Options Lab
Professional Options Model
Example SPY model loaded. Change the inputs below to test your own option price, Greeks, IV/HV, volatility term structure, and forecast path.
Option Price Curve
Red = current model. Black dashed = forecast after IV, price, and time changes.
Example SPY model loaded. Live model ready.
Model Price
$10.05
Black Scholes theoretical value
Fair Value
Fair
Reference price is $10.05 vs model $10.05 (0.0%).
Delta
0.520
Directional exposure
Theta / Day
$-0.47
Daily time decay
IV / HV
1.29x
Vol premium ratio
Option Calculator
Fair. Example SPY model loaded at $10.05. Forecast value is $13.89 after 1.0% spot move, 2.0 vol point IV change, and 1 day passing. Extrinsic value is $10.05.
Forecast + Vol Inputs
Live Greeks
| Case | Price | Delta | Gamma | Theta/day | Vega/1% |
|---|---|---|---|---|---|
| Base | $10.05 | 0.520 | 0.02284 | $-0.47 | $0.39 |
| Forecast | $13.89 | 0.724 | 0.02014 | $-0.51 | $0.33 |
| Spot +1% | $13.64 | 0.731 | 0.02058 | $-0.41 | $0.36 |
| Spot -1% | $6.53 | 0.302 | 0.02159 | $-0.44 | $0.36 |
| IV +2 pts | $11.14 | 0.520 | 0.02056 | $-0.52 | $0.39 |
| One day later | $9.29 | 0.519 | 0.02468 | $-0.51 | $0.36 |