Real listed option chains, Black-Scholes Greeks solved from live bid/ask-implied vol
(not an assumed volatility), a multi-leg position & payoff builder, and a historical delta-hedge
backtest against real price paths.
Live option chainsBid/ask-solved IVMulti-leg payoff diagramsHistorical hedge backtest
1 Load a ticker below
→
2 Click + next to a strike in the chain to add it to your position
→
3 Hit "Update position" to see the risk & payoff
1. Underlying
Spot
--
Realized vol (1y)
--
As of
--
Expirations
--
Assumed rate
--
Implied volatility surface (explore, optional)
What this is: "implied volatility" (IV) is the market's own guess, baked
into an option's price, of how much the stock will swing around before expiration -- higher IV means
pricier options. Each row below is a real expiration date; each column is a strike as a % of today's
price ("moneyness" -- 100% = at-the-money). It usually forms a "smile": IV rises for strikes far
from the current price. Illiquid/stale contracts are filtered out, so some cells are blank.
Lower IVHigher IV
2. Option chain
An option's "strike" is the price it locks in. A call
is a bet the stock goes above the strike; a put is a bet it goes
below. "IV" is that contract's own implied volatility, solved from its live bid/ask (not just copied
from Yahoo -- see the note at the bottom of the page for why). "Δ" (delta) is roughly the odds
the option finishes in-the-money, from 0 to 1 for calls and 0 to -1 for puts.
Click the + next to any strike to add
that contract to your position below.
Add
Call bid/ask
IV
Δ
Strike
Δ
IV
Put bid/ask
Add
3. Position builder
This is your trade: whatever contracts you've clicked "+" on above, listed below. Set
Buy (you pay, you profit if it gains value) or Sell (you collect
money now, you're on the hook if it gains value) and a quantity, then hit "Update position" to price
it and see the risk.
Net premium
--
Cash you pay (or collect, if you're net selling) to open this position.
The "Greeks" below are just: how much money
your position gains or loses for a small change in one thing, holding everything else fixed.
Scenario payoff
If the stock price were at each point on the x-axis below, this is your profit/loss
in dollars (y-axis) -- one line for "right now" (purple), one for "if we're still holding it at the
first leg's expiration date" (orange). Where a line crosses above $0 is a breakeven.
P&L today (mark-to-market)
P&L at front-leg expiry
Historical delta-hedge backtest (a separate, standalone tool)
What this answers: if a trader had sold this option in the past and
continuously bought/sold the underlying stock to stay hedged, would they have come out ahead? It's
backward-looking only -- it picks a real date in the past, uses the real stock-price history since
then, and never peeks at a price it "shouldn't" know yet.
Entry IV
--
The vol assumed when the option was "sold" -- what the trader hedged with.
Realized vol since
--
How much the stock actually moved -- the thing entry IV was trying to predict.
Premium received
--
Cash collected upfront for selling the option.
Payoff owed
--
What the seller has to pay out at expiration.
Hedge P&L
--
Profit/loss from buying & selling the stock along the way to stay hedged.
Net seller P&L
--
Premium + hedge P&L − payoff owed. The bottom line.
Cumulative hedge P&L
Assumptions & limitations
Black-Scholes assumes European exercise -- real equity options are American, so this understates the
value of early-exercise rights (mainly deep-ITM puts, and calls on dividend payers near ex-div).
Risk-free rate is a fixed assumed constant (no live short-rate feed), dividends are ignored (q=0).
The payoff diagram holds each leg's entry-implied vol constant as spot moves ("sticky strike"), not a
full vol-surface repricing. The hedge backtest ignores financing/interest on the cash account and
transaction costs, and its strike/premium are Black-Scholes-theoretical (priced from the assumed entry
IV) since no historical listed-options data source is available -- only real historical stock prices,
which is what actually drives the backtest.