Black Scholes Options Greeks Calculator

This calculator models option implied volatility based on the market price of an option and reflects the market's view of future stock price volatility. Please note that this model assumes European style options, resulting in no allowance for early exercise of the option. Determines option implied volatility and the option greeks including delta, gamma, theta, vega and rho. These are key values used in all volatility trading techniques.

Cox-Ross-Rubenstein Option Greeks Calculator

The Cox-Ross-Rubenstein Greeks Calculator models implied volatility based on the market price of an option and reflects the market's view of future stock price volatility. This calculator will determine implied volatilty of American style options allowing for early exercise of the option. It can also be used with European style options. Also returns the option greeks including delta, gamma, theta, vega and rho.

This calculator determines Call and Put option prices using Cox-Ross-Rubenstien model for European and American style options, and the Black & Scholes model for European style options. Using this calculator you can determine if options are fairly priced based on your forecast of volatility.

Monte Carlo Option Probability Calculator

This calculator can be used to determine the probability a stock will ever break upper and/or lower price limits during the time specified. Most other option probability calculators will only calculate probability at option expiration. In order to manage an option position in real time, you need to know the probability of price hitting your upper and lower price limits any time while you hold the position.

Stock Option Position Calculator

Enter up to 5 option/stock positions, current price, volatility target and target percentage profit. The calculator determines the probability (using Monte Carlo modeling) of obtaining your profit target and plots the price vs profit graph of the position. Also calculates the current implied volatilities of the options in the position and your up and down side break-even points. You should use this calculator when volatility trading before ever placing an order. If it tells you your probability is low, then that is a trade you should forget.

This Covered Call Calculator provides information on rates of return and probability of achieving those returns. Using the management section, you can test the returns if position is closed or rolled into another option. These tools allow you to enter the best positions and maximize your returns while minimizing risk.

This calculator determines the implied dividend based on the relationship between current Put and Call prices. If options are fairly priced, then the following equation applies:

call price + strike price - stock price - put price + dividend - carrying cost = 0

If this equation is not satisfied, then conversion arbitrage resulting in risk-free profit is possible. Assuming risk-free profit cannot be realized, this equation can be used to determine the implied dividend based on current option prices.

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Stock Option Volatility Trading

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Thursday, Apr 24, 2014