Advanced Options Calculator
Analyze trades with powerful options calculation tools.
Market's Expected Move
Calculate the price swing the market is pricing in, based on at-the-money (ATM) straddle costs.
What this calculator helps you do
This tool gives you a clear estimate of the price range the market anticipates for a stock by a specific expiration date. It works by using the combined premium of the at-the-money call and put options.
Ahead of an earnings announcement, you might enter a stock price of €120, an ATM call premium of €2.60, and an ATM put premium of €2.40. The calculator will show that the market is pricing in an expected move of €5.00 (€2.60 + €2.40), implying a price range of €115.00 to €125.00 by expiration.
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Sell vs. Exercise
Compare the profit from selling an in-the-money option on the market versus exercising it.
What this calculator helps you do
You hold an in-the-money option and need to decide if it's better to sell it to another trader or exercise it to take ownership of the shares. This tool reveals which action captures the most value.
An option's premium is made of its intrinsic value (the profit from exercising) and its extrinsic value (time and volatility value). When you exercise, you only capture the intrinsic value, forfeiting the extrinsic value.
For example, after a rally leaves your call option €10 in-the-money, you can enter the stock price, strike price, and the option's current premium. The calculator will show that selling preserves the option's remaining extrinsic value, almost always resulting in a higher profit than exercising.
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Option Pricing Model
Price an option and see its Greeks based on your assumptions.
What this calculator helps you do
Compare a quoted option price with a model estimate and review key sensitivities (Delta, Gamma, Theta, Vega, Rho).
Use it when evaluating covered calls, hedges, or "what-if" changes to volatility, rates, time, or dividends to confirm whether the displayed premium matches your outlook.
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Implied Volatility (IV)
Turn an option’s price into the market’s volatility estimate.
What this calculator helps you do
Enter a single option quote and solve for the IV that makes a standard pricing model match that price. Use it to compare how “expensive” options are across expirations and strikes, or to sanity-check the move you expect.
Example: If a €100 strike weekly call is quoted at €4.20 with the stock at €102, the solver returns the IV consistent with that €4.20 price—so you can judge whether that expectation fits your outlook.
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Implied Leverage
Estimate how strongly an option magnifies the underlying move by recovering IV and Delta from the market premium.
What this calculator helps you do
The tool first solves for the implied volatility that matches the observed premium, then feeds it into the appropriate pricing model to obtain Delta. From there it reports the leverage (Δ × S ÷ premium), letting you compare options on a like-for-like basis.
Example: A €100 strike call trading at €4.00 with 30 days to expiry might have a Delta near 0.50. The calculator shows an implied leverage of roughly 12.5×, meaning a 1% stock move translates into an estimated 12.5% swing in the option.
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IV Rank
This calculator shows you if option prices are currently cheap or expensive compared to their range over the past year.
What this calculator helps you do
Implied Volatility (IV) constantly changes. IV Rank helps you answer a crucial question: "Is today's IV high or low compared to its normal levels?"
This is important because:
- High IV Rank (e.g., above 70%) suggests option premiums are relatively expensive. This environment may be more favorable for option sellers who want to collect those high premiums.
- Low IV Rank (e.g., below 30%) suggests option premiums are relatively cheap. This environment may be more favorable for option buyers.
By entering the current IV and its 52-week high and low, you can instantly gauge the market environment and make more informed trading decisions.
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Break-even (ISO + Greeks)
A professional-grade calculator that shows you the daily stock move needed to break even on an option, after all costs and fees.
What this calculator helps you do
It answers a crucial question: "Is my price target for the stock ambitious enough to overcome time decay and transaction costs?"
By mapping out your required profit path day by day, you can test a trade's feasibility before you place it. See if your one-month price target is likely to be profitable, or if the option's time decay (Theta) is too aggressive for your outlook.
Simple vs. Pro Mode
Simple Mode
Get an immediate answer by entering the basics: the current stock price, strike, expiry, and what you actually paid for the option plus any costs. You'll see the core break-even curve instantly.
Pro Mode
Unlock advanced controls to fine-tune the model, including interest rates (r), dividends (q), custom volatility forecasts, and the full Greeks overlay (Δ, Γ, Θ, ν).
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Option Probability (ITM & Price-Touch)
Estimate the chance an option finishes in-the-money and the chance the underlying touches a target price before expiration.
What this calculator helps you do
- Quantify ITM probability for calls and puts by a given expiry.
- Estimate the chance the underlying hits a stop-loss or take-profit level.
- Compare strikes/targets and set risk limits with numbers—not guesses.
Example: Evaluating a €105 call with a €98 stop? Enter strike, stop, days, and volatility to see both the expiry ITM chance and the path probability.
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How it’s calculated
Market's Expected Move
The expected move is calculated by adding the price of an at-the-money (ATM) call option to the price of an ATM put option. The total cost of this straddle reflects the market's consensus on the stock's potential move by expiration. The expected price range comes from adding and subtracting this move from the current stock price.
This works because an ATM straddle only becomes profitable if the stock moves more than the total premium paid, making its cost a direct proxy for the market's breakeven expectation.
Sell vs. Exercise
Compare the profit from selling an in-the-money option on the market versus exercising it.
You hold an in-the-money option and need to decide if it's better to sell it to another trader or exercise it to take ownership of the shares. This tool reveals which action captures the most value.
An option's premium is made of its intrinsic value (the profit from exercising) and its extrinsic value (time and volatility value). When you exercise, you only capture the intrinsic value, forfeiting the extrinsic value.
For example, after a rally leaves your call option €10 in-the-money, you can enter the stock price, strike price, and the option's current premium. The calculator will show that selling preserves the option's remaining extrinsic value, almost always resulting in a higher profit than exercising.
The calculator compares the two possible outcomes:
This is the full market price you receive, which includes both intrinsic and extrinsic value.
This is the option's immediate worth if exercised. For a call, it's Stock Price - Strike Price. For a put, it's Strike Price - Stock Price.
Selling an option is almost always more profitable because you capture the option's extrinsic value (also known as time value). This value is forfeited when you exercise.
Note
This calculation does not include brokerage commissions or other fees, which can affect the final profit of either transaction.
How it’s calculated
European options use the Black–Scholes model with a continuous dividend yield input to solve for price and Greeks.
American options use a Leisen–Reimer binomial tree, which captures early exercise value while matching the risk-neutral moments of the diffusion process.
Disclaimer
These are theoretical values based on the inputs you provide. Actual market prices may differ because of liquidity, bid-ask spreads, volatility smiles, and other market frictions.
Implied Volatility (IV)
We invert a standard option model to find the volatility that reproduces the market premium.
European options: Black–Scholes–Merton (with dividends).
American options: an American lattice to account for early exercise.
Note
Implied volatility estimates assume the selected model and continuous monitoring; real-world quotes can shift with market microstructure, discrete dividends, or early exercise premia.
Implied Leverage
We first recover the market-implied volatility that reconciles the observed option premium with the selected style (European or American).
That implied volatility is then fed into the same pricing model to obtain Δ (delta), ensuring the sensitivity reflects the market price you entered.
Finally we scale delta by the stock price and divide by the option premium to express how many “share equivalents” you control per unit of option cost.
Sign matters
Calls have positive deltas (option price tends to rise with the stock). Puts have negative deltas, so the reported leverage shows how strongly the option should move in the opposite direction when the stock falls.
IV Rank
IV Rank measures the current Implied Volatility on a simple scale from 0% to 100% relative to its 52-week range.
It is calculated with the following formula:
An IV Rank near 0% means the current volatility is at or near the lowest point it has been in the last year.
An IV Rank near 100% means the current volatility is at or near its highest point in the last year.
How It’s Calculated
The calculator uses two complementary methods to give you a complete picture:
ISO (Model) Curve
The core of the analysis. The model works backward from your break-even target. For every day until expiry, it re-prices the option and solves for the one stock price where the option's value covers your entire initial cost. This is a full, daily re-valuation.
Greeks Overlay (Optional)
This curve estimates your daily P&L headwinds. It uses the Greeks to show the stock move needed just to fight off the negative effects of time decay (Theta) and potential volatility changes (Vega) each day.
Why it’s useful (quick example)
Planning a long put on AAPL? Enter your actual fill and expiry. If the ISO line at Day 30 shows a required move of −2.3%, but your personal target is −5% for the month, it suggests your trade has a good buffer to be profitable (subject to IV). Turn on the Greeks overlay to see exactly how much time decay is working against you each day.
How it’s calculated
ITM probability uses the Black-Scholes risk-neutral framework: the result corresponds to the N(d₂) term (calls) or N(−d₂) (puts), adjusted for dividends.
Price-touch probability models the underlying as a GBM and applies the standard continuous-monitoring barrier formula (reflection principle) under risk-neutral drift (r − q).
Time can be trading days (252) or calendar days (365); volatility is annualized.
Note
These are model-based estimates, not guarantees, and may differ from discretely monitored markets.