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 = 0.05479452 years.

--
Call price: 60.979
Call Delta: 0.5443
Call Gamma: 0.00289098
Call Theta: -1.5947
--
Put price: 49.3218
Put Delta: -0.4587
Put Gamma: 0.00289098
Put Theta: -1.1557

Intermediate Calculations:
ln (S/X): 0.00092581
d1 numerator: 0.00412609
d1 denom: 0.04716758
d1: 0.1071053
d2: 0.05993772
Nd1: 0.542647278717518
N(-d1): 0.45735272128248206
Nd2: 0.5238973811653592
N(-d2): 0.4761026188346408
e_rt: 0.99995
Xe_rt: 2914.85425
e_qt: 1.00302
Se_qt : 2926.511454