My Watchlist
Stock Ratings
SPX 0-DTE Chart
GEX Charts
Options Volume
Charm & Vanna
Skew Charts
Open Interest
Dark Pool Charts
GEX Dashboard
Skew Dashboard
Idea Dashboard
Dark Pool Dashboard
Put/Call Dashboard
Gamma Calculator
Pivot Charts
Tradier Portal
Preferences
Education Hub
Guide Bot
Analyst Bot
API
Blog
Contact
Terms of Use
Sign Out
Help
Education Hub
Guide Bot
Analyst Bot
Alerts
Tools
My Watchlist
Stock Ratings
SPX 0-DTE Chart
GEX Charts
Options Volumes
Charm & Vanna
Skew Charts
Open Interest
Dark Pool Charts
GEX Dashboard
Skew Dashboard
Idea Dashboard
Dark Pool Dashboard
Put/Call Dashboard
Gamma Calculator
Pivot Charts
Tradier
API
Blog
Contact
Crunching numbers. Please wait...
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:
5917.0
Strike:
6000.0
Vol:
0.15
(0.20 = 20% implied volatility)
Int Rate:
0.055
Dividend:
0.0
TTE:
34.0
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