.009 0.203 -0.045

Call option 240 18.84 0.672 -0.238 0.012 0.250 0.114


Put option 240 7.19 -0.328 -0.179 0.012 0.250 -0.068

Call option 250 13.26 0.547 -0.251 0.013 0.274 0.095


Put option 250 11.54 -0.453 -0.190 0.013 0.274 -0.096

Call option 260 8.94 0.422 -0.242 0.013 0.271 0.074


Put option 260 17.15 -0.578 -0.178 0.013 0.271 -0.124
Call option 270 5.78 0.309 -0.214 0.011 0.244 0.055
Put option 270 23.92 -0.691 -0.147 0.011 0.244 -0.151

Call option 280 3.58 0.214 -0.175 0.009 0.202 0.038


Put option 280 31.66 -0.786 -0.106 0.009 0.202 -0.175