Black-Scholes Option Pricer
European option price, Greeks, and payoff diagram
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