Options Greeks Calculator
Calculate Delta, Gamma, Theta, Vega, and Rho instantly using the Black-Scholes-Merton model. Free, no signup required.
Parameters
Quick Presets
Theoretical Price
$11.2164
Breakeven
$466.2164
Prob. of Expiring ITM
44.2%
0.4704
For every $1 move in the underlying, the option price changes by $0.4704.
0.0123
Rate of change of delta per $1 move. Higher gamma = more sensitive delta.
-$0.2349/day
Time decay per calendar day. Negative means the option loses value over time.
$0.5128
P&L change per 1% increase in implied volatility.
$0.1648
P&L change per 1% increase in the risk-free interest rate.
$0.00
Time value: $11.2164
Delta (Δ)
0 to 1 (calls) / −1 to 0 (puts)
How much the option price moves per $1 change in the underlying. A delta of 0.50 means the option gains $0.50 for every $1 the stock rises.
Gamma (Γ)
Always positive
The rate at which delta changes. High gamma near expiration means delta can shift dramatically — increasing risk for sellers.
Theta (Θ)
Usually negative
Daily time decay. An option with theta of −$0.05 loses $0.05 of value per day. Sellers collect theta; buyers pay it.
Vega (ν)
Always positive
Change in option price per 1% increase in implied volatility. Long options gain from rising IV; short options lose.
Rho (ρ)
Positive (calls) / Negative (puts)
Sensitivity to interest rate changes. Typically small for short-dated options but significant for LEAPS.
Implied Volatility
0% to ∞ (typically 10–100%)
The market's expectation of future price movement, back-solved from the option price. IV rank compares current IV to its 52-week range.
Practice with Market Context
Review calculated Greeks for paper positions and check each quote's freshness before making a decision.