Options
Option Greeks Calculator
Calculate option Greeks — Delta, Gamma, Theta (per day), Vega (per 1% vol) and Rho (per 1% rate) — from Black-Scholes inputs for calls and puts.
Delta
0.6368
- Gamma
- 0.01876
- Theta / day
- -0.0176
- Vega / 1%
- 0.3752
- Rho / 1%
- 0.5323
- Option price
- $10.45
Theta per calendar day; Vega per 1% vol; Rho per 1% rate. Long options have negative theta.
How this is calculated
The Greeks are the derivatives of the Black-Scholes price:
Delta — sensitivity to a $1 move in the underlying.Gamma — the rate of change of Delta.Theta — decay per calendar day (we divide annual theta by 365).Vega — price change per 1% change in volatility (÷100).Rho — price change per 1% change in rates (÷100).
Long options always show negative Theta because their extrinsic value erodes as expiry approaches.
Frequently asked questions
- What do the Greeks measure?
- Delta is sensitivity to the underlying, Gamma the change in Delta, Theta time decay per day, Vega sensitivity to a 1% volatility change and Rho to a 1% rate change.
- Why is Theta negative?
- Long options lose extrinsic value as expiry approaches, so their Theta (decay per calendar day) is negative. Short option positions have positive Theta.