Option Pricing Calculator

Measures how much the option price is expected to change for a $1 move in the underlying asset. Delta ranges from 0 to 1 for call options and from -1 to 0 for put options. For exampe, a delta of 0.60 means the option will gain approximately $0.60 if the underlying rises $1.

Measures the rate of change of Delta as the underlying asset price changes. For example, a high Gamma indicates Delta is very sensitive to changes in the underlying—important for traders managing hedged positions.

Represents time decay—how much value the option loses each day as expiration approaches. Always negative for long options. For example, a Theta of -0.05 means the option will lose $0.05 in value per day, all else equal.

Measures sensitivity to volatility changes. For example, a Vega of 0.10 means the option’s value increases by $0.10 if implied volatility rises by 1%.

Measures sensitivity to interest rate changes. For example, a Rho of 0.06 means the option value increases $0.06 for every 1% increase in the risk-free rate.