How to Use Price of the underlying 250.00 255.00 260.00 265.00 270.00Risk-free interest rate (%) 9.0 9.0 9.0 9.0 9.0Strike price 250 250 250 250 250Annual volatility (%) 45.0 45.0 45.0 45.0 45.0Time to expiration (days lef 28 28 28 28 28Dividend yield (%) 0.0 0.0 0.0 0.0 0.0
Price of Call Option 13.26 16.15 19.34 22.81 26.54Price of Put Option 11.54 9.43 7.62 6.09 4.82
Delta for Call Option 0.547 0.609 0.667 0.721 0.769Delta for Put Option -0.453 -0.391 -0.333 -0.279 -0.231
Theta for Call Option -0.251 -0.252 -0.248 -0.240 -0.228Theta for Put Option -0.190 -0.191 -0.187 -0.179 -0.166
Gamma for Call Option 0.013 0.012 0.011 0.010 0.009Gamma for Put Option 0.013 0.012 0.011 0.010 0.009
Vega for Call Option 0.274 0.271 0.262 0.247 0.228Vega for Put Option 0.274 0.271 0.262 0.247 0.228
Rho for Call Option 0.095 0.107 0.118 0.129 0.139
Rho for Put Option -0.096 -0.084 -0.072 -0.061 -0.052
B4
Enter basic inputs like Price of Underlying, Annualised Interest Rate (%), Annual Volatility, Time Remaining for the option to Expire (in number of days), Dividend Yield and Strike Price in the respective cells. Input cells are shown in blue coloured text. You can enter different spot prices like target prices, stop loss prices etc to monitor the value of option. Also the calculator would give you values of various option Greeks for your reference and usage. Output values shown in orange are for calls and those in brown are for puts. Note: See comments in the cells to know more. Disclaimer: The Sharekhan Option Calculator is designed for educational purpose only. It is intended to assist individuals in learning how options work, what factors affect an option's price and how a change in any one (or more) of them may affect that price. It is a tool for developing basic understanding of option pricing. The calculator has been built using the Black & Scholes option pricing method, which is most suited to European options. The user is advised to make use of the values generated by this calculator at his own risk and cost of consequences. Sharekhan will not be responsible for anything in any way.
C5
Enter current spot price here.
D5
Enter stop loss/target spot price level.
E5
Enter stop loss/target spot price level.
F5
Enter stop loss/target spot price level.
G5
Enter stop loss/target spot price level.
B21
Delta measures the expected change in option premium for 1 unit change in the underlying price. The delta for call option is always positive as the value of call option increases as the underlying goes up. The delta for put option is always negative as the value of put option decreases as the underlying goes up.
B22
Delta measures the expected change in option premium for 1 unit change in the underlying price. The delta for call option is always positive as the value of call option increases as the underlying goes up. The delta for put option is always negative as the value of put option decreases as the underlying goes up.
B24
Theta measures the expected change in premium for 1 unit change in time to expiry of the options. Theta is always negative for both call and put, as the value of both call and put goes down as the time to expiry decreases. In another words, it gives buyer of the option the value he would lose every day if his view is not correct.
B25
Theta measures the expected change in premium for 1 unit change in time to expiry of the options. Theta is always negative for both call and put, as the value of both call and put goes down as the time to expiry decreases. In another words, it gives buyer of the option the value he would lose every day if his view is not correct.
B27
Gamma measures expected change in delta of an option for 1 unit change in the price of underlying. This means that as the underlying price changes, delta of the option changes. Now changed delta is the expected change in value of option for unit change of the underlying price. Gamma is significantly higher when option is near expiry. So writers of the option must closely watch their position when the option is very near expiry. For buyers these are golden days to maximise their returns.
B28
Gamma measures expected change in delta of an option for 1 unit change in the price of underlying. This means that as the underlying price changes, delta of the option changes. Now changed delta is the expected change in value of option for unit change of the underlying price. Gamma is significantly higher when option is near expiry. So writers of the option must closely watch their position when the option is very near expiry. For buyers these are golden days to maximise their returns.
B30
Vega measures expected change in value of option for 1 unit change in volatility of the underlying. Vega is always positive for both call and put, as the value of both calls and puts increases as the volatility increases and vice-versa
B31
Vega measures expected change in value of option for 1 unit change in volatility of the underlying. Vega is always positive for both call and put, as the value of both calls and puts increases as the volatility increases and vice-versa
B33
Rho measures the expected change in value of an option for 1 unit change in interest rate. Generally this is considered insignificant for option valuation because interest rate does not change in wide range in short term.
B34
Rho measures the expected change in value of an option for 1 unit change in interest rate. Generally this is considered insignificant for option valuation because interest rate does not change in wide range in short term.
Black & Scholes Option Pricing Calculator Price of the underlying 250.00 Strike price nearest to spot level 250
Risk-free rate of interest(%) 9.0 Strike price interval 10
Annual volatility (%) 45.0
Time to expiration (days left) 28
Dividend yield (%) 0.0
How to USE this calculator Strike Price Premium Delta Theta Gamma Vega Rho
Put option 280 31.66 -0.786 -0.106 0.009 0.202 -0.175
B14
Enter basic inputs like Price of Underlying, Annualised Interest Rate (%), Annual Volatility, Time Remaining for the Option to Expire (in number of days) and Dividend Yield in the respective cells. Input cells are shown in blue coloured text. Enter the Strike Price that is nearest to the spot level. Enter the Strike Price interval. The option calculator would automatically compute the prices and Greeks for three out-of-the-money, near-the-money and in-the-money options, both calls and puts. Also the calculator would give you values of various option Greeks for your reference and usage. Output values shown in orange are for calls and those in brown are for puts. Disclaimer: The Sharekhan Option Calculator is designed for educational purpose only. It is intended to assist individuals in learning how options work, what factors affect an option's price and how a change in any one (or more) of them may affect that price. It is a tool for developing basic understanding of option pricing. The calculator has been built using the Black & Scholes option pricing method, which is most suited to European options. The user is advised to make use of values generated by this calculator at his own risk and cost of consequences. Sharekhan will not be responsible for anything in any way.
D14
Price of an option. The price that the buyer of the option pays to the seller for the right.
E14
Delta measures the expected change in option premium for one unit change in the underlying price. The delta for call option is always positive as the value of call option increases as the underlying goes up. The delta for put option is always negative as the value of put option decreases as the underlying goes up.
F14
Theta measures the expected change in premium for one unit change in time to expiry of the options. Theta is always negative for both call and put, as the value of both call and put goes down as the time to expiry decreases. In other words, it gives the buyer of the option the value he would lose every day if his view is not correct.
G14
Gamma measures expected change in delta of an option for one unit change in the price of underlying. This means that as the underlying price changes, delta of the option changes. Now changed delta is the expected change in value of option for unit change of the underlying price. Gamma is significantly higher when an option is near its expiry. So writers of an option must closely watch their position when the option is very near its expiry. For buyers these are golden days to maximise their returns.
H14
Vega measures expected change in value of option for 1 unit change in volatility of the underlying. Vega is always positive for both call and put, as the value of both calls and puts increases as the volatility increases and vice-versa.
I14
Rho measures the expected change in value of an option for 1 unit change in interest rate. Generally this is considered insignificant for option valuation because interest rate does not change in wide range in short term.
