Key Features:

  1. Computes American and European option price for equity (including equity index), foreign currency option and option on futures
  2. Computes Option Greeks – Delta, Vega, Theta, Gamma and Rho. In case of currency option, Rho 2 (sensitivity to foreign interest rate) is calculated.
  3. Implied volatility – Both from American and European Call/Put option prices, implied volatility is derived.
  4. Call, put, covered call and protective put option strategy payoff is provided.


  1. Stock Price/Future Price/Foreign Currency Spot Price
  2. Strike/Exercise Price
  3. Expiration time in day, month, year or select expiration date
  4. Risk free interest rate or domestic interest rate
  5. Optional Dividend yield for equity/index options
  6. Foreign interest rate for foreign currency options
  7. Historic volatility of the security


  1. Summary – American/European Call/Put Price, Intrinsic Value and Time Value
  2. Greeks – Delta, Gamma, Theta, Vega, Rho and Rho 2 (foreign currency) for call/put
  3. Payoff- payoff of call, put, covered call and protective put
  4. Implied Volatility – From European/American Call/Put price, implied volatility is calculated.
  5. Graphs/Charts of Profitability
  6. Save and e-mail result