Black-Scholes option pricer
Estimate the theoretical fair value of a European call and put from five inputs, and see how volatility and time — not just the stock price — drive an option’s worth.
Runs entirely in your browserRuns entirely on your device — nothing you type is sent anywhere. Educational only, and not investment advice.
How to use this calculator
Each step names a control you will find on screen above.
- Spot and strike
The current stock price and the option’s strike. Their relationship sets how much value is intrinsic versus pure time value.
- Volatility (IV)
The annualised volatility of the underlying. This is the input that is not directly observable, and the one that moves option prices most.
- Days to expiry
Time left until the option expires. More time means more chance for a favourable move, so more value.
- Risk-free rate
A government-bond yield, used to discount the strike. It has a smaller effect than volatility and time.
Worked example: An at-the-money 90-day option
Spot ₹100, strike ₹100, 25% volatility, 90 days to expiry, 6% risk-free rate.
What to enter
- Spot price
- ₹100
- Strike
- ₹100
- Volatility
- 25%
- Days to expiry
- 90
- Risk-free rate
- 6%
What it shows you
- Call price
- ≈ ₹5.6
- Put price
- ≈ ₹4.2
- Call delta
- ≈ 0.55
- Double the volatility
- Call ≈ doubles
Where this is taught
A calculator gives you a number. These explain what the number means and when it misleads you.
- Technical Analysis11 minBlack-Scholes: what an option is actually worthThe formula that won a Nobel Prize and priced the options market. What its five inputs are, why volatility and time dominate, and why the model is a lens, not a crystal ball.
- Technical Analysis12 minImplied volatility, and why premiums move without the stockImplied volatility is the market’s price for uncertainty, and it can move an option premium more than the stock does. It explains why an option gets dearer before results, and why buying it there so often disappoints.
- Technical Analysis12 minIndia VIX: the market pricing its own nervousnessNot a forecast of direction — a measure of how much movement option buyers are paying up for. What it tells you, and the two ways it is routinely misread.
- Technical Analysis12 minResults, budget and index rebalancingScheduled events break the assumptions technical setups rely on. What to do with a position running into earnings, and where event-driven flows create genuine edges.
- Technical Analysis14 minThe option greeks: delta, gamma, theta, vegaAn option’s price moves for four separate reasons at once — the underlying, the speed of that move, the passage of time, and volatility. The greeks name each force, and knowing them is the difference between trading options and being surprised by them.