Derivatives Pricer
Black-Scholes · Greeks · IV Solver · Sensitivity Analysis
Black-Scholes Pricer
Spot Price (S)
Current stock price
Strike Price (K)
Option strike
Time to Expiry (T)
In years e.g. 0.25 = 3mo
Risk-Free Rate (r)
Annual e.g. 0.05 = 5%
Volatility (σ)
Annual e.g. 0.25 = 25%
Live Greeks
Delta (Δ)0.4991
Gamma (Γ)0.0212
Theta (Θ)-0.0512
Vega (ν)0.2977
Rho (ρ)0.1895
Payoff at Expiry
P&L diagram vs spot price — K=$155 · breakeven
Greeks Reference
Δ Delta
Price change per $1 move in spot. 0→1 for calls, -1→0 for puts.
Γ Gamma
Rate of delta change. Highest ATM near expiry.
Θ Theta
Daily time decay. Long options lose value each day.
ν Vega
P&L per 1% vol move. Long options gain from rising vol.
ρ Rho
Rate sensitivity. Less important than other Greeks.