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Black-Scholes options calculator

WARNING: This page is not intended as a basis for trading decisions. No responsibility whatsoever is assumed for its correctness or suitability for any given purpose. Use at your own risk. You can use either decimal point or comma as decimal separator, just be sure not to use thousand separators.

This tool is targeted to option spread analysis. If your need a simple, bare-bones Black-Scholes calculator, check out this version .

Options parameters
Lowest strike $
Strike spread $
Spot price $
Expiration date (y/m/d)
Volatility (%/yr.)
Interest rate (%/yr.) Please recalculate
Call strike Premium Intrinsic Delta Gamma Theta Vega Rho
Put strike Premium Intrinsic Delta Gamma Theta Vega Rho

Price probability distribution at expiration

From price To price Probability Accumulated
probability

Covered call sells
Base capital is
Stock purchase cost $
Strike Premium ROI at spot ROI if assigned Assignment
probability

Minimum time considered for ROI calculation is 30 days, since there is only one option series per month.

Call option spreads
Spread type
Spread distance
Strike 1 Strike 2 Profit at spot Max profit Max loss Profit > 0 probability ROM/ROI at spot Maximum ROM/ROI

ROM (Return on margin) assumes that margin will be equal to the spread for credit spreads. ROI for debit spreads considers the base capital to be the upfront net expenditure.

Minimum time considered for ROI/ROM calculation is 30 days, since there is only one option series per month.