Greeks Calculator (Delta, Gamma, Theta, Vega, Rho)

Calculate the sensitivity measures (Greeks) for a single options contract using the Black-Scholes model.

Underlying Asset Price (S - $):

Strike Price (K - $):

Days to Expiration (T - days):

Implied Volatility (σ - %):

Risk-Free Rate (r - %):

Dividend Yield (q - %):

Option Type:

Calculated Greeks & Theoretical Price

Metric	Value	Description
Underlying Price (S)		Current price of the asset.
Strike Price (K)		Price at which the option can be exercised.
Days to Expiration (T)		Time remaining until the option expires.
Implied Volatility (σ)		Market's expectation of future price swings.
Risk-Free Rate (r)		Interest rate of a risk-free investment.
Dividend Yield (q)		Annual dividend payout rate of the underlying.
Option Type		Whether the option is a Call or Put.
Greeks & Price
Theoretical Price		Estimated fair value of the option.
Delta (Δ)		Change in option price per $1 change in underlying price.
Gamma (Γ)		Change in Delta per $1 change in underlying price.
Theta (Θ)		Change in option price per day as time passes (time decay).
Vega (ν)		Change in option price per 1% change in implied volatility.
Rho (ρ)		Change in option price per 1% change in risk-free rate.

Risk-Free Rate (r): ${outputRiskFreeRate.textContent}

Dividend Yield (q): ${outputDividendYield.textContent}

Option Type: ${outputOptionType.textContent}

Calculated Greeks & Theoretical Price

Metric	Value	Description
Theoretical Price	${outputTheoreticalPrice.textContent}	Estimated fair value of the option.
Delta (Δ)	${outputDelta.textContent}	Change in option price per $1 change in underlying price.
Gamma (Γ)	${outputGamma.textContent}	Change in Delta per $1 change in underlying price.
Theta (Θ)	${outputTheta.textContent}	Change in option price per day as time passes (time decay).
Vega (ν)	${outputVega.textContent}	Change in option price per 1% change in implied volatility.
Rho (ρ)	${outputRho.textContent}	Change in option price per 1% change in risk-free rate.

Note: Greeks are sensitivities. Delta/Gamma are per 1 unit change in underlying. Theta is per day. Vega and Rho are per 1% change in volatility and risk-free rate, respectively. This tool uses the Black-Scholes model for European options, which may not accurately reflect American options or real-world market complexities.

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