A live Black-Scholes options calculator: theoretical price, the full Greeks, and a Theta Decay Meter that shows exactly how fast this contract is bleeding time value as expiration approaches.
Not financial advice. This is an educational model. Black-Scholes gives a theoretical price that ignores bid/ask spreads, skew and early exercise, so your broker's quote will differ. Chances shown are model odds that assume a fixed swing and no surprises, not predictions. Speak with a licensed financial advisor before trading.
What is an option worth?
This calculator uses the Black-Scholes model to turn five things (stock price, strike, time left, expected swing and interest rate) into a fair price for one option. It also shows the Greeks, which are just measures of how that price reacts when something changes: the stock moves (Delta), a day passes (Theta), the expected swing changes (Vega), and so on.
Below the price you will find a value curve, the model odds of each outcome, a solver that works backward from the price in your broker to the swing the market expects, a time decay meter, Greeks across stock prices, return maps and a side by side look at nearby strikes. Hover over any chart to read exact numbers.
Live Pricing Model
Pick a call or a put, then change the numbers. Everything on this page updates as you type.
The stock or ETF price right now
The price your option is tied to
Calendar days left
From your option chain. 20 to 40 is common
Short-term Treasury rate
Yearly dividend as a percent of price. 0 if none
Fair Price Per Share (Theoretical Price)
$0.00
-
Moves With The Stock (Delta)
0.00
-
Delta Speeds Up By (Gamma)
0.00
Change in delta per $1 stock move
Loses Per Day To Time (Theta)
0.00
-
Reacts To Swing Changes (Vega)
0.00
Price change per 1 point of IV
Reacts To Rate Changes (Rho)
0.00
Price change per 1 point of rates
Real Value Today (Intrinsic Value)
$0.00
What it is worth if used right now
Time Value (Extrinsic Value)
$0.00
The extra you pay for time and swing
Chance It Finishes In The Money
-
Model odds at expiration
Stock Must Reach (Break-Even At Expiry)
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To get your money back at expiration
Built-In Leverage (Lambda)
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Option percent move per 1% in the stock
One Day Of Waiting Costs
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Share of the price lost to time
In plain English: fair price is what the model says one share of the option is worth. Multiply by 100 for one contract. Delta is roughly how many dollars the option gains when the stock rises $1. Theta is how many dollars it loses every day just from time passing. Vega is how much it changes if the expected swing moves 1 point, and rho does the same for interest rates. Real value is what you would collect if you used the option right now, and time value is everything you pay on top of that, which fades to zero by expiration. All values are per share.
Option Value By Stock Price
What one share of the option is worth at every stock price: today, halfway to expiration and on expiration day.
Worth todayWorth halfway to expirationWorth at expiration
Move your cursor over the chart to read the option value at any stock price.
In plain English: the dotted gold line is the hockey stick you see in textbooks, the payoff on the last day. The solid line is today's fair price. The gap between them is time value, and it is widest when the stock sits near the strike. As days pass the solid line sinks toward the dotted one, which is why a trade can lose money even when the stock does not move.
Chance Of Each Outcome
Model odds for where the stock ends on expiration day, using the swing you entered. Based on paying today's fair price.
Finishes In The Money
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Option has real value at expiry
Finishes With A Profit
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Pays back more than the fair price
Doubles Your Money
-
Pays at least twice the fair price
Expires Worthless
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You lose the whole price
Typical Stock Range (1 Standard Deviation)
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About 2 out of 3 times it ends here
Typical Move By Expiry (Expected Move)
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One standard deviation
Expires worthlessGets some money back, still a lossProfit
Move your cursor over the chart to read the chance of finishing past any stock price.
In plain English: the hill shows where the stock is most likely to be on expiration day. Taller means more likely. Pink means the option is worth nothing, gold means you collect something but less than you paid, and cyan means you win. The chance of a profit is almost always lower than the chance of finishing in the money, because the option has to beat the price you paid, not just the strike.
Solve For The Market's Swing
Type the price you see in your broker and the calculator works backward to the expected swing (implied volatility) that price is built on.
Use the middle of the bid and ask. Uses the strike, days and call or put above
Fills the Expected Swing box
Swing The Market Expects (Implied Volatility)
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Solved from your broker price
Swing In Your Box Above
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What the model is using now
Fair Price At Your Swing
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Per share, from the model
Broker Price (Per Contract)
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100 shares
Broker Price Vs Fair Price
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Above zero means you pay more
Typical Move At That Swing
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One standard deviation by expiry
In plain English: the market sets option prices, and the swing number is just the price translated into a percent. A higher swing means traders are paying up for a bigger expected move, perhaps because of earnings or news. If the swing in the market is higher than the one you believe, you are paying extra. If it is lower, the option looks cheap for your view. Either way, only the price you can actually trade at matters.
Theta Decay Meter
Theta: $0.00/day
SlowModerate DecayExtreme
Move your cursor over the chart to read the time value left on any day.
Days Left
Fair Price
Time Value
Lost Per Day
Share Of Price Lost Per Day
In plain English: this is the option's time value (the part of the price that is not already in the money) if nothing else changes, from today down to zero at expiration. Decay is not a straight line. It speeds up hardest in the last couple of weeks, which is what the gauge above tracks as you change the days left. The table shows the same story in numbers, using today's stock price and swing.
The Greeks Across Stock Prices
Delta: dollars the option gains per $1 the stock rises.
TodayHalfway to expiration
Move your cursor over the chart to read the value at any stock price.
In plain English: the Greeks are not fixed numbers. Delta climbs toward 1 (calls) or -1 (puts) as the option goes deeper in the money. Gamma and theta are largest near the strike and get bigger as time runs out, which is why options near the strike in the last week are the most violent. Switch between the four to see where your option sits.
Return Maps
The change in the option's price from today's fair price. Green cells gain and pink cells lose. Your starting point is outlined in gold.
Stock price against days left
Stock price against swing, today
In plain English: the top map shows what waiting does. Read across a row to see how much the stock must move, and down a column to see time eating the price. The bottom map keeps the date fixed and shows what happens if the market expects a bigger or smaller swing. The swing can drop right after a big event, which cuts the price even if the stock does exactly what you hoped.
Nearby Strikes Side By Side
Same stock, same days and same swing, priced at neighboring strikes. Your strike is highlighted.
Strike
Fair Price
Per Contract
Delta
Chance In The Money
Lost Per Day
Break-Even At Expiry
Leverage
In plain English: moving the strike away from the stock makes the option cheaper but lowers the chance it finishes in the money. Look at the leverage and the break-even columns together. A cheap strike far from the stock gives big percent swings, but the stock has to travel a long way before you break even.