Black-Scholes with a dividend yield: the price of a European call or put, and its delta, gamma, theta, vega and rho, at the spot, volatility and rate you type.
| Underlying price | Value today | Value at expiry |
|---|---|---|
| $60.00 | $0.00 | $0.00 |
| $69.00 | $0.00 | $0.00 |
| $78.00 | $0.00 | $0.00 |
| $87.00 | $0.01 | $0.00 |
| $96.00 | $0.40 | $0.00 |
| $100.00 | $1.17 | $0.00 |
| $105.00 | $3.17 | $0.00 |
| $114.00 | $9.79 | $9.00 |
| $123.00 | $18.38 | $18.00 |
| $132.00 | $27.35 | $27.00 |
| $140.00 | $35.34 | $35.00 |
Black-Scholes prices a European option from five inputs and one assumption: that the log of the price at expiry is normally distributed with the volatility you type. The dividend yield lowers the forward price, and with it calls, the way it does for an index.
Theta is per calendar day, vega per one point of volatility and rho per one point of interest rate, all per share; multiply by 100 for one contract. US equity options are American, so on a stock about to pay a dividend, or a deep in the money put, the listed price can sit a little above this one.
Because that is how decay is read. The formula gives theta per year; this page divides by 365 so the number is what one more calendar day costs, per share.
Implied volatility calculator · The implied volatility at your own fill · every calculator
Every price here is one you typed; nothing is fetched and nothing is stored. The numbers travel in the address of this page, so a result can be linked to. Results are at expiry for one structure, before commissions and fees, and assume no early assignment. An illustration of the arithmetic, not advice.