European Options
American and Exotic Options
Implied Volatility
About
Inputs
Asset Price (S)
Strike Price (K)
Time to Maturity (T in years)
Volatility (σ as a decimal)
Risk-Free Rate (r as a decimal)
Calculate
European Options
Black-Scholes Prices and Greeks.
Call Option
$10.22
Greeks
Delta
0.6287
Gamma
0.0189
Theta
-6.186
Vega
37.7987
Rho
52.6504
Put Option
$5.76
Greeks
Delta
-0.3713
Gamma
0.0189
Theta
-1.8201
Vega
37.7987
Rho
-42.8825
Delta
Gamma
Theta Decay
Rho
Volatility Sensitivity