Michael Rechenthin, PhD

Please follow me on twitter at @mrechenthin

Or watch "The Skinny on Options Data Science" on tastytrade.com

Option Pricing Calculator

Please make adjustments to the yellow areas only

Underlying Price 50
Strike Price 50 Price Delta Gamma Theta Vega Rho Extrinsic Intrinsic
Days Until Expiration 45 Call ### ### #VALUE! ### #VALUE! 0.00
#VALUE! ###
Volatility 20% Put ### ### #VALUE! ### #VALUE! 0.00
Risk-Free Rate 0.3%

Dictionary of Terms
Delta Measures the rate of change of an option's value relative to the change in the stock's price
Provides for an approximate likelihood of an option expiring in-the-money
Provides for an equivalent number of shares represented by an options position
Gamma Measures the rate of change of the option's delta relative to the change in the stock's price
Theta Measures the rate of change in the option's price per day of decay
Vega Measures the change in the option's price per move in the volatility
Rho Measures the change in the option's price per move in the risk-free rate. Only matters if the rate change is
large and/or there is a long time until expiration

To use the Excel Functions within your own spreadsheet, use the following:
=tastytrade_price_call( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)
=tastytrade_price_put( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)
=tastytrade_delta_call( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)
=tastytrade_delta_put( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)
=tastytrade_gamma( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)
=tastytrade_theta_call( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)
=tastytrade_theta_put( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)
=tastytrade_vega( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)
=tastytrade_rho_call( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)
=tastytrade_rho_put( underlying_price, strike_price, days_until_expiration, volatility, risk_free_rate)

Disclaimer:
I am not responsible for the accuracy of the information on this page
Michael Rechenthin, PhD
Please follow me on twitter at @mrechenthin
Or watch "The Skinny on Options Data Science" on tastytrade.com

Underlying Price 50 Please make adjustments to the yellow areas only

Strike 48
Volatility 20%
Risk-Free Rate 0.3%
Days until Expiration 45

Price of Call Price of Put

$12.00 $12.00

$10.00 $10.00
$8.00 $8.00
$6.00 $6.00
$4.00 $4.00
$2.00 $2.00
$0.00 $0.00
45 40 35 30 25 20 15 10 5 0 45 40 35 30 25 20 15 10 5 0
Days Until Expiration Days Until Expiration

Delta Call Delta Put

12.000 12.000
10.000 10.000
8.000 8.000
6.000 6.000
4.000
4.000
2.000
2.000
0.000
45 40 35 30 25 20 15 10 5 0 Days Until Expiration 0.000
Days Until Expiration 45 40 35 30 25 20 15 10 5 0

Gamma Theta
12.000 12.000

10.000 10.000

8.000 8.000
6.000 6.000
4.000 4.000
Theta
Call
2.000 Theta Put 2.000
0.000 0.000
45 40 35 30 25 20 15 10 5 0 Days Until Expiration
Days Until Expiration 45 40 35 30 25 20 15 10 5 0

Disclaimer:
I am not responsible for the accuracy of the information on this page