Work out option greeks instantly with clear inputs, formula shown and shareable results.
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.
Call greeks
Δ = N(d₁); Γ = φ(d₁)/(Sσ√T); Θ per day; ν = Sφ(d₁)√T / 100
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.
Because delta flips fastest there — a small spot move decides whether the option finishes in or out of the money.
Time value only decays. Every day that passes with no move costs the option holder money.