Theoretical pricing and Greeks for any strike — powered by real market data. Select a symbol, pick your contract, and explore what-if scenarios.
Price change per $1 move in the underlying. Measures directional exposure.
Rate of change of delta per $1 move. Highest near ATM and expiration.
Daily time decay — how much value the option loses each calendar day.
Price change per 1% increase in implied volatility.
Price change per 1% move in the risk-free interest rate.
See gamma exposure profiles, dealer positioning, real-time flow, and volatility surfaces for 13+ symbols. Understand where the market is pinned and where it's about to move.
Three steps to accurate options pricing with real market data.
Select from top traded names. We pull live spot prices, actual expirations, and real implied volatility from the options chain.
Pick the expiration date and strike price. All parameters auto-fill from live market data — no guessing at IV.
Adjust any parameter with sliders to see how price, time, and volatility shifts affect your option's value and Greeks in real time.
Everything you need to know about options pricing and this calculator.
GammaLens gives you the exposure data that moves markets — gamma profiles, dealer positioning, volatility surfaces, and institutional flow.
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