Greeks & Probability Calculator

Set the inputs to see an option's theoretical value, Greeks, breakeven and probability of profit. Drag the sliders — everything updates live.

Inputs

Type Call Put

Side Short (sell) Long (buy)

Underlying price $100

Strike $105

Days to expiration 45 d

Implied volatility 25%

Risk-free rate 4%

Results — one contract (100 shares)

Model: Black-Scholes for European options with no dividends. Greeks are position-adjusted (negative delta and positive theta for short positions) and scaled to one contract. "Probability of profit" and "P(ITM)" are risk-neutral, expiry-based estimates — real-world odds differ because of skew, drift, dividends, and early assignment on American options. This is an educational tool with inputs you choose; it is not live market data and not financial advice. See the Risk Disclosure & Terms.