Greeks Calculator
Select a Greek → Enter values → See live math
Result
0.536
per contract
Formula Steps
- →Δ_call = N(d₁)
- →N(d₁) = cumulative normal of d₁
- →d₁ = [ln(S/K) + (r + σ²/2)T] / (σ√T)
Powered by Black-Scholes model • Updated Jun 25, 2026, 7:04 a.m.
Formula Symbols Explained
S= Spot Price (current stock price)
K= Strike Price of the option
T= Time to expiration (in years)
r= Risk-free interest rate (annual %)
σ= Sigma, Implied Volatility (annual %)
N(x)= Cumulative normal distribution function
N'(x)= Normal probability density function
d₁, d₂= Intermediate values in Black-Scholes
e= Euler's number (≈ 2.71828)
ln= Natural logarithm
Key Insight:
The d₁ and d₂ values are the core of Black-Scholes pricing. They represent standardized distances between the current stock price and strike price, adjusted for volatility and time.