Options Greeks Calculator
Calculate option Greeks (Delta, Gamma, Theta, Vega, Rho) using the Black-Scholes model.
Option Parameters
$
$
days
%
%
Black-Scholes: European options pricing model assuming constant volatility and no dividends.
Call Option Price
$3.06
theoretical value
Intrinsic Value
$0.00
Extrinsic Value
$3.06
The Greeks
Delta
0.5371Price sensitivity
Gamma
0.0554Delta sensitivity
Theta
-$0.05Time decay/day
Vega
$0.11Volatility sensitivity (1%)
Rho
$0.04Interest rate sensitivity (1%)
Call vs Put Prices
Call Price$3.06
Put Price$2.65