Option Value Estimation Calculator
Estimate theoretical option prices and option Greeks (Delta, Gamma, Theta, Vega, Rho) using Black-Scholes.
Contract Details
30 days
22%
6.5%
Option Valuation
Theoretical Price per Share
₹0.00
₹0.00 per lot (50 shares)
Intrinsic Value₹0.00
Time Value₹0.00
Break-Even Price₹0.00
Option Greeks
Delta (Δ): 0.0000
Gamma (Γ): 0.000000
Theta (Θ): 0.00
Vega (ν): 0.00
Price Your Options
Enter the underlying price, strike price, time to expiration, risk-free rate, and implied volatility. The calculator computes theoretical option prices using Black-Scholes along with all Greeks (Delta, Gamma, Theta, Vega). It helps evaluate whether an option is overpriced or underpriced relative to theoretical value.
Key Components
- Underlying Asset Price: Current spot price of stock/index.
- Strike Price: Agreed execution price.
- Time to Expiration: Days remaining until contract expiry.
- Volatility: Expected annual price fluctuation (IV %).
- Risk-Free Rate: Prevailing interest rate.
How It Works
Uses Black-Scholes formula:
- Call Option Value: S·N(d₁) - K·e⁻ʳᵀ·N(d₂)
- Put Option Value: K·e⁻ʳᵀ·N(-d₂) - S·N(-d₁)