Implied volatility solver
Recover the vol a market price contains.
Interactive: implied volatility solverMedium
The market quotes prices; traders think in vol. Enter an option's market price and recover the implied volatility the price contains — the reverse gear of the pricer above.
- Implied volatility
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- Intrinsic value
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- Time value
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- Implied 1-day move
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Solved by bisection on Black–Scholes (no dividends). The implied 1-day move — IV/√252 — is how desks translate a vol number into "what tomorrow is priced to do".
The idea behind it
This calculator belongs to Equity Derivatives, where the mechanism it computes is explained step by step, with the formula, what each input means and where the simple model stops being right. Everything is computed in your browser; nothing you type is sent anywhere.
Instruments it applies to
- Equity Index Future — A standardised, exchange-traded promise to buy or sell the market at a set price on a set date.
- Equity Forward — The bespoke cousin of the future: a private agreement on tomorrow's stock price, tailored to size and date.
- Equity Swap — Trade the return of a stock or index against an interest rate — exposure without ownership.
- Total Return Swap — One leg pays everything an asset earns — price moves and income — the other pays funding. Ownership economics without ownership.
- Variance Swap — A pure bet on how much a market moves — direction irrelevant. Volatility as a tradable asset.
- Dividend Future — Trade the dividends a company or index will actually pay in a given year — stripped from the share price.
- Warrant — An option in retail packaging — securitised, listed, and buyable in small size through any broker.
- Convertible Bond — A bond with an escape hatch into shares: downside of a bond, upside of a stock — priced in between.
More calculators from Equity Derivatives
- Black–Scholes option pricer — price a call and put, see all the Greeks.
- Discount certificate return profile — discount, cap, sideways return, buffer.
- Knock-out certificate leverage — leverage, barrier distance, P&L per 1% move.
- Probability of expiring in the money — N(d₂) versus delta.
- Put-call parity check — the model-free relationship, tested.
- Index future fair value & basis — carry, dividends, rich or cheap.
- Binomial tree — American vs. European — what the right to exercise early is actually worth.
- What leverage is an option actually giving you? — the leverage an option really gives you, which is not its delta.