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