Option price calculator
Black-Scholes value of a call and a put.
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Implied volatility calculator
The volatility the market is pricing into an option, and the move it expects from the share.
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The option
The volatility
A call at 1.50 on the 105.00 strike, 30 days out, prices in about 28.4% volatility a year.
- Move it prices in
- About 8.14 either way by expiry (8.1%): the share ends between 91.86 and 108.14 about two times in three under the model.
- A usual day
- About 1.79 (1.79%) up or down.
What the same call would cost at other volatilities, and the move each one means by expiry.
| Volatility | Price | Move by expiry |
|---|---|---|
| 18.4% | 0.58 | 5.27 |
| 23.4% | 1.02 | 6.71 |
| 28.4% | 1.50 | 8.14 |
| 33.4% | 2.01 | 9.57 |
| 38.4% | 2.54 | 11.01 |
Education only, not investment advice. The answer comes from the numbers you typed in, not from your account or the market. Simulated results are hypothetical and have limits: real trading has slippage, gaps, changing results and emotions. Trading leveraged products can lose money quickly, including all of it. Risk warning
Educational only, not financial advice; trading involves risk.
What the price is saying
An option's price holds one number nobody can look up: how much the market expects the share to move. Implied volatility is that number, worked back from the price by the Black-Scholes model. High implied volatility means options are dear and a big move is expected, often before earnings; low means they are cheap.
Compare it with the share's own past swings: an option is only cheap or dear against the move that actually comes. For the value at a volatility you choose, use the option price calculator; for the usual range of the share, the expected move calculator.
Not advice. Arithmetic on the numbers you type; the model assumes no dividends and no early exercise.
Next tools
Expected move calculator
The usual range in a day, week or month, from volatility.
Options profit calculator
A call or put at expiry: break-even, most to make and lose.
Pricing
Three ways in. Pick yours.
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Baroq never holds your money and never trades for you. Educational only, not financial advice; trading involves risk.