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fin.option-greek-delta-gamma Calculator
Calculates delta and gamma for European calls and puts using Black-Scholes, showing sensitivity to spot price movement. Gamma risk is highest for at-the-money short-dated options — delta-neutral positions are not gamma-neutral.
Inputs
Spot
Current market price for immediate delivery. The starting point for options and derivatives pricing.
Strike
Reference formula or conversion factor shown for context.
T Days
Reference formula or conversion factor shown for context.
Sigma 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.
R 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%).
Results
call delta Δ
The change (final minus initial) in the quantity.
put delta Δ
The change (final minus initial) in the quantity.
gamma Γ
Reference formula or conversion factor shown for context.
vega (per 1% vol move)
Reference formula or conversion factor shown for context.
theta (per day, call)
Reference formula or conversion factor shown for context.
d₁
Reference formula or conversion factor shown for context.