Option Calculator

Option Calculator

A Black-Scholes option pricing toolkit that runs entirely in your terminal. Feed it a spot price, strike, volatility, and time to expiration — it returns theoretical prices, Greeks, implied volatility, payoff tables, and more.

All math is computed inline via Python 3 using the Abramowitz & Stegun approximation for the normal CDF (no scipy dependency).

Commands

price

option-calculator price      

Compute the Black-Scholes theoretical price for a European call or put.

| Argument | Description | |----------|-------------| | type | call or put | | spot | Current underlying price | | strike | Strike price | | rate | Risk-free rate (annualized, e.g. 0.05) | | vol | Implied volatility (annualized, e.g. 0.20) | | days | Days to expiration |

greeks

option-calculator greeks      

Compute the five standard Greeks: Delta, Gamma, Theta (per day), Vega (per 1% vol move), and Rho (per 1% rate move). Same arguments as price.

iv

option-calculator iv      

Back out the implied volatility from a known market price using Newton-Raphson iteration. Converges to 1e-8 precision within 200 iterations.

| Argument | Description | |----------|-------------| | market_price | The observed option premium |

payoff

option-calculator payoff    [range]

Print a table showing intrinsic value and net P/L at expiration across a range of underlying prices. Default range is ±20 around the strike.

compare

option-calculator compare     

Side-by-side comparison of two strikes — call price, put price, deltas, and gamma. Uses a fixed risk-free rate of 5%.

chain

option-calculator chain   

Generate a full option chain with calls, puts, deltas, and gamma across strikes from ~80% to ~120% of spot. Each row is flagged as ITM, ATM, or OTM relative to the call side.

pnl

option-calculator pnl    

Calculate profit or loss on an existing position. Assumes standard 100 shares per contract. Use negative qty for short positions.

breakeven

option-calculator breakeven   

Compute the breakeven underlying price at expiration and show max loss for the buyer.

help

option-calculator help

Print the built-in usage guide.

version

option-calculator version

Print the current version string.

Examples

# Price a 30-day call: spot=100, strike=105, rate=5%, vol=20%
$ option-calculator price call 100 105 0.05 0.20 30
Black-Scholes Price (call):
  0.7677
Greeks for a 60-day put: spot=50, strike=48, rate=3%, vol=35%
$ option-calculator greeks put 50 48 0.03 0.35 60
Greeks (put)  S=50 K=48 r=0.03 σ=0.35 T=60d
──────────────────────────────────
Delta:  -0.312245
Gamma:  0.052040
Theta:  -0.020369  (per day)
Vega:   0.074853  (per 1% vol)
Rho:    -0.029259  (per 1% rate)
Solve implied volatility from a market price of 3.50
$ option-calculator iv call 100 105 0.05 30 3.50
Implied Volatility Solver (call)  S=100 K=105 r=0.05 T=30d  Market=3.50
──────────────────────────────────
Implied Volatility: 0.416566  (41.66%)
Payoff table for a call, strike=100, premium=5.50
$ option-calculator payoff call 100 5.50
Payoff Table (call)  K=100  Premium=5.50
──────────────────────────────────
  Underlying    Intrinsic       Net P/L
------------------------------------
       80.00        0.00       -5.50
       85.00        0.00       -5.50
       ...
      100.00        0.00       -5.50 <-- strike
      105.00        5.00       -0.50
      106.00        6.00       +0.50
      110.00       10.00       +4.50
      120.00       20.00      +14.50
Compare two strikes
$ option-calculator compare 100 95 110 0.25 45
Strike Comparison  S=100  K1=95 vs K2=110  σ=0.25 T=45d
──────────────────────────────────
                      Strike 95.0   Strike 110.0
------------------------------------------------
        Call Price         7.0150         0.7353
         Put Price         1.4312        10.0593
        Call Delta      +0.793714      +0.135799
         Put Delta      -0.206286      -0.864201
             Gamma       0.035611       0.028346
Spot: 100.0  |  Rate: 0.05  |  Vol: 0.25  |  Days: 45.0
Generate an option chain
$ option-calculator chain 100 0.25 45
Option Chain  |  Spot: 100.0  |  Vol: 25%  |  Days: 45  |  Rate: 0.05
  Strike      Call   C.Delta       Put   P.Delta     Gamma  IV flag
--------------------------------------------------------------
     90.00   10.7823  +0.9268    0.2279  -0.0732  0.012463  ITM
     93.00    8.1952  +0.8639    0.6229  -0.1361  0.019087  ITM
    100.00    3.6738  +0.5580    3.0651  -0.4420  0.032208  ATM
     ...
    110.00    0.8916  +0.1623   10.2497  -0.8377  0.019938  OTM
     ...
    110.00    0.8916  +0.1623   10.2497  -0.8377  0.019938  OTM
P/L on a long position: bought 5 call contracts at 3.20, now worth 4.80
$ option-calculator pnl call 3.20 4.80 5
Position P/L
──────────────────────────────────
Position:    Long 5x call
Entry:       3.2000
Current:     4.8000
P/L per contract: +1.6000
Total P/L:   +800.00  (+50.00%)
Breakeven for a put
$ option-calculator breakeven put 100 4.50
Breakeven Analysis
──────────────────────────────────
Put Breakeven: 95.5000
  Strike (100.00) - Premium (4.5000)
  Underlying must fall below 95.5000 to profit at expiration.
  Max loss (buyer): 4.5000 per share

Configuration

The data directory defaults to $HOME/.option-calculator/. It stores a history.log file that records each price command you run for later reference.

Override the directory by setting the OPTION_CALCULATOR_DIR environment variable before invoking the tool:

export OPTION_CALCULATOR_DIR="/tmp/my-options"

Data Storage

| File | Purpose | |------|---------| | $HOME/.option-calculator/history.log | Append-only log of pricing commands and results |

The directory is created automatically on first run.

Requirements

# Price a 30-day call: spot=100, strike=105, rate=5%, vol=20%
$ option-calculator price call 100 105 0.05 0.20 30
Black-Scholes Price (call):
  0.7677
Greeks for a 60-day put: spot=50, strike=48, rate=3%, vol=35%
$ option-calculator greeks put 50 48 0.03 0.35 60
Greeks (put)  S=50 K=48 r=0.03 σ=0.35 T=60d
──────────────────────────────────
Delta:  -0.312245
Gamma:  0.052040
Theta:  -0.020369  (per day)
Vega:   0.074853  (per 1% vol)
Rho:    -0.029259  (per 1% rate)
Solve implied volatility from a market price of 3.50
$ option-calculator iv call 100 105 0.05 30 3.50
Implied Volatility Solver (call)  S=100 K=105 r=0.05 T=30d  Market=3.50
──────────────────────────────────
Implied Volatility: 0.416566  (41.66%)
Payoff table for a call, strike=100, premium=5.50
$ option-calculator payoff call 100 5.50
Payoff Table (call)  K=100  Premium=5.50
──────────────────────────────────
  Underlying    Intrinsic       Net P/L
------------------------------------
       80.00        0.00       -5.50
       85.00        0.00       -5.50
       ...
      100.00        0.00       -5.50 <-- strike
      105.00        5.00       -0.50
      106.00        6.00       +0.50
      110.00       10.00       +4.50
      120.00       20.00      +14.50
Compare two strikes
$ option-calculator compare 100 95 110 0.25 45
Strike Comparison  S=100  K1=95 vs K2=110  σ=0.25 T=45d
──────────────────────────────────
                      Strike 95.0   Strike 110.0
------------------------------------------------
        Call Price         7.0150         0.7353
         Put Price         1.4312        10.0593
        Call Delta      +0.793714      +0.135799
         Put Delta      -0.206286      -0.864201
             Gamma       0.035611       0.028346
Spot: 100.0  |  Rate: 0.05  |  Vol: 0.25  |  Days: 45.0
Generate an option chain
$ option-calculator chain 100 0.25 45
Option Chain  |  Spot: 100.0  |  Vol: 25%  |  Days: 45  |  Rate: 0.05
  Strike      Call   C.Delta       Put   P.Delta     Gamma  IV flag
--------------------------------------------------------------
     90.00   10.7823  +0.9268    0.2279  -0.0732  0.012463  ITM
     93.00    8.1952  +0.8639    0.6229  -0.1361  0.019087  ITM
    100.00    3.6738  +0.5580    3.0651  -0.4420  0.032208  ATM
     ...
    110.00    0.8916  +0.1623   10.2497  -0.8377  0.019938  OTM
     ...
    110.00    0.8916  +0.1623   10.2497  -0.8377  0.019938  OTM
P/L on a long position: bought 5 call contracts at 3.20, now worth 4.80
$ option-calculator pnl call 3.20 4.80 5
Position P/L
──────────────────────────────────
Position:    Long 5x call
Entry:       3.2000
Current:     4.8000
P/L per contract: +1.6000
Total P/L:   +800.00  (+50.00%)
Breakeven for a put
$ option-calculator breakeven put 100 4.50
Breakeven Analysis
──────────────────────────────────
Put Breakeven: 95.5000
  Strike (100.00) - Premium (4.5000)
  Underlying must fall below 95.5000 to profit at expiration.
  Max loss (buyer): 4.5000 per share

The data directory defaults to $HOME/.option-calculator/. It stores a history.log file that records each price command you run for later reference.

Override the directory by setting the OPTION_CALCULATOR_DIR environment variable before invoking the tool:

export OPTION_CALCULATOR_DIR="/tmp/my-options"