Options Gamma Calculator
Estimate the gamma of European options: how fast delta changes as spot moves by 1 unit.
Results
Fill in the inputs and click Calculate.
- Gamma
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Risk disclaimer
This calculator provides theoretical references, not investment advice. Real markets include supply/demand, vol surfaces and liquidity; Greeks change in real time.
What does it measure?
Gamma is the second-order sensitivity of price to spot. It peaks near at-the-money, where delta changes fastest.
How to use
- Choose call or put.
- Enter spot, strike, time to expiry in years and annual volatility %.
- Risk-free rate defaults to 0; fill it in if needed.
- Click Calculate to see this Greek.
Formula (Black-Scholes)
- Γ = φ(d1) ÷ (S·σ·√T)
Example
Spot 100, strike 100, 1 year, vol 20%, rate 0%: gamma ≈ 0.01985 (delta changes ≈ 0.0199 per $1).
FAQ
How should I read these values?
Each is a model-based partial derivative of option price: Delta w.r.t. spot, Gamma w.r.t. delta, Vega w.r.t. volatility, Theta w.r.t. time.
Why is the risk-free rate 0 by default?
Crypto options are often priced with a near-zero risk-free rate; change it for classic-market comparisons.