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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 = 0.05479452 years.

--
Call price: 108.8303
Call Delta: 0.5214
Call Gamma: 0.00150849
Call Theta: -3.0544
Call Vanna: 0.00064
Call Charm: -0.45558
--
Put price: 102.4793
Put Delta: -0.4817
Put Gamma: 0.00150849
Put Theta: -2.2096
Put Vanna: 0.00064
Put Charm: -0.45558

Intermediate Calculations:
ln (S/X): -0.00178412
d1 numerator: 0.0041260889998349995
d1 denom: 0.04716758208420271
d1: 0.0496521
d2: 0.0024845179157972908
Nd1: 0.5198001859978126
N(-d1): 0.4801998140021874
Nd2: 0.5009911782232973
N(-d2): 0.4990088217767027
e_rt: 1.0001
Xe_rt: 5610.561
e_qt: 1.00302
Se_qt : 5616.912