Black-Scholes Option Pricing, Intrinsic Value & Delta Calculator

Estimate option theoretical premium, intrinsic value, and volatility time value.

Black-Scholes Call Option Price
USD 10.33
Theoretical Put Option Price USD 4.36
Call Delta (Δ) 0.65 Δ
Call Intrinsic Value USD 5.00
Call Extrinsic Time Value USD 5.33
Inputs
Amounts are treated in the selected currency; no foreign-exchange conversion is applied.
USD
Current underlying stock or asset spot price.
USD
Option strike / exercise price.
%
Annualized implied volatility (σ %).
%
Annualized risk-free interest rate (%).
days
Calendar days remaining until option expiration.
Results & Graph
Black-Scholes Call Option Price
USD 10.33
Theoretical Put Option Price
USD 4.36
Call Delta (Δ)
0.65 Δ
Call Intrinsic Value
USD 5.00
Call Extrinsic Time Value
USD 5.33

Black-Scholes Call Option Price

Graph 1 • Spot Price Sensitivity Recalculates the domain equation across 50% to 150% of the primary input while holding other parameters constant.
0 USD 51.8 USD 103.6 USD 50%: 0 USD 0 50% 75%: 0.02 USD 0.0 75% 100%: 10.33 USD 10.3 100% 125%: 51 USD 51 125% 150%: 95.97 USD 96.0 150%
Graph 2 • Primary & Supporting Metric Comparison Compares the primary output alongside supporting domain benchmarks.
Black-Scholes Call Option Price USD 10.33 Theoretical Put Option Price USD 4.36 Call Delta (Δ) 0.65 Δ Call Intrinsic Value USD 5.00
Graph 3 • Exact Output Table & Units Displays each calculated output in its exact domain unit.
Black-Scholes Call Option PriceUSD 10.33Theoretical Put Option PriceUSD 4.36Call Delta (Δ)0.65 ΔCall Intrinsic ValueUSD 5.00Call Extrinsic Time ValueUSD 5.33
Summary: At spot USD 180.00 strike USD 175.00 28% IV, and 45 DTE, theoretical Call value is USD 10.33 (Delta 0.653) and Put value is USD 4.36.
Summary: At spot USD 180.00 strike USD 175.00 28% IV, and 45 DTE, theoretical Call value is USD 10.33 (Delta 0.653) and Put value is USD 4.36.
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Formula & Mathematical Methodology: Black-Scholes Option Mathematical Formula

Call ≈ Intrinsic + 0.3989 × S × σ × √T × exp(−d₁²/2)
Put = Call − S + K·e−rT
Call ≈ Intrinsic + 0.3989 × S × σ × √T × exp(−d₁²/2); Put = Call − S + K·e^(−rT)
  • spotPrice: Spot Price (USD)
  • strikePrice: Strike Price (USD)
  • volatilityPct: Volatility Pct (%)
  • riskFreeRatePct: Risk Free Rate Pct (%)
  • daysToExpiry: Days To Expiry (days)

Rounding: Intermediate calculations retain full IEEE-754 floating-point precision; displayed currency and ratios round to 2 decimal places.

Worked Example: Benchmark Scenario: Black-Scholes Option

Estimate option theoretical premium, intrinsic value, and volatility time value.

  1. Enter the portfolio, option, lease, or corporate balance-sheet inputs.
  2. Evaluate the core equation: Call ≈ Intrinsic + 0.3989 × S × σ × √T × exp(−d₁²/2); Put = Call − S + K·e^(−rT).
  3. Inspect the primary valuation output, risk metrics, and 3 visual SVG graphs.
Result: Computes Black-Scholes Option using Call ≈ Intrinsic + 0.3989 × S × σ × √T × exp(−d₁²/2); Put = Call − S + K·e^(−rT).

Frequently Asked Questions

How does the Black-Scholes Option Pricing, Intrinsic Value & Delta Calculator calculate results?

It evaluates Call ≈ Intrinsic + 0.3989 × S × σ × √T × exp(−d₁²/2); Put = Call − S + K·e^(−rT) directly in your browser and updates the three domain SVG visualizations immediately as you adjust any input.

Can I compare multiple investment or financing scenarios side by side?

Yes. Click "Compare (0/3)" in the results toolbar to pin up to three scenarios side by side.

Are my financial numbers kept private?

Yes. All calculations run 100% locally in your browser with zero server uploads.

Finance & Investing · Quantitative Investing & Derivatives

Black-Scholes Option Pricing, Intrinsic Value & Delta Calculator: inputs, method, and how to read the result

Estimate option theoretical premium, intrinsic value, and volatility time value.

Choose inputs for the case you are checking

The defaults are illustrative. Replace them with values for your case and keep the units shown beside each field.

  • Display Currency: Amounts are treated in the selected currency; no foreign-exchange conversion is applied.
  • Spot Price: Current underlying stock or asset spot price.
  • Strike Price: Option strike / exercise price.
  • Volatility Pct: Annualized implied volatility (σ %).

What the calculation includes

With the default values shown, Black-Scholes Call Option Price is USD 10.33. The calculation follows Black-Scholes Option Mathematical Formula; the formula and variable definitions above show how the inputs combine.

One-input check: With the other defaults held constant, changing Spot Price from 180 USD to 198 USD changes Black-Scholes Call Option Price from USD 10.33 to USD 24.78. This is a comparison inside the calculator's stated model, not a prediction.

Where to use caution

  • Uses standard quantitative finance, GAAP/IFRS operating ratios, and continuous/periodic compounding conventions.
  • For educational and analytical modeling only; consult a licensed CPA, CFA, or fiduciary advisor before executing tax or derivative transactions.

Scope: Global Financial & Corporate Valuation Standard Check the assumptions and limitations against your situation before relying on the estimate.

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