Basic Options Calculator

“Our Basic Options Calculator…provides fair values and Greeks of any option using our volatility data and previous trading day prices. You may customize all the input parameters (option style, price of the underlying instrument, strike, expiration, implied volatility, interest rate and dividends data) or enter a stock or options symbol and the database will populate all those fields for you! Note that the option’s underlying price is the previous trading day’s market closing price.

Basic Options Calculator

For those that are new to options, as I am, one of the ways of assessing the option in question is by calculating its delta, which from Investopedia, “represents the [rate of change] between the option’s price and a $1 change in the underlying asset’s price”. Crucially, however, what the delta also provides is a rough estimation of what the collective options market thinks is the likelihood that the underlying security will close at a certain price at a certain date.

The formula to arrive at the delta for American options, which differ from European options, is complicated and had me saying ‘oh, the heck with that’ until I found this handy options calculator:

It’s worth reading the ‘calculator’s help’ page (see link on calculator page) to help understand the inputs.”

[What Follows is a Paraphrase Using a Different Ticker Symbol

If I understand this correctly, if we take a ticker symbol such as AAPL (Apple), using the above options calculator, if one enters in AAPL at a strike of 140 for October 15, 2021, and hits ‘calculate’, one sees the delta for a call option is calculated at .2969. Which I believe means the collective options market thinks there roughly a 29.69% chance–let’s call it 30!–that AAPL will close at or above a strike price of 140 by 15 October.]

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