Price a call or put and get all five Greeks — delta, gamma, theta, vega, rho — from the Black-Scholes model. Enter the underlying, strike, days to expiration, implied volatility and rate.
Black-Scholes (European, no dividends) — a close approximation for index-ETF options. For education, not a recommendation. Options involve significant risk of loss.
The Greeks tell you how one option behaves. NoVo maps the aggregate DEALER gamma across the whole chain — net GEX, the gamma-flip line, the walls — and draws where the tape pins and breaks, live on your chart.
Explore NoVo Analyst →The Greeks measure how an option's price reacts to the things that move it — the underlying, time, and volatility. This calculator prices a European call or put with the Black-Scholes model and returns all five. Enter the underlying, strike, days to expiration, implied volatility and the risk-free rate.
Delta — how much the option moves per $1 in the underlying (also a rough probability of finishing in the money). Gamma — how fast delta itself changes; it's highest at-the-money and explodes near expiration, which is the whole story of 0DTE. Theta — the dollars of time value the option bleeds per day. Vega — the change per 1 point of implied volatility. Rho — sensitivity to interest rates (small for short-dated options).
On expiration day, gamma is at its most violent — an at-the-money option's delta can swing from 0.5 toward 0 or 1 in minutes, so the option's price whips around far more than the underlying. That's the leverage, and the risk. Dealer gamma exposure is also what pins and unpins the tape — exactly what NoVo maps live. Learn the mechanics in The Journal.
Market data on this page is delayed and provided for general information only — it is not financial advice or a recommendation to trade. VIX/VXN/RVX are ~15-minute delayed (CBOE); index values use E-mini futures. Options trading involves significant risk of loss. © 2026 NoVo Options Trading.