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Black-Scholes Option Pricer
Black-Scholes Option Pricer
European option price, Greeks, and payoff diagram
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Option type
Call
Put
Spot price (S)
units
Strike price (K)
units
Time to expiry (T)
years
Volatility (σ)
%
Risk-free rate (r)
%
Dividend yield (q)
%
d₁ = (ln(S/K) + (r − q + σ²/2)T) / (σ√T); call = S e^(−qT)N(d₁) − K e^(−rT)N(d₂)
Call option price
10.4506
Intrinsic value
0
Time value
10.4506
Break-even at expiry
110.4506
Greeks
Delta
0.636831
Gamma
0.018762
Vega per 1 vol point
0.37524
Theta per day
-0.017573
Rho per 1 rate point
0.532325
Model z-scores
d1 0.35 · d2 0.15
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Call expiration profit diagram
The expiration profit line crosses zero at break-even 110.45. At spot 100, expiration profit after paying the 10.45 premium is -10.45.
0
K 100
BE 110.45
S 100
Expiration profit after premium
