Show delta, gamma and vega for a call or put using Black-Scholes.
Please do not make financial decisions based on these results.
What is the Option Greeks Calculator?
Show delta, gamma and vega for a call or put using Black-Scholes. To use the Option Greeks Calculator, enter stock price, strike, years to expiry, risk-free, volatility, option type; it returns option price, delta, gamma, vega, and shows them instantly as you type.
Understanding option pricing
The Black Scholes Calculator needs six inputs: stock price, strike, time to expiry, risk-free rate, dividend yield and volatility. Volatility has the biggest effect and is the one you must estimate. Use the Greeks calculator to see how the price will move before expiry.
Before a trade, compute the payoff. The Call Option Calculator and Options Spread Calculator show break-even and maximum loss, and the Margin Call Calculator shows how far a stock can fall in a margin account before a call.
- Parity. Put-call parity checks that call and put quotes agree with the stock and the interest rate.
- Futures and forwards. Futures P&L, forward rates and forward premium convert price moves into dollars.
How to use the Option Greeks Calculator
- Enter your numbers. Start with Stock price ($), Strike ($), Years to expiry, then fill in Risk-free (%), Volatility (%). Use real figures from your own records where you can. Fields marked optional can stay at zero.
- Choose your options. Option type change how the result is worked out, and the form updates to match your choice.
- Read the result. The highlighted box gives the Option price, and the cards below show Delta, Gamma, Vega. Tables and charts break it down further.
- Test other scenarios. Results update as you type. Change one value at a time to see what drives the answer, and press Reset to go back to the defaults.
Formula and how it works
Example with real numbers
Here is the Option Greeks Calculator using the default values shown in the calculator above:
Inputs
| Stock price ($) | 120 |
|---|---|
| Strike ($) | 120 |
| Years to expiry | 0.25 |
| Risk-free (%) | 4.2 |
| Volatility (%) | 30 |
| Option type | Call |
Results
| Option price | $7.78 |
|---|---|
| Delta | 0.558 |
| Gamma | 0.0219 |
| Vega | 0.237 |
With these inputs the calculator returns Option price: $7.78. Change any value in the calculator to see how the result moves.
What if you change one input?
Sensitivity check: raising Stock price ($) from 120 to 144 (about 20% higher) and leaving everything else as in the example above changes the results like this:
| Result | Example | After the change | Change |
|---|---|---|---|
| Option price | $7.78 | $26.17 | +236.4% |
| Delta | 0.558 | 0.913 | +63.8% |
| Gamma | 0.0219 | 0.0073 | -66.6% |
| Vega | 0.237 | 0.114 | -51.9% |
The input that moves the result most is the one to check twice. Change it in the calculator above to test your own case.
What the results tell you
The results panel of the Option Greeks Calculator reports Option price, delta, gamma and vega. Compare these figures while changing one input at a time, and use the related calculators below to look at the same situation from another angle.
Method and limits. This calculator applies the formula in the section above to your inputs, in your browser; nothing you enter is stored on our servers. The result is only as accurate as the numbers you enter and the formula shown above. It is for information, not financial, tax or legal advice.
Frequently asked questions
What does delta tell me?
About how much the option price moves for a $1 change in the stock.
Which option model is used?
The Black-Scholes-Merton model for European options, with an optional dividend yield. American options can be worth more.
Can I lose more than I invest?
Buying options risks only the premium, but selling uncovered options or trading futures can lose far more than the margin posted.
Are the results guaranteed?
No. Results depend entirely on the numbers you enter and the formulas shown on this page. Please do not make financial decisions based on them alone; confirm important figures with a licensed professional.
Related options & derivatives calculators
- Call Option Calculator
- Black Scholes Calculator
- Put-Call Parity Calculator
- Options Spread Calculator
- Margin Call Calculator
- Forward Rate Calculator
- Forward Premium Calculator
- Futures Contracts Calculator
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