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Trading Volatility: Delta & Gamma Calculator

Delta & Gamma Calculator

This calculator utilizes the inputs below to generate call & put prices, deltas, and gammas from the Black-Scholes model.


INPUTS (Change the numbers below to calculate other option price, delta, and gamma values.)
Underlying Value:
Strike:
Vol: (0.20 = 20% implied volatility)
Int Rate:
Dividend:
TTE: days = 0.05479452 years.

--
Call price: 56.2705
Call Delta: 0.5276
Call Gamma: 0.00289188
--
Put price: 53.4622
Put Delta: -0.4724
Put Gamma: 0.00289188


Intermediate Calculations:
ln (S/X): 0.00094295
d1 numerator: 0.00231787
d1 denom: 0.04716758
d1: 0.0691327
d2: 0.02196512
Nd1: 0.527558003775
N(-d1): 0.472441996225
Nd2: 0.508762110486
N(-d2): 0.491237889514
e_rt: 0.99998
Xe_rt: 2914.9417
e_qt: 1.0
Se_qt : 2917.75