Every input that goes into an option's price is knowable — except one: how much the stock will actually move. Feed in everything you can see, plus the option's real market price, and this tool runs the Black-Scholes model backwards to solve for the missing piece: implied volatility — and every Greek that falls out of it.
New to option pricing? Read the plain-English guide behind this tool →
Normally you'd put a volatility in and get a price out. Here we do the reverse: we already know the price (C or P) — it's on the screen — so we solve for the one unknown, σ (sigma), the volatility the market is implying.
Your inputs
Prices are per share. Rate is annualised. Results update as you type.
Implied Volatility
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The Greeks, at this volatility
Once we've solved for volatility, we have every input the model needs — so the Greeks fall right out. They're sensitivities, not an edge: a live readout of exactly what this position is exposed to.
How much the price moves for every $1 the stock moves — and a rough gauge of the odds of finishing in-the-money.
How fast delta itself changes as the stock moves. Small far from the strike, twitchy near the money and near expiry.
How much value the option loses with each day that simply passes — the seller’s tailwind, the buyer’s leak.
How much the price moves when implied volatility itself changes. Buyers want it up, sellers want it already high.
How the price responds to a change in rates. Tiny on short-dated trades — it only earns attention far out in time.
That number is the market's opinion on how much the stock will move — nothing more, nothing less. Black-Scholes stopped being a machine that tells you the price a long time ago; today its real job is exactly this, run in reverse, to reveal the one thing you can't otherwise see. If any of this feels unfamiliar, I walk through the whole idea — intrinsic vs extrinsic value, the model, and the Greeks — in Understanding Option Pricing.
Values are per share (a standard contract is 100 shares). Theta is shown per calendar day; vega and rho per one-point (1%) move. This tool is for education, not financial advice — pricing assumes European exercise and no dividends, so figures may differ slightly from your broker's.
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