Implied Volatility & Option Greeks Calculator

Cox-Ross-Rubenstein 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 Cox-Ross-Rubenstein model to calculate implied volatility, delta, gamma, theta, vega and rho. When using this model with European style checked, there is no allowance for early exercise of the option. Check American style to allow for early exercise of the option.

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
Option Style
click either European or American to specify option style
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
enter the current risk free interest rate as a percentage
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