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fin.black-scholes-greeks Calculator
Calculates all five primary Black-Scholes option Greeks (delta, gamma, theta, vega, rho) for calls and puts. Greeks are the option trader's dashboard — delta for direction, gamma for acceleration, theta for time decay, vega for volatility risk.
Inputs
Stock Price
Current price per share. Used in P/E ratios, options pricing, and market cap calculations.
Strike Price
The price at which an option can be exercised. Call options profit when the market price exceeds the strike; put options profit when it falls below.
Time To Expiry Yr
Duration of the process. Make sure units match the rate inputs (seconds, minutes, or hours).
Risk Free Rate Pct
Return on a theoretically safe investment like a government T-bill. The baseline return everything else is compared against. Enter as a decimal (e.g. 0.05 for 5%).
Volatility Pct
Annualised standard deviation of returns, as a decimal (e.g. 0.2 for 20%). Higher volatility increases option value. Implied vol is derived from market prices.
Results
call price ($)
The computed or recommended price.
put price ($)
The computed or recommended price.
delta (call)
The change (final minus initial) in the quantity.
gamma
Reference formula or conversion factor shown for context.
theta (per day)
Reference formula or conversion factor shown for context.
d1/d2
Reference formula or conversion factor shown for context.