Ticker Teleport

Options desk

Black-Scholes

Options Calculator

Import ticker price

Stock price$Strike$Days to expirydVolatility%Risk-free rate%Dividend yield%

call value

$4.23

Call

$4.23

Put

$3.77

Delta

0.5344

Theta/day

-0.0742

Moneyness

0.00%

Expiry

30d

D1

0.0862

D2

0.0059

Greeks

Risk Sensitivities

call

Delta

0.5344

Gamma

0.0396

Vega/pt

0.1424

Theta/day

-0.0742

Rho/pt

0.0514

CallGreekPut

0.5344

Delta

-0.4656

0.0396

Gamma

0.0396

0.1424

Vega/vol pt

0.1424

-0.0742

Theta/day

-0.0588

0.0514

Rho/rate pt

-0.0509

Educational model. Assumes European exercise, continuous rates, continuous dividend yield, and constant volatility.