Parameters
Stock Price (S) S
Strike Price (K) K
Time to Expiry (years) T
Risk-Free Rate (%) r
Volatility σ (%) σ
Dividend Yield (%) q
Results
Call Price
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Put Price
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Moneyness
Moneyness describes the relationship between spot (S) and strike (K).
ITM (In The Money): Call when S > K; Put when S < K — has intrinsic value.
ATM (At The Money): S ≈ K (within 1%). All value is time value.
OTM (Out of The Money): Call when S < K; Put when S > K — pure time value.
ITM (In The Money): Call when S > K; Put when S < K — has intrinsic value.
ATM (At The Money): S ≈ K (within 1%). All value is time value.
OTM (Out of The Money): Call when S < K; Put when S > K — pure time value.
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Intrinsic / Time Value
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Break-Even (Call)
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Break-Even (Put)
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The Greeks — Call / Put (hover for explanation)
Delta (Δ) — Rate of change of option price per $1 move in the stock.
Call Δ ranges 0→1. Put Δ ranges −1→0. ATM options ≈ ±0.50.
Example: Δ = 0.65 means the call gains ~$0.65 when the stock rises $1.
Call Δ ranges 0→1. Put Δ ranges −1→0. ATM options ≈ ±0.50.
Example: Δ = 0.65 means the call gains ~$0.65 when the stock rises $1.
Δ
Delta
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Gamma (Γ) — Rate of change of Delta per $1 stock move (Delta's delta).
High Γ = Delta changes rapidly. Peaks at ATM near expiry. Both calls and puts share the same Γ.
Long options have positive Γ (convexity works in your favor).
High Γ = Delta changes rapidly. Peaks at ATM near expiry. Both calls and puts share the same Γ.
Long options have positive Γ (convexity works in your favor).
Γ
Gamma
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Theta (Θ) — Daily time decay of the option's value (per calendar day).
Negative for long options — you lose money every day from time decay alone. At-the-money options near expiry have the fastest decay.
Theta is the "rent" you pay to hold an option.
Negative for long options — you lose money every day from time decay alone. At-the-money options near expiry have the fastest decay.
Theta is the "rent" you pay to hold an option.
Θ
Theta/day
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Vega (ν) — Change in option price per 1% increase in implied volatility.
High Vega = option is very sensitive to volatility changes. Peaks near ATM with longer expiry.
Example: Vega = 0.25 means the option gains $0.25 if volatility rises 1%.
High Vega = option is very sensitive to volatility changes. Peaks near ATM with longer expiry.
Example: Vega = 0.25 means the option gains $0.25 if volatility rises 1%.
ν
Vega/1%
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Rho (ρ) — Change in option price per 1% change in the risk-free interest rate.
Calls have positive Rho (higher rates → higher call value). Puts have negative Rho.
Rho matters most for long-dated options; it's small for short-term contracts.
Calls have positive Rho (higher rates → higher call value). Puts have negative Rho.
Rho matters most for long-dated options; it's small for short-term contracts.
ρ
Rho/1%
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