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

how to calculate historical volatilitystandard deviation and variance for grouped datavix historical chartapple stock history graphdelta formulasj welles wilder pdfshorting a put optionspx volatility indexblack scholes model equationpopulation variance formula excelnormal distribution kurtosisannualized return calculator excelannualized return formulablack scholes tableformula for calculating standard deviation in excelvix trading strategiesvix futures expiration calendarstrangle strategy examplescboe vix data13f filings hedge fundsput option strike pricehow to calculate sigma squaredmoving average c#formula for calculating skewnesskurtosis meaningblack schole modelexcel stock spreadsheetstandard deviation computational formulaschedule 13fexcel simple formulasstock covariance calculatorstandard deviation in finance formulafutures notional valueintrinsic value of a call optionvix chartsipath s&p 500 vix short-term futures etnnotepad fontshow to create equations in excelfinance tvixproshares ultra vix short-term futureskurtosis graphcalculating median in excelunderstanding the vixhow to calculate annual rate of return in excelcontinuous compounded returnformula for calculating standard deviation in excelkurtosis tradinggamma calculatorsample variance formula in excele-tracsblack scholes theorynotepad backgroundbullish divergence macdskewness calculator onlinemacd indicator formulamedian calculation excelhow to calculate stdevspvxstr indexarbitrage hedge fundexcel exponential moving averageskew statisticsvolatility etnexcel probability formulasyahoo quotes csvexcel square root formulastandard deviation of a sample calculatorbackground notepadhow to calculate standard deviation in excel 2007div yield formulaformula for sample variance statisticprice weighted indexlong straddle option