Delta
-
Gamma
-
Theta (per day)
-
Vega
-
Rho
-
When Should You Use This?
Use the Greeks to understand how your option position will behave. Delta tells you direction exposure, Theta is your daily time decay cost, Vega is your volatility exposure, and Gamma shows how fast Delta changes.
How It Works
1
Enter Option Details
Input stock price, strike, days to expiry, implied volatility, and risk-free rate.
2
Review the Greeks
Delta (0-1) = directional exposure. Theta = daily time decay. Vega = sensitivity to IV changes. Gamma = rate of Delta change.
3
Manage Risk
Use Greeks to hedge: Delta-neutral means no directional exposure. Negative Theta means time decay costs you money (buying options). Positive Theta means time earns you money (selling options).
Frequently Asked Questions
Delta measures how much an option price changes when the stock moves $1. A Delta of 0.50 means the option gains $0.50 for each $1 the stock rises. It also approximates the probability of expiring in-the-money.
Theta is the daily time decay of an option. A Theta of -$0.05 means the option loses $0.05 per day, all else equal. Time decay accelerates as expiration approaches.
Vega measures sensitivity to a 1% change in implied volatility. A Vega of $0.15 means the option price changes $0.15 for each 1% change in IV.
Gamma measures how fast Delta changes. High Gamma means Delta moves quickly as the stock price changes. At-the-money options near expiration have the highest Gamma.
For puts: Delta is negative (-1 to 0), Gamma is the same, Theta is usually negative (decays), Vega is the same, and Rho is negative.