The volatility that makes Black-Scholes return the option price you type, and the Greeks at that volatility.
| 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 | $0.45 | $0.00 |
| $100.00 | $1.25 | $0.00 |
| $105.00 | $3.27 | $0.00 |
| $114.00 | $9.84 | $9.00 |
| $123.00 | $18.39 | $18.00 |
| $132.00 | $27.35 | $27.00 |
| $140.00 | $35.34 | $35.00 |
Implied volatility runs the pricing model backwards: of all the volatilities it could be given, it finds the one that reproduces the price. That is why it is quoted for options rather than the price itself; it puts contracts with different strikes and expiries on one scale.
A price at or below what the option is worth with no volatility at all has no implied volatility, and this page says so rather than printing a near-zero number. On a real chain, use the mid of the bid and the ask.
The price is at or below the option's value at zero volatility, which is roughly its intrinsic value carried at the rate and the yield. No volatility can produce a lower price, so the price is stale, mistyped, or the option is American and deep in the money.
Option price and Greeks 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.