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> OPTIONS_GREEKS_SANDBOX.sh

Options Greeks Sandbox

A live options calculator — Black-Scholes-Merton for European exercise, a Cox-Ross-Rubinstein binomial tree for American early exercise. Drag the sliders to reprice a call or put in real time and see how Delta, Gamma, Vega, Theta, and Rho respond.

Asset Price (S)
$
Strike Price (K)
$
Days to Expiry
d
Volatility
%
Risk-Free Rate
%
EUROPEAN CALL PREMIUM
$3.63
Delta (Δ)0.5362+$1 in S → +0.54 premium
Gamma (Γ)0.0462+$1 in S → Δ shifts +0.0462
Vega (ν)0.1139+1pt vol → +0.11 premium
Theta (Θ)-0.06381 day passes → -0.06 premium
Rho (ρ)0.0411+1pt rate → +0.04 premium
SENSITIVITY VS. ASSET PRICE
-341219263370100130
S=100.0 · Option Value: 3.63 · Intrinsic at Expiry: 0.00
Option Value
Intrinsic at Expiry