Option Pricing Calculator by Peter Hoadley

Hoadley Trading & Investment Tools: Black-Scholes Pricing Analysis
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Stock Price Analysis

Stock Price	Option Price	Time Value
68.32	0.485	0.485
70.27	0.777	0.777
72.22	1.184	1.184
74.16	1.725	1.725
76.11	2.414	2.414
78.05	3.261	3.261
80.00	4.266	4.266
81.95	5.424	3.478
83.89	6.725	2.833
85.84	8.154	2.316
87.78	9.695	1.910
89.73	11.330	1.599
91.68	13.041	1.365

Call Option Price & Time Value by Stock Price

Strike:		Volatility:	%
Stock Price:		Interest Rate:	%
Days to Expiration:		Option Type:	Call Put

Analyze by: Sensitivity Analysis	Stock Price Volatility Time Interest Rate Strike	Measure:	Price Delta Gamma Theta Vega Rho Probability of closing ITM

Snapshot	Calls	Puts
Price	4.842	3.057
Delta	0.596	-0.404
Gamma	0.039	0.039
Theta	-0.039	-0.026
Vega	0.127	0.127
Rho	0.072	-0.058
Elasticity	9.98	-10.69
Position	ITM	OTM
Probability of closing ITM	54.9%	45.1%

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