Option Calculators User Manual
Option Calculators provide means for implied volatility calculation, option contracts pricing and
calculation of option price sensitivities (greeks). Currently, through our website you can access
there different Option Calculators:
Basic Equity Option Calculator - using end of day data by default.
Live Equity Option Calculator - using live option and underlying security quotes.
Basic Futures Option Calculator (part of Advanced Futures Options service) - using end of day data.
Each Option Calculator enables you:
• Forecast option’s theoretical value and calculate sensitivities (greeks) based on the volatility
you consider fair. In Live Calculator you can use 20-minutes delayed volatility here (see
• Calculate implied volatility of exchange-traded options using 20-minutes delayed bid/ask
quotes (Live version) or end of day data
• Perform these calculations for any not listed option with custom parameters based on your
Follow the links above to see examples of each scenario or read general field-by-field description of
the service first.
The calculator screen consists of three parts: Input data (left of the screen), Output Price and greeks
data (right) and Volatility Calculation (bottom right). Once you enter underlying or option symbol
in the symbol box at the top and press ‘Go’ button, input parameters will be populated with default
Option calculator uses two different pricing models, Cox-Ross-
Rubinstein binomial tree for American style options and Black-
Scholes pricing model for European style options (mostly Index
Stock Last Price/Index Value (20-minutes delayed in Live version)
Option strike; nearest to at-the-money strike is set by default
Option expiry; closest expiry set by default
Days to Expiration
Days remaining to expiry; you can change this to analyze a non-
standard option or perform what-if