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Option Greeks Calculator

Work out option greeks instantly with clear inputs, formula shown and shareable results.

About Option Greeks Calculator

The greeks are the sensitivities of an option's price. Delta is the change per unit of spot, gamma the change in delta, theta the daily time decay, and vega the change for a one point move in implied volatility.

Formula

Call greeks

Δ = N(d₁); Γ = φ(d₁)/(Sσ√T); Θ per day; ν = Sφ(d₁)√T / 100

Worked example

With the default values below, Option Greeks Calculator returns Delta of 0.5437. Change any input above and every figure here is recalculated in your browser.

Inputs used

Spot Priceminimum 0
1,000
Strike Priceminimum 0
1,000
Implied Volatilityaccepts 1–300 %
22 %
Days To Expiryaccepts 1–1,095
30

Results

Delta
0.5437
Gamma
0.006287
Theta Per Day
-$0.5017
Vega Per 1% Volatility
$1.1369

Step by step

  1. 1Values used
  2. 2Call greeks
  3. 3Delta= 0.5437
  4. 4Gamma= 0.006287
  5. 5Theta Per Day= -0.5017
  6. 6Vega Per 1% Volatility= 1.1369

Assumptions and limits

  • The result is derived only from the 4 inputs listed above. Anything not among them is not part of the calculation.
  • In particular, this calculator does not take inflation, tax, fees or charges or compounding frequency into account.
  • Figures are rounded for display to 6 decimal places, so totals built from several rounded parts can differ slightly from the unrounded arithmetic.
  • Figures are estimates for planning only. Market returns are not guaranteed, and rates, limits and tax rules change. This is not financial or tax advice — speak to a qualified adviser before acting.
  • This is an estimate for general information and not professional financial, tax or legal advice. See the full disclaimer for the limits that apply to this kind of calculator.

How these calculators are built and tested is described on the Methodology page. If a figure looks wrong, please report it.

Figures are estimates for planning only. Market returns are not guaranteed, and rates, limits and tax rules change. This is not financial or tax advice — speak to a qualified adviser before acting.

Frequently Asked Questions

Why is gamma highest at the money near expiry?

Because delta flips fastest there — a small spot move decides whether the option finishes in or out of the money.

Why is theta negative for a buyer?

Time value only decays. Every day that passes with no move costs the option holder money.

Related Calculators

Option Greeks Calculator – Calculate Delta & Gamma