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fin.options-greeks-delta Calculator
Calculates call and put delta, gamma, and theta for an option position using Black-Scholes. Delta is the most important Greek for directional option trading — a delta of 0.5 means the option moves $0.50 for each $1 move in the underlying.
Inputs
Spot Price
Current market price for immediate delivery. The starting point for options and derivatives pricing.
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 Days
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.
Option Type
Reference formula or conversion factor shown for context.
Results
delta Δ
The change (final minus initial) in the quantity.
gamma Γ
Reference formula or conversion factor shown for context.
theta Θ (per day)
Reference formula or conversion factor shown for context.
d₁
Reference formula or conversion factor shown for context.
Δ interpretation
Qualitative summary of what the computed numbers mean in practical terms.