Options Greeks Calculator (Delta, Gamma, Theta, Vega)
This calculator helps traders understand their options strategy by calculating the Greeks, which are essential for risk management and making informed trading decisions.
Interactive Calculator
Results
Ecosystem of Authoritative Content
Data Source and Methodology
All calculations are based on the Black-Scholes model, a widely accepted model for pricing options. For more details, visit Investopedia.
All calculations are based strictly on the formulas and data provided by this source.
The Formula Explained
Delta: \(\Delta = \frac{\partial C}{\partial S}\)
Gamma: \(\Gamma = \frac{\partial^2 C}{\partial S^2}\)
Theta: \(\Theta = \frac{\partial C}{\partial t}\)
Vega: \(\nu = \frac{\partial C}{\partial \sigma}\)
Glossary of Variables
- Option Price: The current market price of the option.
- Strike Price: The set price at which the option can be bought or sold.
- Volatility (%): Annualized standard deviation of returns.
- Interest Rate (%): The risk-free interest rate.
Practical Example: A Step-by-Step Guide
For instance, if you have an option with a price of $10, a strike price of $100, volatility of 20%, and an interest rate of 5%, you can use this calculator to determine the Greeks, which will help manage your option portfolio effectively.
Frequently Asked Questions (FAQ)
What are option Greeks?
Option Greeks are financial measures of the sensitivity of an option's price to its underlying determining parameters, such as volatility or the underlying asset price.
How do I use this calculator?
Simply input the required data and click 'Calculate Greeks' to see the results.
Why are option Greeks important?
They help traders understand risk and make better trading decisions.
What does Delta represent?
Delta measures the sensitivity of the option's price to a $1 change in the price of the underlying asset.
What does Gamma represent?
Gamma measures the rate of change in delta over time.
What does Theta represent?
Theta measures the sensitivity of the option's price to time decay.
What does Vega represent?
Vega measures the sensitivity of the option's price to changes in volatility.