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StrikeLab / Market Lab

Build your market intuition.

Make a prediction. Change one assumption. See what the model actually does.

Your learning path ↗
● Interactive model

Experiment 01

The price of uncertainty

Can an option become more valuable without the stock moving?

  1. 1Predict
  2. 2Experiment
  3. 3Explain

If volatility doubles and everything else stays fixed, will this call's model value rise or fall?

Your prediction
Baseline call$2.47
Your call$2.47
Model difference$0.00
Option model value against annual volatilityBaseline call: $2.47 at 20%. Experiment call: $2.47 at 20%. Prices are per share. Other assumptions are held fixed for each curve.$0$3$7$1010%45%80%Annual volatility
BaselineYour experiment$ / share
View chart data
Model prices with all other inputs held fixed for each curve
Annual volatilityBaseline callExperiment call
10%$1.34$1.34
11.4%$1.49$1.49
12.8%$1.65$1.65
14.2%$1.81$1.81
15.6%$1.97$1.97
17%$2.13$2.13
18.4%$2.29$2.29
19.8%$2.45$2.45
21.2%$2.61$2.61
22.6%$2.77$2.77
24%$2.93$2.93
25.4%$3.09$3.09
26.8%$3.25$3.25
28.2%$3.41$3.41
29.6%$3.57$3.57
31%$3.73$3.73
32.4%$3.89$3.89
33.8%$4.04$4.04
35.2%$4.20$4.20
36.6%$4.36$4.36
38%$4.52$4.52
39.4%$4.68$4.68
40.8%$4.84$4.84
42.2%$5.00$5.00
43.6%$5.16$5.16
45%$5.32$5.32
46.4%$5.48$5.48
47.8%$5.64$5.64
49.2%$5.80$5.80
50.6%$5.96$5.96
52%$6.12$6.12
53.4%$6.28$6.28
54.8%$6.44$6.44
56.2%$6.60$6.60
57.6%$6.75$6.75
59%$6.91$6.91
60.4%$7.07$7.07
61.8%$7.23$7.23
63.2%$7.39$7.39
64.6%$7.55$7.55
66%$7.71$7.71
67.4%$7.87$7.87
68.8%$8.03$8.03
70.2%$8.19$8.19
71.6%$8.35$8.35
73%$8.50$8.50
74.4%$8.66$8.66
75.8%$8.82$8.82
77.2%$8.98$8.98
78.6%$9.14$9.14
80%$9.30$9.30

Your assumptions

Strike $100 · risk-free rate 4.5% · no dividends

$100
30 days
20%

Make your prediction to unlock the experiment.

Keep the evidence

Your lab notebook

Your six most recent saved experiments. Restore the inputs or download a result to explain.

Change an input and save your first experiment.
Your work stays in this browser. No account needed.

Model lab, not live quotes. Black-Scholes assumes European exercise, no dividends, and constant volatility and interest rates. Values are dollars per share; price differences are not trading profit.