Not financial advice. Options involve risk and are not suitable for all investors. Data is delayed up to 15 minutes.
Calculate Delta, Gamma, Theta, Vega, and Rho for any option position.
Calls: 0 to 1, Puts: -1 to 0
Measures how much an option's price changes for a $1 move in the underlying stock. A delta of 0.50 means the option gains $0.50 for each $1 increase in stock price. Delta also approximates the probability of expiring in-the-money.
Always positive for long options
Measures the rate of change of delta. High gamma means delta changes quickly with stock price movement. ATM options near expiration have the highest gamma, making them sensitive to stock movement.
Negative for long options, positive for short
Measures daily time decay — how much value the option loses each day if nothing else changes. Theta accelerates as expiration approaches, especially for ATM options.
Always positive for long options
Measures sensitivity to a 1% change in implied volatility. Higher vega means the option's price is more affected by volatility changes. Longer-dated ATM options have higher vega.