Implied Volatility & Option Greeks Calculator

Black-Scholes Option Model

Implied volatility is based on the market price of an option and reflects the market's view of future stock price volatility. This calculator uses the Black-Scholes model to calculate implied volatility and the option greeks including delta, gamma, theta, vega and rho. Note that this model assumes European style options, resulting in no allowance for early exercise of the option.

Instructions
Stock Price
enter the stock price associated with the option price
Strike Price
enter option strike price
Option Price
enter the option price associated with the stock price and click either Call or Put to specify option type
Days to Expiration
enter number of days to option expiration or click on the calendar and specify the option expiration date. If you use the calendar, Days to Expiration will be calculated and entered by the program
Interest Rate
the current risk free interest rate as a percentage
Dividend Amount
enter amount of dividend if any
Dividend Date
enter dividend ex-distribution date
Dividend Frequency
select frequency of dividend
Get Symbol
if you need stock and option data, enter a stock symbol here and a pop up window will appear containing current stock and option prices
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A service of Trotter Trading Systems
Friday, Dec 15, 2017