January 2026 Site Update
Starting 2 January 2026 I am moving the site to new system. The content part (free online tutorials and research) is available normally. The user account section is paused for a few days until I complete migrating all user data and test everything. This means you cannot login or order calculators now. If you need to re-download a calculator you bought in the past, contact me. **Get a Calculator for [more ...]
Expiration Calendars
VIX Expiration Calendar 2026 (Futures & Options)
Below you can find VIX futures and options expiration calendar for 2026, as well as full VIX expiration dates history (2004-2025) and explanation of VIX expiration rules. For standard US equity, index and ETF options (including options on VIX ETFs and ETNs) see. Standard US Equity and Index Options Expiration Calendar. **VIX Expiration Calendar 2026.** 21 January 2026. 18 February 2026. 18 March 20268. [more ...]
Options Expiration Calendar 2026 (US Equity, Index, ETF Options)
Below you can find options expiration calendar for 2026 for standard US traded monthly and weekly equity, index, and ETF options, as well as expiration dates history for earlier years. For VIX options and futures, see VIX Expiration Calendar. **Options Expiration Calendar 2026.** Monthly option expirations: 16 January 2026. 20 February 2026. 20 March 2026. 17 April 2026. 15 May 2026. 18 June 2026 (Thursday, [more ...]
Tutorials and Reference
- Options 101: Beginner Tutorial
- Option Payoff Excel Tutorial
- Option Pricing
- Option Greeks
- Option Strategies
- Volatility
- Technical Analysis
- Performance and Risk Metrics
- Statistics for Finance
- Resources (Brokers, Data, Software)
- Other Tutorials and Notes
- Glossary
Popular Pages
Calculating Option Strategy Payoff in Excel
This is part 4 of the Option Payoff Excel Tutorial. In the previous parts (first, second, third) we have created a spreadsheet that calculates profit or loss for a single call or put option, given the strike price, initial option price and underlying price. Now we are going to expand it to also work with positions involving multiple options - strategies such as straddles, condors, butterflies or spreads. [more ...]
Drawing Option Payoff Diagrams in Excel
This is part 5 of the Option Payoff Excel Tutorial, which will demonstrate how to draw an option strategy payoff diagram in Excel. In the previous four parts we have explained option profit or loss calculations and created a spreadsheet that calculates aggregate P/L for option strategies involving up to four legs. For example, the screenshot below shows an iron condor made on strikes 45/50/55/60 with [more ...]
Black-Scholes Formulas (d1, d2, Call Price, Put Price, Greeks)
This page explains the Black-Scholes formulas for d1, d2, call option price, put option price, and formulas for the most common option Greeks (delta, gamma, theta, vega, and rho). **Black-Scholes Inputs.** According to the Black-Scholes option pricing model (its Merton's extension that accounts for dividends), there are six parameters which affect option prices: S = underlying price ($$$ per share). [more ...]
Black-Scholes Excel Formulas and How to Create a Simple Option Pricing Spreadsheet
This page is a guide to creating your own option pricing Excel spreadsheet, in line with the Black-Scholes model (extended for dividends by Merton). Here you can get a ready-made Black-Scholes Excel calculator with charts and additional features such as parameter calculations and simulations. **Black-Scholes in Excel: The Big Picture.** If you are not familiar with the Black-Scholes model, its assumptions, [more ...]
Option Greeks Excel Formulas
This is the second part of the Black-Scholes Excel guide covering Excel calculations of option Greeks (delta, gamma, theta, vega, and rho) under the Black-Scholes model. **Calculating Black-Scholes Greeks in Excel.** I will continue in the example from the first part to demonstrate the exact Excel formulas. See the first part for details on parameters and Excel formulas for d1, d2, call price, and [more ...]
How Binomial Trees Work in Option Pricing
This page explains the logic of binomial option pricing models - how option price is calculated from the inputs using binomial trees, and how these trees are built. **Binomial Model Assumptions.** All models simplify reality, in order to make calculations possible, because the real world (even a simple thing like stock price movement) is often too complex to describe with mathematical formulas. Binomial [more ...]
Converting Implied Volatility to Expected Daily Move
This page shows how to convert implied volatility (typically annual standard deviation of returns) to daily volatility and how to interpret it in terms of expected daily price changes with given probabilities. Note that in the Implied Volatility Calculator you don't need to do the conversion, as the calculated implied volatility is already shown for all the common time periods - annual, monthly, weekly, [more ...]
VIX Calculation Explained
This page explains the logic of VIX calculation and some of the underlying assumptions and parameters. Exact formulas are available in VIX White Paper by CBOE. If you are not familiar with the VIX index, you may first want to see a more basic explanation: What is VIX? **Basic Logic of VIX Calculation.** The VIX is interpreted as annualized implied volatility of a hypothetical option on the S&P500 stock [more ...]
VIX Futures Curve
**VIX Futures Curve Explained.** A futures curve is a curve made by connecting prices of futures contracts of the same underlying, but different expiration dates. It is displayed on a chart where the X-axis represents expiration dates of futures contracts and the Y-axis represents prices. The chart looks quite similar to yield curve, which is used for bonds or the money market and displays interest [more ...]
Calculating Average True Range (ATR) in Excel
This is detailed guide to calculating Average True Range (ATR) in Excel. We will first calculate true range and then ATR as moving average of true range. We will cover all three popular ATR calculation methods - simple, exponential, and the original Wilder's smoothing method. You don't need advanced Excel skills for these calculations - they only use relatively simple Excel functions, such as MAX or [more ...]
RSI Calculation
This page is a detailed guide how to calculate Relative Strength Index (RSI). You can see how the formulas work in Excel in the RSI Calculator. The calculation is explained in detail in chapter 4 of the calculator's guide. **RSI Formula.** RSI = 100 - 100 / ( 1 + RS ). RS = Relative Strength = AvgU / AvgD. AvgU = average of all up moves in the last N price bars. AvgD = average of all down moves in [more ...]
Put-Call Parity Formula
Put-call parity is a relationship between prices of European call and put options (with same strike, expiration, and underlying). It is defined as C + PV(K) = P + S, where C and P are option prices, S is underlying price, and PV(K) is present value of strike. This page explains the put-call parity formula, the no-arbitrage principle behind it, and its adjustments for dividends and for American options. [more ...]
Black-Scholes Model History and Key Papers
This page is an overview of main events and papers related to the Black-Scholes option pricing model. Besides works of its main authors, Black, Scholes, and Merton, we will also investigate earlier ideas which influenced the model, and other researchers (many of them famous for other models) who played a role in its development, such as Bachelier, Samuelson, Treynor, Fama, or Miller. **Option Trading [more ...]