Black-Scholes Option Pricing Calculator
Price European calls and puts with full Greeks. Powered by the same engine pricing thousands of options daily for AI agents — under 70 ms per calculation.
Results
Greeks
Payoff at expiration
With the stock at $100 and the strike at $100 (at-the-money), 91 days to expiry, and 20.0% annualized volatility, the call is worth $4.62 and the put is worth $4.62. The call's delta of 57 means it moves roughly $0.57 for every $1 the stock moves; the put moves the opposite direction by a similar amount. Theta is per day — both options lose a small amount of value daily as expiration approaches.
Track positions over time, get IV-crush alerts, run multi-leg strategies. $9/mo when it ships.
Open a brokerage account and trade the strategies you analyze here. (Affiliate link — to be wired post-launch.)
Frequently asked questions
Understanding the Black-Scholes formula
The Black-Scholes-Merton model, published in 1973, gives a closed-form price for European options under five assumptions: log-normal stock prices, constant volatility, constant risk-free rate, no dividends, and continuous trading with no transaction costs. Most of these assumptions are wrong in practice, which is why the model is a starting point — not a final answer — for serious options trading.
Inputs explained
Stock price (S) is the current spot price of the underlying. Strike (K) is the price at which the option holder can buy (call) or sell (put) the underlying. Time to expiry (T) is in years — three months ≈ 0.25, thirty days ≈ 0.082. Risk-free rate (r) is typically the yield on a short-dated Treasury matching the option's tenor. Volatility (σ) is the annualized standard deviation of the log returns of the underlying — almost always estimated from historical prices or implied from market option prices.
The Greeks, in plain English
Delta is how much the option price changes when the stock moves $1. Gamma is how much delta changes when the stock moves $1 — high gamma means delta is unstable. Vega is how much the option price changes when implied volatility moves 1 percentage point. Theta is daily time decay — the dollar amount the option loses each day, all else equal. Rho is sensitivity to interest rate changes, usually small for short-dated options.
When Black-Scholes breaks down
The model assumes constant volatility, but real markets have volatility smiles and skews. It assumes lognormal returns, but real returns have fat tails. It ignores dividends and American-style early exercise — for either case, use the American Option Calculator, which prices a binomial tree and reports the early-exercise premium directly. For path-dependent exotics (Asian, barrier, lookback), use the dedicated exotic endpoints in the API.
How this calculator works
When you submit the form, this page makes a server-side POST to https://api.quantoracle.dev/v1/options/price, the same endpoint that AI agents and trading bots call directly. The API runs a deterministic Black-Scholes implementation and returns the price, the full set of Greeks (including second-order Greeks like vanna and volga), and the implied probability of finishing in the money. Computation typically completes in 15-30 ms; total round-trip including network is usually under 200 ms.