American Options Calculator
Enter the stock price manually or fetch it using the 'Fetch Data' button after entering a ticker.
Typically the yield on a short-term government bond (e.g., US Treasury Bill) matching the option's expiration. Enter as a percentage (e.g., 1.5 for 1.5%).
The market's forecast of likely stock price movement. Often derived from current option prices. Enter manually. Enter as a percentage (e.g., 25.5 for 25.5%).
Annual dividend yield of the underlying stock, expressed as a percentage (e.g., 0.5 for 0.5%). Use 0 if non-dividend paying.
Number of steps in the binomial tree calculation. Higher steps increase accuracy but also computation time. 100-200 is usually sufficient.
Options Chain for
Calls
| Strike | Last | Bid | Ask |
|---|
Puts
| Strike | Last | Bid | Ask |
|---|
Option Details for Calculation
Enter details manually or click an option from the chain above to populate Strike and Days.
Understanding the Calculator
This calculator uses the Cox-Ross-Rubinstein (CRR) binomial model to estimate the theoretical price and Greeks of American-style options. Enter a stock ticker and click "Fetch Data" to view a sample options chain (requires API integration for live data). Select an option from the chain or enter details manually, then provide volatility and other inputs to calculate.
Key Inputs:
- Stock Ticker: Symbol of the underlying asset (e.g., AAPL, MSFT). Used to fetch price and chain data.
- Current Stock Price: The current market price of the underlying asset.
- Strike Price: The price at which the option holder can buy (call) or sell (put) the underlying asset.
- Days to Expiration: The number of calendar days remaining until the option expires.
- Risk-Free Rate: The theoretical return of an investment with zero risk (e.g., T-Bill rate).
- Implied Volatility: The market's expectation of future stock price fluctuations. This is a crucial input, often derived from market prices.
- Dividend Yield: The annualized dividend payment as a percentage of the stock price.
- Binomial Steps: The number of steps used in the model. More steps generally lead to higher accuracy but require more computation.
Outputs (Greeks):
- Price: The estimated theoretical value of the option per share.
- Delta: Measures the rate of change of the option price with respect to a $1 change in the underlying stock price.
- Gamma: Measures the rate of change of Delta with respect to a $1 change in the underlying stock price.
- Vega: Measures the rate of change of the option price with respect to a 1% change in implied volatility.
- Theta: Measures the rate of change of the option price with respect to the passage of time (time decay), typically shown as decay per day.
Disclaimer: Option prices calculated are theoretical estimates. Options chain data shown is sample data unless integrated with a live API. Actual market prices and data may differ. This tool is for educational purposes only and not financial advice.