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Gamma Calculator

This calculator utilizes the inputs below to generate call & put prices, delta, gamma, and theta 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 = 0.09315068 years.

--
Call price: 84.37
Call Theta: -1.9398
Vega: 7.102
Call Delta: 0.43
Call Gamma: 0.0014517352530741153
Call Vanna: 0.00564
Call Charm: -0.00254
--
Put price: 136.71
Put Theta: -1.0399
Vega: 7.102
Put Delta: -0.57
Put Gamma: 0.0014517352530741153
Put Vanna: 0.00564
Put Charm: -0.00254

Intermediate Calculations:
ln (S/X): -0.01392991
d1 numerator: 0.00617123255
d1 denom: 0.0457808956985215
d1: -0.1694741
d2: -0.2152549956985215
Nd1: 0.4327118714394951
N(-d1): 0.5672881285605049
Nd2: 0.4147842576787698
N(-d2): 0.5852157423212302
n_pdf_d1: 0.39325411678027994
e_rt: 0.99489
Xe_rt: 5969.34
e_qt: 1.0
Se_qt : 5917.0