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| ← Back to Inputs & Pricing | ||||||||||||||||||||||
| GREEKS DASHBOARD | ||||||||||||||||||||||
| Greeks as a Function of Spot Price (holding other parameters constant) | ||||||||||||||||||||||
| Reference Inputs: | S=$100.00 K=$100.00 T=1.00yr r=5.00% vol=20.00% q=2.00% | |||||||||||||||||||||
| GREEKS vs SPOT PRICE | ||||||||||||||||||||||
| Spot Price | Call Price | Put Price | Call Delta | Put Delta | Gamma | Call Theta/day | Put Theta/day | Vega/1% | Call Rho/1% | Put Rho/1% | Vanna | |||||||||||
| $50.00 | $0.00 | $46.11 | 0.0006 | -0.9796 | 0.000222 | 0.0000 | 0.0103 | 0.0011 | 0.0003 | -0.9509 | 0.037946 | |||||||||||
| $55.00 | $0.01 | $41.22 | 0.0030 | -0.9772 | 0.000835 | -0.0002 | 0.0099 | 0.0051 | 0.0016 | -0.9497 | 0.134939 | |||||||||||
| $60.00 | $0.04 | $36.35 | 0.0104 | -0.9698 | 0.002292 | -0.0005 | 0.0093 | 0.0165 | 0.0058 | -0.9454 | 0.344362 | |||||||||||
| $65.00 | $0.13 | $31.54 | 0.0279 | -0.9523 | 0.004911 | -0.0013 | 0.0083 | 0.0415 | 0.0168 | -0.9344 | 0.671564 | |||||||||||
| $70.00 | $0.35 | $26.85 | 0.0614 | -0.9188 | 0.008620 | -0.0026 | 0.0067 | 0.0845 | 0.0395 | -0.9117 | 1.045976 | |||||||||||
| $75.00 | $0.78 | $22.39 | 0.1150 | -0.8652 | 0.012866 | -0.0046 | 0.0044 | 0.1447 | 0.0785 | -0.8727 | 1.339772 | |||||||||||
| $80.00 | $1.53 | $18.24 | 0.1895 | -0.7907 | 0.016802 | -0.0069 | 0.0018 | 0.2151 | 0.1363 | -0.8149 | 1.432490 | |||||||||||
| $85.00 | $2.70 | $14.51 | 0.2812 | -0.6990 | 0.019636 | -0.0094 | -0.0009 | 0.2837 | 0.2120 | -0.7392 | 1.272794 | |||||||||||
| $90.00 | $4.36 | $11.26 | 0.3832 | -0.5970 | 0.020908 | -0.0115 | -0.0033 | 0.3387 | 0.3013 | -0.6499 | 0.897212 | |||||||||||
| $95.00 | $6.54 | $8.54 | 0.4876 | -0.4926 | 0.020581 | -0.0131 | -0.0052 | 0.3715 | 0.3978 | -0.5534 | 0.403678 | |||||||||||
| $100.00 | $9.23 | $6.33 | 0.5869 | -0.3933 | 0.018951 | -0.0139 | -0.0063 | 0.3790 | 0.4946 | -0.4566 | -0.094753 | |||||||||||
| $105.00 | $12.39 | $4.59 | 0.6757 | -0.3045 | 0.016483 | -0.0141 | -0.0067 | 0.3634 | 0.5856 | -0.3657 | -0.508730 | |||||||||||
| $110.00 | $15.96 | $3.26 | 0.7511 | -0.2291 | 0.013651 | -0.0137 | -0.0065 | 0.3304 | 0.6666 | -0.2847 | -0.790693 | |||||||||||
| $115.00 | $19.88 | $2.28 | 0.8122 | -0.1680 | 0.010840 | -0.0128 | -0.0060 | 0.2867 | 0.7353 | -0.2159 | -0.933428 | |||||||||||
| $120.00 | $24.06 | $1.56 | 0.8599 | -0.1203 | 0.008299 | -0.0117 | -0.0051 | 0.2390 | 0.7913 | -0.1599 | -0.957609 | |||||||||||
| $125.00 | $28.46 | $1.05 | 0.8959 | -0.0843 | 0.006156 | -0.0106 | -0.0043 | 0.1924 | 0.8353 | -0.1159 | -0.896949 | |||||||||||
| $130.00 | $33.00 | $0.70 | 0.9222 | -0.0580 | 0.004442 | -0.0094 | -0.0034 | 0.1501 | 0.8688 | -0.0824 | -0.786376 | |||||||||||
| $135.00 | $37.66 | $0.46 | 0.9410 | -0.0392 | 0.003129 | -0.0084 | -0.0026 | 0.1141 | 0.8937 | -0.0576 | -0.655030 | |||||||||||
| $140.00 | $42.40 | $0.30 | 0.9541 | -0.0261 | 0.002159 | -0.0075 | -0.0020 | 0.0846 | 0.9117 | -0.0396 | -0.523601 | |||||||||||
| $145.00 | $47.20 | $0.19 | 0.9630 | -0.0172 | 0.001462 | -0.0067 | -0.0015 | 0.0615 | 0.9244 | -0.0268 | -0.404547 | |||||||||||
| $150.00 | $52.03 | $0.12 | 0.9690 | -0.0112 | 0.000975 | -0.0060 | -0.0010 | 0.0439 | 0.9333 | -0.0180 | -0.303758 | |||||||||||
| GREEKS vs TIME TO EXPIRATION | ||||||||||||||||||||||
| Time (Years) | Call Price | Put Price | Call Delta | Put Delta | Gamma | Call Theta/day | Put Theta/day | Vega/1% | Call Rho/1% | Put Rho/1% | Vanna | |||||||||||
| 0.05 | $1.86 | $1.71 | 0.5218 | -0.4772 | 0.088978 | -0.0528 | -0.0446 | 0.0890 | 0.0252 | -0.0247 | -0.022244 | |||||||||||
| 0.10 | $2.67 | $2.37 | 0.5304 | -0.4676 | 0.062756 | -0.0384 | -0.0302 | 0.1255 | 0.0504 | -0.0491 | -0.031378 | |||||||||||
| 0.15 | $3.30 | $2.85 | 0.5370 | -0.4601 | 0.051109 | -0.0320 | -0.0238 | 0.1533 | 0.0756 | -0.0733 | -0.038332 | |||||||||||
| 0.20 | $3.85 | $3.25 | 0.5423 | -0.4537 | 0.044148 | -0.0281 | -0.0200 | 0.1766 | 0.1008 | -0.0972 | -0.044148 | |||||||||||
| 0.30 | $4.78 | $3.89 | 0.5511 | -0.4429 | 0.035863 | -0.0235 | -0.0155 | 0.2152 | 0.1510 | -0.1445 | -0.053794 | |||||||||||
| 0.40 | $5.59 | $4.40 | 0.5583 | -0.4337 | 0.030899 | -0.0208 | -0.0128 | 0.2472 | 0.2010 | -0.1911 | -0.061798 | |||||||||||
| 0.50 | $6.31 | $4.83 | 0.5645 | -0.4256 | 0.027496 | -0.0188 | -0.0109 | 0.2750 | 0.2507 | -0.2370 | -0.068739 | |||||||||||
| 0.60 | $6.97 | $5.21 | 0.5699 | -0.4182 | 0.024972 | -0.0174 | -0.0095 | 0.2997 | 0.3001 | -0.2821 | -0.074915 | |||||||||||
| 0.70 | $7.58 | $5.53 | 0.5747 | -0.4114 | 0.023001 | -0.0163 | -0.0085 | 0.3220 | 0.3492 | -0.3267 | -0.080504 | |||||||||||
| 0.80 | $8.16 | $5.83 | 0.5791 | -0.4050 | 0.021406 | -0.0154 | -0.0076 | 0.3425 | 0.3980 | -0.3706 | -0.085623 | |||||||||||
| 0.90 | $8.71 | $6.09 | 0.5831 | -0.3990 | 0.020078 | -0.0146 | -0.0069 | 0.3614 | 0.4465 | -0.4139 | -0.090352 | |||||||||||
| 1.00 | $9.23 | $6.33 | 0.5869 | -0.3933 | 0.018951 | -0.0139 | -0.0063 | 0.3790 | 0.4946 | -0.4566 | -0.094753 | |||||||||||
| 1.10 | $9.73 | $6.55 | 0.5903 | -0.3880 | 0.017976 | -0.0134 | -0.0058 | 0.3955 | 0.5423 | -0.4988 | -0.098870 | |||||||||||
| 1.20 | $10.20 | $6.75 | 0.5935 | -0.3828 | 0.017123 | -0.0129 | -0.0053 | 0.4110 | 0.5897 | -0.5404 | -0.102738 | |||||||||||
| 1.30 | $10.66 | $6.94 | 0.5965 | -0.3779 | 0.016367 | -0.0124 | -0.0049 | 0.4255 | 0.6368 | -0.5814 | -0.106387 | |||||||||||
| 1.50 | $11.54 | $7.27 | 0.6019 | -0.3685 | 0.015082 | -0.0116 | -0.0042 | 0.4524 | 0.7298 | -0.6618 | -0.113112 | |||||||||||
| 1.70 | $12.37 | $7.56 | 0.6068 | -0.3598 | 0.014022 | -0.0110 | -0.0037 | 0.4768 | 0.8213 | -0.7402 | -0.119189 | |||||||||||
| 1.90 | $13.15 | $7.81 | 0.6111 | -0.3516 | 0.013128 | -0.0104 | -0.0032 | 0.4989 | 0.9114 | -0.8164 | -0.124720 | |||||||||||
| 2.00 | $13.52 | $7.93 | 0.6131 | -0.3476 | 0.012731 | -0.0102 | -0.0030 | 0.5092 | 0.9558 | -0.8538 | -0.127306 | |||||||||||
| 2.50 | $15.28 | $8.40 | 0.6218 | -0.3294 | 0.011099 | -0.0091 | -0.0022 | 0.5549 | 1.1726 | -1.0336 | -0.138732 | |||||||||||
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