Black-Scholes Greeks Calculator

Calculating Option Greeks with the Black-Scholes Calculator

When you calculate an option’s price in the Black-Scholes Calculator, the Greeks will also be calculated at the same time, because they need the very same input parameters as option prices:

You enter all the parameters in the top left corner of the “Pricing” sheet, in the area ranging cells A4-D21.

You can see the resulting option prices in column H and the Greeks – delta, gamma, theta, vega, and rho – in columns J-N, in row 4 for a call option and in row 6 for a put option.

Black-Scholes Greeks Charts

You can also display charts showing the impact of any of the 6 input parameters on any of the Greeks.

Select call/put in the combo in cell C25, the parameter in the combo in cell C27, and option price or any of the Greeks in combos in C33 and C35.

On the screenshot above the charts show the impact of underlying price on a call option’s price (upper chart) and delta (lower chart).

If you want to see a smaller section of the price range in detail, you can adjust the X axis scale in cells C29 and C30.

Black-Scholes Greeks Formulas

If you like, you can also see the exact Excel functions and calculations of the Greeks in the bottom part of the sheet “Pricing” (row 44 and below).

The formulas and Excel calculations of call and put delta, gamma, theta, vega, and rho are explained in detail in chapters 9 and 10 of the PDF guide to the calculator.

Here you can see more information about the functions and features of the Black-Scholes Calculator.

Related pages

citi reverse splithow to calculate weighted average inventoryskewness statistics formulakurtosis calculatorpercentile standard deviation calculatorannualize daily returnsusing excel to calculate standard deviationfree float factor calculationstock price volatility formulaall etf listtimevalue calculatorsexcel variance functionstraddle option strategy exampleatr technical analysispayoff put optioncontract multiplier futuresblack scholes option pricing model explainedexponential moving average c#vix fundstandard deviation from mean calculatorstoxx indicesnegative kurtosisyahoo finance s&p 500 historicalexcel macro averagemarket capitalization weighted indexpercentile calculator mean standard deviationcalculating covariance exampleatr average true rangeprice weighted index formulahow to find the wacc of a companycalculating stock volatilitydaily volatility calculation formulaoptions on vix futuresvix dow jonesformulae of profit and lossdef standard deviationaapl implied volatilitygeometric average financebearish vs bullishmacd histogramhow is vix calculatedformulas for standard deviationnotepad _macd divergence strategyleveraged volatility etfskewness definitionexcel formula macroput and call options for dummiesequally weighted portfoliohow to calculate rhoetn etfhow to trade macdvalue stock indexvariance calculation excelcustomize notepadcboe delayed quotestvix etnsample variance formula exampleaverages in exceledgar 13f filingsvariance defblack scholes pricerblack scholes greekcovariance calculation in excelmacd indicator settingsdelta otcmedian disadvantagesskewness kurtosis normal distributionmeaning of option contracttrading puts and calls for dummieshow to calculate formula in excelwhat is the formula for standard deviation in excelhow to trade using macdwhat does rsi stand for