MTS Institute / Option Greeks calculator
Option Greeks calculator
Get call and put price, delta, gamma, theta, vega and rho from spot, strike, days, volatility and rate.
How it works
This calculator uses the Black Scholes model for European options. Delta is how much the option price moves for a 1 point move in the underlying. Gamma is how fast delta changes. Theta is the time decay per day. Vega is the change for a 1 point change in volatility. Rho is the change for a 1 point change in interest rates.
Real option prices also depend on dividends, early exercise and market demand, so treat results as a guide.
Questions
What do option Greeks tell me?
They show how an option's price reacts to the underlying price (delta, gamma), time (theta), volatility (vega) and interest rates (rho).
Why does theta matter to option sellers?
Theta is the daily time decay. Option sellers earn it and option buyers pay it, and it speeds up as expiry gets closer.
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