I’m sharing an option pricing calculator I built that supports both European and American style options with full Greeks calculation.
Features
- Pricing Models: Black-Scholes for European options, Trinomial tree for American options
- Full Greeks: Delta, Gamma, Vega, Theta, Rho and more
- Implied Volatility: Calculate IV from market price
- Intraday Precision: Supports trading hours and current time for precise DTE calculation
- Trading Days Mode: Option to use trading days (excludes weekends and holidays) instead of calendar days
- Dividend Support: Add discrete dividends with ex-dividend dates
- Holiday Calendar: Customizable holiday list for accurate trading day calculation
How to Use
- Enter the option parameters (trade date, expiry, spot price, strike, volatility, etc.)
- Choose between Call/Put and American/European style
- Configure trading hours and holidays if needed
- Click “Calculate” to get the option price and Greeks
- Use the “Implied Vol” tab to calculate implied volatility from a market price
Try It Out
Click the link below to open the calculator:
Technical Notes
- The calculator uses a high-performance pricing engine written in JavaScript
- American options are priced using a Black-Scholes or Trinomial tree model
- All calculations run locally in your browser - no data is sent to any server
Useful for options traders, quants, and anyone learning about derivatives pricing.
Enjoy!