Advanced Options Calculator
Analyze trades with powerful options calculation tools.
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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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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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 paid for the option. Shows the core break-even curve only, ignoring cost adjustments.
Pro Mode
Unlock advanced controls to fine-tune the model, including interest rates (r), dividends (q), custom volatility forecasts, and cost modelling options.
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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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Market's Implied Earnings Move Calculator
Estimate the price swing the market is pricing in using the 85% rule on the most at-the-money (ATM) call and put you can find, even when the stock isn’t sitting exactly on the strike.
What this calculator helps you do
This tool derives the market's expected volatility from option prices. While the total cost of a Straddle tells you the Breakeven point, professional traders typically estimate the actual Expected Move (1 Standard Deviation) as 85% of the Straddle cost.
The Expected Move (1 Standard Deviation) represents where the stock should stay roughly 68% of the time; the 85% rule brings the breakeven-based straddle pricing back to that probability range.
This adjustment accounts for the “Vol Crush” and residual value that remains in the options after the event, giving you a statistically more probable price target than simply adding the full premiums together.
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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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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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How it’s calculated
Pricing models (theory values)
European options are priced with Black–Scholes–Merton, using a continuous dividend yield. The model outputs both the fair value and the full Greek set.
American options run through a Leisen–Reimer binomial lattice to capture early-exercise value while matching the diffusion moments of the lognormal 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.
Probability models
ITM probability uses the risk-neutral Black–Scholes framework: for calls it reports N(d₂), for puts N(−d₂), with continuous dividends reducing the drift.
Price-touch probability is calculated using the Reflection Principle (First Passage Time), adjusted for discrete daily monitoring. This models the chance of the stock hitting the target level at any point before expiration, regardless of where it closes.
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.
Break-even curves (ISO + Greeks)
The analysis blends a full pricing solve with a faster Greek-based overlay:
ISO (Model) Curve
Each day to expiry, the solver re-prices the option (binomial for American, Black–Scholes for European) and finds the single stock price that recovers your premium plus trading costs. When less than a day remains, it snaps to the intrinsic shortcut to avoid lattice noise.
Greeks Overlay (Optional)
The overlay applies the local Greek sensitivities—Δ, Γ, Θ, and Vega—to estimate the stock move needed to offset decay and volatility drift on that date. It is directional (sign flips for puts) and capped to keep extreme moves realistic.
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.
Implied Volatility (IV)
We back out the volatility that makes the chosen pricing model exactly match the market premium. European quotes invert Black–Scholes–Merton; American quotes use a binomial lattice so early exercise value is captured before solving for σ.
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
First, we solve for the market-implied volatility that matches the observed premium for the chosen style (European or American).
Next, that IV feeds back into the same pricing engine to compute Δ (delta), so the sensitivity aligns with the market price you provided.
Finally, leverage scales delta by the stock price and divides by the option premium, showing how many “share equivalents” your option controls per unit of 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.
Market's Implied Earnings Move Calculator
This tool derives the market's expected volatility from option prices. While the total cost of a Straddle tells you the Breakeven point, professional traders typically estimate the actual Expected Move (1 Standard Deviation) as 85% of the Straddle cost.
The Expected Move (1 Standard Deviation) is the range the stock statistically stays inside roughly 68% of the time. The 85% rule adjusts the breakeven-based straddle cost down to that probability range, reflecting the premium that remains after the event (Vol Crush).
Pick the most at-the-money call and put you can find (even if the stock is between strikes). Use their shared strike as the anchor, then read the implied move as the “likely” 1SD range and the breakeven move as the hurdle for the straddle to profit.
Use the current stock price only to express the move as a percent change; the probability range itself is anchored to the strike price you are tracking. Experienced traders get a probability-aligned range, while newer traders are guided on which options to select and how to interpret the “likely” versus “breakeven” outputs.
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: The only common exception is just before an ex-dividend date. If the upcoming dividend exceeds the Extrinsic Value, exercising might yield a higher total return.
Note
This calculation does not include brokerage commissions or other fees, which can affect the final profit of either transaction.
IV Rank
IV Rank places the current Implied Volatility on a scale from 0% to 100% relative to its 52-week absolute range.
Interpretation:
- 0% – 20% (Low): Volatility is at the lower end of its yearly range. Options are generally cheap.
- 20% – 50% (Neutral): Volatility is near its average.
- 50% – 100% (High): Volatility is at the higher end of its yearly range. Options are generally expensive.
Note on New Highs/Lows: If the current IV is higher than the previous 52-week high, the Rank will show as 100% (New High). Conversely, if it drops below the 52-week low, it will show as 0% (New Low).
Important Distinction: This tool calculates IV Rank, not IV Percentile.
- IV Rank looks at the absolute high and low prices.
- IV Percentile looks at the frequency of prices (how many days the IV was below the current level).
- While similar, IV Rank can be more sensitive to single-day volatility spikes.