Option sensitivity analysis
Options Greeks calculator for delta, gamma, theta, vega and rho
See how a theoretical call or put value responds to stock price, time, implied volatility, and interest rates.
- Per-option sensitivities
- Call and put support
- Instant recalculation
Model inputs
Calculate theoretical option value and Greeks
Theoretical option price$4.19European-style Black-Scholes estimate
- Theoretical price
- $4.19
- Delta
- 0.5420
- Gamma
- 0.0404
- Theta / day
- -0.0495
- Vega / vol point
- 0.1393
- Rho / rate point
- 0.0617
Interpretation
Greeks estimate first-order sensitivity to price, time, volatility, and rates. They change continuously with every model input.
How to interpret option delta, gamma, theta, vega and rho
Delta estimates the option price change for a one-dollar underlying move. Gamma estimates how delta changes. Theta estimates one calendar day of decay. Vega estimates the price change for one volatility percentage point, and rho estimates the change for one interest-rate percentage point.
Each Greek is local to the current inputs. A large move in price, time, or volatility requires recalculation. Multi-leg strategy pages multiply each leg by direction, contracts, and 100 before reporting net Greeks.