Option Greeks Calculator
Option Greeks: a planned Super Calculator tool. Covers spot (currency) and strike (currency). Stub page while the tool and its worked example are prepared.
Option Greeks Calculator is a planned calculator in the finance section of Super Calculator, covering options and derivatives.
What this calculator will compute
Inputs: spot (currency), strike (currency), time to expiry (years), rate (%), volatility (%), dividend yield (%) and option type.
Outputs: delta, gamma, vega, theta, rho and position level Greeks for a quantity.
Formula, recorded as scope and not yet verified against a primary source: Analytic Black-Scholes sensitivities: delta = e^(-qT) N(d1) for a call, gamma = e^(-qT) phi(d1)/(S sigma sqrt(T)), vega = S e^(-qT) phi(d1) sqrt(T), theta and rho by their standard closed forms. Vega and rho are conventionally quoted per one percentage point and theta per calendar day, and the scaling convention must be stated.
Status
This page is a stub. The calculator is not built, no figure on this page has been verified against the authority that sets it, and nothing here should be used to make a decision. The page exists so that the site structure is complete and so that articles can link this concept on first mention.
The stub carries noindex, nofollow and is excluded from the sitemap.