Options Pricing Calculator 2026
Instantly calculate call and put option premiums using the Black-Scholes model. Analyze the Greeks (Delta, Gamma, Theta, Vega) and assess moneyness.
Option Parameters
Enter the underlying asset details and market conditions to calculate the option premium
Select whether you are pricing a Call or a Put option.
The current market price of the underlying stock or asset.
The predetermined price at which the option can be exercised.
Number of calendar days until the option contract expires.
The theoretical rate of return of an investment with zero risk (e.g., UK Gilts).
The annualized implied volatility of the underlying asset.
The expected annual dividend yield of the underlying asset (leave 0 if none).
Your Option Valuation
Estimated fair value, intrinsic/time value, and the Greeks
Enter your option parameters above and click Calculate Premium to reveal the Black-Scholes valuation and risk metrics.
Option Moneyness & The Greeks
Quickly reference how moneyness affects intrinsic value and the typical range of Delta for call options.
| Moneyness | Call Intrinsic Value | Put Intrinsic Value | Typical Call Delta |
|---|---|---|---|
| Deep ITM | S – K (High) | K – S (High) | ~ 0.80 to 1.00 |
| ITM | S – K (Positive) | K – S (Positive) | ~ 0.60 to 0.80 |
| ATM | ~ £0 | ~ £0 | ~ 0.50 |
| OTM | £0 | £0 | ~ 0.20 to 0.40 |
| Deep OTM | £0 | £0 | ~ 0.00 to 0.20 |
Options Trading FAQ
Everything you need to know about the Black-Scholes model, the Greeks, volatility, and option moneyness.
The Black-Scholes model is a mathematical formula used to calculate the theoretical fair value (premium) of European-style options. It factors in the underlying asset’s price, the strike price, time to expiration, risk-free interest rate, and volatility to determine how much an option should cost.
The Greeks are risk measures indicating how an option’s price is sensitive to different factors. Delta measures sensitivity to the underlying price, Gamma to the rate of change of Delta, Theta to time decay, Vega to volatility, and Rho to interest rate changes.
Volatility represents the expected magnitude of price swings in the underlying asset. Higher volatility increases the probability that an option will end up In-The-Money (ITM), thereby increasing both Call and Put premiums. This sensitivity is measured by Vega.
A Call option gives the buyer the right to purchase the underlying asset at the strike price, profiting when the asset’s price rises. A Put option gives the buyer the right to sell the underlying asset, profiting when the asset’s price falls.
An option is In-The-Money (ITM) if it has intrinsic value. For a Call, this means the underlying price is above the strike price. For a Put, the underlying price is below the strike price. ITM options are more expensive but have a higher probability of profit at expiration.
Theta measures the rate at which an option loses value as time passes, assuming all other factors remain constant. It is typically expressed as the daily decay in the option’s premium. Time decay accelerates as the option approaches its expiration date, especially for At-The-Money (ATM) options.