Implied volatility calculator
Back out an option’s implied volatility from its market price.
Runs 100% in your browser- Implied volatility
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- Delta
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- Theta / day
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- Vega / 1%
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How to calculate implied volatility
- Enter the market price. Type the option’s current market price (per share).
- Describe the contract. Set type, stock price, strike and days to expiry.
- Read the implied volatility. The IV that reproduces that price is shown, with the Greeks at that IV.
What implied volatility actually is
Implied volatility is the volatility figure that, fed into Black-Scholes, reproduces an option's current market price. There is no formula to solve for it directly, so it has to be found numerically. This tool runs Newton-Raphson — start with a guess, measure how far the model price is from the market price, divide by vega (how much price moves per unit of vol) to step closer, and repeat — and falls back to a bisection search across a wide band if the iteration misbehaves on deep in- or out-of-the-money strikes. Because it is reverse-engineered from price, IV is forward-looking: it captures what the market expects volatility to be, not the historical volatility the stock has already realised.
Why traders watch it
IV is the single most-watched options input because it directly sets how expensive premium is. High IV means richer credits for sellers and a higher bar for buyers; it typically spikes into earnings and events, then collapses afterwards (the "IV crush" that can leave a correctly-directioned long option losing money). Comparing today's IV against the stock's own recent range — its IV rank or percentile — tells you whether options are cheap or dear relative to normal. The same IV figure drives the expected move of the stock and, via the rule of 16, a quick daily-move estimate.
Reading the number with care
A single IV belongs to a single strike and expiry — plot IV across strikes and you see the volatility "smile" or "skew," which is why one stock has many IVs, not one. If the quoted price sits at or below intrinsic value there is no extrinsic value to imply, so the result is effectively zero. The figure here assumes a European-style model, while most US single-stock options are American, so it is a close estimate rather than an exact match to a broker's screen. Feed an IV back into the Black-Scholes calculator to price other strikes on the same surface.
Educational tool only — not financial advice. IV is a model-derived estimate and assumes European-style options. Options trading carries a high level of risk.
Frequently asked questions
- Implied volatility (IV) is the volatility figure that makes the Black-Scholes price equal the option’s actual market price. It is the market’s forecast of how much the stock will move, expressed as an annualised percentage.
- There is no closed-form solution, so it is solved numerically. This tool uses Newton-Raphson with a bisection fallback to find the volatility that reproduces the price you enter.
- Higher IV means richer option premiums — good for sellers, expensive for buyers. Comparing an option’s IV to the stock’s historical volatility, or to its own IV range, is a common way to judge whether options are cheap or dear.
- If the price you entered is at or below the option’s intrinsic value there is no time value to imply volatility from, so it returns ~0%. Double-check the price, strike and days to expiry.
- No. The solver runs entirely in your browser.