Tools
Option calculator
Price a call or put on a crypto underlying under Black–Scholes or Heston, by closed form, PDE grid and Monte Carlo simulation, and see all 34 Greeks.
Present value · Black–Scholes · Closed form
7,105.32
- Forward
- 60,000
- Intrinsic value
- 0
- Time value
- 7,105.32
Across the underlying
Greeks · 34
- 0.559211
- per 1 underlying unit
- 2.207e-5
- per 1 underlying unit
- −39.1828
- per day
- 117.549
- per 1 vol point
- −0.440789
- per 1 strike unit
- 2.207e-5
- per 1 strike unit
- 0.000979571
- per 1 underlying unit and 1 vol point
- −0.000326524
- per 1 underlying unit and 1 day
- −0.0434769
- per 1 vol point
- −0.638555
- per 1 vol point and 1 day
- −0.222513
- per day
- 0.000979571
- per 1 strike unit and 1 vol point
- −0.000326524
- per 1 strike unit and 1 day
- −5.518e-10
- per 1 underlying unit
- 1.253e-7
- per 1 underlying unit and 1 day
- −3.760e-7
- per 1 underlying unit and 1 vol point
- −3.623e-7
- per 1 underlying unit and 1 vol point
- −0.000708534
- per 1 vol point
- −5.321e-6
- per 1 underlying unit, 1 vol point and 1 day
- −1.854e-6
- per 1 underlying unit and 1 day
- −5.321e-6
- per 1 strike unit, 1 vol point and 1 day
- −3.760e-7
- per 1 strike unit and 1 vol point
- −5.518e-10
- per 1 strike unit
- 3.760e-7
- per 1 underlying unit, 1 strike unit and 1 vol point
- 1.240e-8
- per 1 underlying unit and 1 vol point
- −3.848e-6
- per 1 vol point and 1 day
- 7.981e-7
- per 1 vol point
- 0
- per 1 underlying unit
- −3.133e-12
- per 1 underlying unit and 1 day
- 9.400e-12
- per 1 underlying unit and 1 vol point
- −2.045e-9
- per 1 underlying unit, 1 vol point and 1 day
- 5.994e-9
- per 1 underlying unit, 1 vol point and 1 day
- −3.156e-8
- per 1 underlying unit, 1 vol point and 1 day
- 2.045e-9
- per 1 underlying unit, 1 strike unit, 1 vol point and 1 day
Model values for illustration, from fixed market data with zero interest rates, as on Trading Terminal. They are not quotes.
About this product
A European option gives the right to buy (call) or sell (put) the underlying at the strike on the expiry date, and only then.
Black–Scholes holds volatility constant. Heston lets it move at random, pulled back towards a long-run level, and tends to raise it when the price falls. The same option can be worth noticeably different amounts under the two.
What you can change
The contract terms above. Market data, model parameters and numerical settings are fixed for this demo and shown with each result.
The Greeks
- Delta per 1 underlying unit
- How much the option's value changes when the underlying moves by 1 unit. It is the basic measure of directional exposure.
- Gamma per 1 underlying unit
- How much Delta changes when the underlying moves by 1 unit.
- Theta per day
- How much the value changes as one calendar day passes, with everything else unchanged.
- Vega per 1 vol point
- How much the option's value changes when volatility rises by 1 point, for example from 20% to 21%.
- Dual Delta per 1 strike unit
- How much the option's value changes when the strike is 1 unit higher, with everything else unchanged.
- Dual Gamma per 1 strike unit
- How much Dual Delta changes when the strike is 1 unit higher.
- Vanna per 1 underlying unit and 1 vol point
- How much Delta changes when volatility rises by 1 point. It is also how much Vega changes when the underlying moves by 1 unit.
- Charm per 1 underlying unit and 1 day
- How much Delta changes as one day passes, with the underlying unchanged.
28 more Greeks
- Vomma per 1 vol point
- How much Vega changes when volatility rises by 1 point. Also known as Volga.
- Veta per 1 vol point and 1 day
- How much Vega changes as one day passes, with volatility unchanged.
- Thetanna per day
- How much Theta changes as one day passes.
- Surface Vanna per 1 strike unit and 1 vol point
- How much Dual Delta changes when volatility rises by 1 point. It is also how much Vega changes when the strike is 1 unit higher.
- Surface Charm per 1 strike unit and 1 day
- How much Dual Delta changes as one day passes.
- Speed per 1 underlying unit
- How much Gamma changes when the underlying moves by 1 unit.
- Color per 1 underlying unit and 1 day
- How much Gamma changes as one day passes, with the underlying unchanged.
- Zomma per 1 underlying unit and 1 vol point
- How much Gamma changes when volatility rises by 1 point.
- Zomanna per 1 underlying unit and 1 vol point
- How much Vanna changes when volatility rises by 1 point. It is also how much Vomma changes when the underlying moves by 1 unit.
- Ultima per 1 vol point
- How much Vomma changes when volatility rises by 1 point.
- Vannacay per 1 underlying unit, 1 vol point and 1 day
- How much Vanna changes as one day passes, with the underlying and volatility unchanged.
- Charisma per 1 underlying unit and 1 day
- How much Charm changes as one day passes: whether Delta's daily drift is speeding up or slowing down.
- Droplet per 1 strike unit, 1 vol point and 1 day
- How much Surface Vanna changes as one day passes.
- Flare per 1 strike unit and 1 vol point
- How much Dual Gamma changes when volatility rises by 1 point.
- Lightning per 1 strike unit
- How much Dual Gamma changes when the strike is 1 unit higher.
- Halo per 1 underlying unit, 1 strike unit and 1 vol point
- How much Vanna changes when the strike is 1 unit higher. It shows how the link between price and volatility differs from strike to strike.
- Gammega per 1 underlying unit and 1 vol point
- How much Zomma changes when volatility rises by 1 point. It shows how Gamma responds to large volatility moves, not just small ones.
- Chronomma per 1 vol point and 1 day
- Whether Vomma's daily drift is speeding up or slowing down as days pass. It ties the passing of time to the response to large volatility moves.
- Quatromma per 1 vol point
- How much Ultima changes when volatility rises by 1 point. It is the fourth step in the chain that starts with Vega.
- Quatrospeeda per 1 underlying unit
- How much Speed changes when the underlying moves by 1 unit. It is the fourth step in the chain that starts with Delta.
- Chronospeeda per 1 underlying unit and 1 day
- How much Speed changes as one day passes, with the underlying and volatility unchanged.
- Volaspeeda per 1 underlying unit and 1 vol point
- How much Speed changes when volatility rises by 1 point.
- Instability per 1 underlying unit, 1 vol point and 1 day
- How much Zomma changes as one day passes: how the link between Gamma and volatility shifts over time.
- Echo per 1 underlying unit, 1 vol point and 1 day
- How much Zomanna changes as one day passes.
- Vannaccel per 1 underlying unit, 1 vol point and 1 day
- How much Vannacay changes as one day passes: whether Vanna's daily drift is speeding up or slowing down.
- Aurora per 1 underlying unit, 1 strike unit, 1 vol point and 1 day
- How much Halo changes as one day passes. It covers the underlying, strike, volatility and time together.
- Initial variance 01 per 1bp
- How much the value changes when the model's starting variance rises by 1bp (0.0001). The starting variance sets how volatile the underlying is today.
- Rate 01 per 1bp
- How much the value changes when interest rates rise by 1bp (0.01%).
Live Greeks for every position across your exchange accounts are in Trading Terminal. Trading Terminal →
Need barriers, touches, TARFs or swaptions? Go to the Complex Asset Pricer →