Black-Scholes Options Pricing Calculator

Effect of a Change in the Stock Price

Volatility
(Std Dev)
30%
30%
30%
30%
30%
30%
30%
30%
30%
30%
30%
30%
30%
30%
30%
30%

d1
-0.195
-0.148
-0.101
-0.055
-0.009
0.037
0.082
0.126
0.170
0.214
0.257
0.300
0.343
0.385
0.427
0.468

d2
-0.406
-0.358
-0.312
-0.265
-0.219
-0.174
-0.129
-0.084
-0.040
0.003
0.047
0.090
0.132
0.175
0.216
0.258

BlackScholes
Call Value
$5.78
$6.22
$6.67
$7.14
$7.62
$8.13
$8.65
$9.19
$9.75
$10.33
$10.92
$11.53
$12.16
$12.80
$13.46
$14.13

Change this number to see how option prices change as the stock price changes by:
You may change these cells without changing spreadsheet formulas

BlackScholes
Put Value
$12.31
$11.75
$11.20
$10.67
$10.15
$9.66
$9.18
$8.72
$8.28
$7.86
$7.45
$7.06
$6.69
$6.33
$5.99
$5.66
$1

Effect of Stock price change on Option value

$16
$14
$12
$10
$8
$

Stock
Price
$100
$101
$102
$103
$104
$105
$106
$107
$108
$109
$110
$111
$112
$113
$114
$115

Exercise
or Strike
Days to
Treasury
Price
Expiration Return
$110
180
6.5%
$110
180
6.5%
$110
180
6.5%
$110
180
6.5%
$110
180
6.5%
$110
180
6.5%
$110
180
6.5%
$110
180
6.5%
$110
180
6.5%
$110
180
6.5%
$110
180
6.5%
$110
180
6.5%
$110
180
6.5%
$110
180
6.5%
$110
180
6.5%
$110
180
6.5%

$6
$4
$2
$0
$101 $103 $105 $107 $109 $111 $113 $115
$100 $102 $104 $106 $108 $110 $112 $114
Stock Price
Column H

Column I

Black-Scholes Options Pricing Calculator

Effect of a Change in the Exercise (Strike) Price
Effect of Strike price on option value

Exercise Days to
or Strike Expiratio Treasury Volatility
Price
n
Return (Std Dev)
$100
180
6.5%
30%
$101
180
6.5%
30%
$102
180
6.5%
30%
$103
180
6.5%
30%
$104
180
6.5%
30%
$105
180
6.5%
30%
$106
180
6.5%
30%
$107
180
6.5%
30%
$108
180
6.5%
30%
$109
180
6.5%
30%
$110
180
6.5%
30%
$111
180
6.5%
30%
$112
180
6.5%
30%
$113
180
6.5%
30%
$114
180
6.5%
30%
$115
180
6.5%
30%

d1
0.257
0.210
0.163
0.117
0.071
0.026
-0.019
-0.064
-0.108
-0.152
-0.195
-0.238
-0.280
-0.323
-0.364
-0.406

d2
0.047
0.000
-0.047
-0.093
-0.139
-0.185
-0.230
-0.274
-0.318
-0.362
-0.406
-0.449
-0.491
-0.533
-0.575
-0.617

BlackBlackScholes Scholes
Call Value Put Value
$9.93
$6.77
$9.44
$7.25
$8.96
$7.74
$8.50
$8.25
$8.06
$8.78
$7.64
$9.33
$7.24
$9.89
$6.85
$10.47
$6.48
$11.07
$6.12
$11.69
$5.78
$12.31
$5.46
$12.96
$5.15
$13.62
$4.86
$14.29
$4.58
$14.98
$4.31
$15.68

$16.00
$14.00
$12.00
$10.00

Stock
Price
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100

$18.00

$8.00
$6.00
$4.00
$2.00
$0.00
$101
$103
$105
$107
$109
$111
$113
$115
$100
$102
$104
$106
$108
$110
$112
$114
Exercise (strike) Price

Change this # to see how option prices change as the stock price changes by:
You may change the pink cells without changing spreadsheet formulas

$1

Column H

Column I

Black-Scholes Options Pricing Calculator

Effect of a Change in days to expiration
Effect of days to expiration on option values
Stock
Price
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100

Exercise Days to
or Strike Expiratio Treasury Volatility
Price
n
Return (Std Dev)
$110
180
6.5%
30%
$110
170
6.5%
30%
$110
160
6.5%
30%
$110
150
6.5%
30%
$110
140
6.5%
30%
$110
130
6.5%
30%
$110
120
6.5%
30%
$110
110
6.5%
30%
$110
100
6.5%
30%
$110
90
6.5%
30%
$110
80
6.5%
30%
$110
70
6.5%
30%
$110
60
6.5%
30%
$110
50
6.5%
30%
$110
40
6.5%
30%
$110
30
6.5%
30%

d1
-0.195
-0.215
-0.237
-0.261
-0.286
-0.314
-0.344
-0.377
-0.415
-0.458
-0.507
-0.565
-0.635
-0.723
-0.838
-1.003

d2
-0.406
-0.420
-0.436
-0.453
-0.472
-0.493
-0.516
-0.542
-0.572
-0.607
-0.647
-0.696
-0.757
-0.834
-0.938
-1.089

BlackBlackScholes Scholes
Call Value Put Value
$5.78
$12.31
$5.49
$12.21
$5.19
$12.10
$4.88
$11.98
$4.57
$11.86
$4.25
$11.73
$3.93
$11.60
$3.59
$11.46
$3.26
$11.31
$2.91
$11.16
$2.56
$11.00
$2.19
$10.83
$1.82
$10.66
$1.45
$10.47
$1.06
$10.28
$0.69
$10.10

Change this # to see how option prices change as days to expiration changes by:
You may change the pink cells without changing spreadsheet formulas

-10

$14.00

$12.00

$10.00

$8.00

$6.00

$4.00

$2.00

$0.00
180 170 160 150 140 130 120 110 100 90 80 70 60 50 40 30
Days to Expiration

Column H

Column I

Black-Scholes Options Pricing Calculator

Effect of a Change in the Treasury rate
Effect of Treasury rate on option value

$16.00

Stock
Price
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100

Exercise Days to
or Strike Expiratio Treasury Volatility
Price
n
Return (Std Dev)
$110
180
6.5%
30%
$110
180
6.3%
30%
$110
180
6.1%
30%
$110
180
5.9%
30%
$110
180
5.7%
30%
$110
180
5.5%
30%
$110
180
5.3%
30%
$110
180
5.1%
30%
$110
180
4.9%
30%
$110
180
4.7%
30%
$110
180
4.5%
30%
$110
180
4.3%
30%
$110
180
4.1%
30%
$110
180
3.9%
30%
$110
180
3.7%
30%
$110
180
3.5%
30%

d1
-0.195
-0.200
-0.204
-0.209
-0.214
-0.218
-0.223
-0.228
-0.232
-0.237
-0.242
-0.246
-0.251
-0.256
-0.260
-0.265

d2
-0.406
-0.410
-0.415
-0.420
-0.424
-0.429
-0.434
-0.438
-0.443
-0.448
-0.452
-0.457
-0.462
-0.466
-0.471
-0.476

BlackBlackScholes Scholes
Call Value Put Value
$5.78
$12.31
$5.75
$12.38
$5.71
$12.45
$5.68
$12.52
$5.64
$12.59
$5.61
$12.66
$5.57
$12.73
$5.54
$12.80
$5.50
$12.87
$5.47
$12.95
$5.43
$13.02
$5.40
$13.09
$5.36
$13.16
$5.33
$13.23
$5.29
$13.31
$5.26
$13.38

Change this number to see how option prices change as the Treasury return changes by:
You may change the pink cells without changing spreadsheet formulas

$14.00
$12.00
$10.00
$8.00
$6.00
$4.00
$2.00
$0.00
6.3% 5.9% 5.5% 5.1% 4.7% 4.3% 3.9% 3.5%
6.5% 6.1% 5.7% 5.3% 4.9% 4.5% 4.1% 3.7%
Treasury bill rate
Column H

-0.2%

Column I

Black-Scholes Options Pricing Calculator

Effect of a Change in the Volatility

Effect of volatility on option value

Stock
Price
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100
$100

Exercise Days to
or Strike Expiratio Treasury Volatility
Price
n
Return (Std Dev)
$110
180
6.5%
30%
$110
180
6.5%
29%
$110
180
6.5%
28%
$110
180
6.5%
27%
$110
180
6.5%
26%
$110
180
6.5%
25%
$110
180
6.5%
24%
$110
180
6.5%
23%
$110
180
6.5%
22%
$110
180
6.5%
21%
$110
180
6.5%
20%
$110
180
6.5%
19%
$110
180
6.5%
18%
$110
180
6.5%
17%
$110
180
6.5%
16%
$110
180
6.5%
15%

d1
-0.195
-0.209
-0.223
-0.239
-0.255
-0.273
-0.291
-0.311
-0.332
-0.355
-0.380
-0.407
-0.437
-0.470
-0.507
-0.548

d2
-0.406
-0.412
-0.420
-0.428
-0.438
-0.448
-0.460
-0.472
-0.487
-0.503
-0.521
-0.541
-0.564
-0.590
-0.619
-0.653

BlackBlackScholes Scholes
Call Value Put Value
$5.78
$12.31
$5.51
$12.04
$5.24
$11.77
$4.96
$11.49
$4.69
$11.22
$4.42
$10.95
$4.15
$10.68
$3.88
$10.41
$3.62
$10.15
$3.35
$9.88
$3.09
$9.62
$2.83
$9.36
$2.58
$9.11
$2.32
$8.85
$2.07
$8.60
$1.83
$8.36

Change this number to see how option prices change as volatility changes by:

-1.0%

$14.00
$12.00
$10.00
$8.00
$6.00
$4.00
$2.00
$0.00
29%
27%
25%
23%
21%
19%
17%
15%
30%
28%
26%
24%
22%
20%
18%
16%
Volatility
Column H

You may change the pink cells without changing spreadsheet formulas

Column I

Black-Scholes Options Pricing Calculator: Collar

Currently own common stock. Form a hedge as follows:
Sell a call with a high exercise price and buy a put with a low exercise price.
Make these equal for a zero-cost collar

Exercise or Days to
Stock Price Strike Price Expiration
$100
$120
180
$110
$120
160
$120
$120
140
$130
$120
120
$140
$120
100
$150
$120
80
$160
$120
60
$170
$120
40
$180
$120
20

Treasury
Return
6.5%
6.5%
6.5%
6.5%
6.5%
6.5%
6.5%
6.5%
6.5%

Volatility (Std
Dev)
30%
30%
30%
30%
30%
30%
30%
30%
30%

d1
-0.608
-0.195
0.227
0.676
1.174
1.760
2.514
3.629
5.860

d2
-0.819
-0.394
0.041
0.504
1.017
1.620
2.392
3.529
5.789

BlackBlackScholes Call Scholes Put

Value
Value
$3.16
$19.38
$6.03
$12.66
$10.33
$7.37
$16.18
$3.64
$23.51
$1.39
$32.05
$0.35
$41.31
$0.04
$50.85
$0.00
$60.43
$0.00

d2
0.523
1.029
1.563
2.147
2.817
3.633
4.716
6.376
9.815

BlackBlack+ initial call

Scholes Call Scholes Put initial put
+
Value
Value
Put- Call+Stock
$15.57
$3.16
$100.00
$23.35
$1.26
$105.23
$32.17
$0.39
$110.06
$41.54
$0.08
$113.90
$51.16
$0.01
$116.50
$60.83
$0.00
$117.95
$70.51
$0.00
$118.68
$80.19
$0.00
$119.15
$89.87
$0.00
$119.57

Change in collar value over time

$200.00
$180.00
$160.00
$140.00
$120.00

Exercise or Days to
Stock Price Strike Price Expiration
$100
$90.45
180
$110
$90.45
160
$120
$90.45
140
$130
$90.45
120
$140
$90.45
100
$150
$90.45
80
$160
$90.45
60
$170
$90.45
40
$180
$90.45
20

Treasury
Return
6.5%
6.5%
6.5%
6.5%
6.5%
6.5%
6.5%
6.5%
6.5%

Volatility (Std
Dev)
30%
30%
30%
30%
30%
30%
30%
30%
30%

d1
0.734
1.228
1.749
2.319
2.974
3.773
4.838
6.475
9.885

Change this number to see how the value of the hedged position changes as the stock price changes by:

$10

Change this number to see how the value of the hedged position changes as the days to expiration change by:

-20

You may change the pink cells without changing spreadsheet formulas

$100.00
$80.00
$60.00
$40.00
$20.00
$0.00
180

160

Column A

140

120

Column H

100

80

Column I

60

40

Column J

20

Black-Scholes Options Pricing Calculator: Collar

Currently own common stock. Form a hedge as follows:
Sell a call with a high exercise price and buy a put with a low exercise price.
Make these equal for a zero-cost collar

Exercise or Days to
Stock Price Strike Price Expiration
$100
$120
180
$90
$120
160
$80
$120
140
$70
$120
120
$60
$120
100
$50
$120
80
$40
$120
60
$30
$120
40
$20
$120
20

Treasury
Return
6.5%
6.5%
6.5%
6.5%
6.5%
6.5%
6.5%
6.5%
6.5%

Volatility (Std
Dev)
30%
30%
30%
30%
30%
30%
30%
30%
30%

Exercise or Days to
Stock Price Strike Price Expiration
$100
$90.45
180
$90
$90.45
160
$80
$90.45
140
$70
$90.45
120
$60
$90.45
100
$50
$90.45
80
$40
$90.45
60
$30
$90.45
40
$20
$90.45
20

Treasury
Return
6.5%
6.5%
6.5%
6.5%
6.5%
6.5%
6.5%
6.5%
6.5%

Volatility (Std
Dev)
30%
30%
30%
30%
30%
30%
30%
30%
30%

d1
-0.608
-1.206
-1.955
-2.923
-4.222
-6.062
-8.884
-13.837
-25.429

d1
0.734
0.218
-0.434
-1.280
-2.422
-4.049
-6.559
-10.991
-21.403

d2
-0.819
-1.404
-2.141
-3.095
-4.379
-6.202
-9.005
-13.937
-25.499

BlackBlackScholes Call Scholes Put

Value
Value
$3.16
$19.38
$0.91
$27.54
$0.13
$37.18
$0.01
$47.47
$0.00
$57.88
$0.00
$68.30
$0.00
$78.72
$0.00
$89.15
$0.00
$99.57

d2
0.523
0.019
-0.619
-1.452
-2.579
-4.189
-6.681
-11.090
-21.473

BlackBlack+ initial call

Scholes Call Scholes Put initial put
+
Value
Value
Put- Call+Stock
$15.57
$3.16
$100.00
$8.13
$6.04
$95.13
$2.95
$11.18
$91.04
$0.53
$19.07
$89.06
$0.02
$28.88
$88.87
$0.00
$39.17
$89.17
$0.00
$49.49
$89.49
$0.00
$59.81
$89.81
$0.00
$70.13
$90.13

Change in collar value over time

$120.00

$100.00

$80.00

Change this number to see how the value of the hedged position changes as the stock price changes by:

-$10

Change this number to see how the value of the hedged position changes as the days to expiration change by:

-20

You may change the pink cells without changing spreadsheet formulas

$60.00

$40.00

$20.00

$0.00
180

160

Column A

140

120

Column H

100

80

Column I

60

40

Column J

20