Understanding the Options Greeks
The "Greeks" are financial measures of the sensitivity of an option's price to its underlying determining parameters, such as changes in the underlying asset's price, implied volatility, or time to expiration. This free calculator uses the industry-standard Black-Scholes-Merton model to estimate theoretical prices, and our live options data API to source exact market greeks.
Δ Delta
Measures the rate of change of the theoretical option value with respect to changes in the underlying asset's price. A Delta of 0.50 means the option price moves $0.50 for every $1 move in the stock.
Γ Gamma
Measures the rate of change in the Delta with respect to changes in the underlying price. Gamma is highest when an option is precisely at-the-money.
Θ Theta
Represents the time decay of the option. Theta measures how much value the option loses each passing day as it approaches expiration, assuming all other factors remain constant.
ν Vega
Measures sensitivity to volatility. Vega represents the amount that an option contract's price changes in reaction to a 1% change in the implied volatility of the underlying asset.
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