Explore Black-Scholes option pricing with interactive controls, payoff diagrams, and Greeks.
The current market price of the stock. This is what you’d pay to buy shares right now.
The price at which you can exercise your option. For a call, you profit when spot goes above strike. For a put, you profit when spot drops below.
How long until the option expires. More time = more expensive option, because there’s more chance the stock could move in your favor.
How much the stock price swings. Higher volatility = more expensive options, because bigger swings mean bigger potential payoffs.
The return you’d get from a ‘safe’ investment like Treasury bonds. This is the opportunity cost of tying up money in an option.
Call Price
$19.05
Put Price
$10.83
Theta Decay
Set time to expiry at 1.00 yr. Note the call price. Now drag it to 0.10 yr. Watch how the price drops — that’s theta decay. Options lose value every day just from time passing.
Vega Effect
Set volatility to 10%. Note the prices. Now drag to 80%. Options get dramatically more expensive — this is why options spike before earnings announcements.
In the Money vs Out
Set strike to $120 (well below spot at $150). That call is deep in the money. Now set strike to $180. The call is cheap because it’s out of the money — the stock needs a big move to be worth anything.
Delta
Price sensitivity to $1 move in underlying
Gamma
0.0117
Rate of change of delta per $1 move
Theta
Daily time decay in option value
Vega
0.3949
Price change per 1% move in volatility