Greeks explorer
Move the inputs and watch the five Black-Scholes Greeks update. Each Greek is a sensitivity of the option price: delta to the spot, gamma to delta itself, vega to volatility, theta to the passage of time, and rho to the rate. They all build on d₁ and d₂.
Curve Δ DeltaAt spot 0.5840
Δ DeltaN(d₁)0.5840
Γ Gammaφ(d₁)/(S·σ·√T)0.02758
𝒱 Vegaper 1.00 vol · per 1% = 0.275827.582
Θ Thetaper year · per day = −0.0208−7.587
ρ Rhoper 1.00 rate · per 1% = 0.258925.886
d₁0.2121
d₂0.0707
Vega and gamma are identical for a call and a put; delta, theta and rho differ by side.
Spot S100
Strike K100
Volatility σ20%
Maturity T0.50 yr
Rate r4.0%