Strategy builder

Combine calls, puts and the underlying into spreads, straddles and butterflies. See what the position pays at expiry, what it costs today, where it breaks even and how its Greeks net out. Every option leg is priced with Black-Scholes from the market inputs on the left, which are shared with the other pages.

Position

Bull call spread: Buy a call, sell a higher call. Cheaper than a call alone, with capped profit.

Legs of the strategy: type, strike and signed quantity
Leg	Strike	Qty	Remove
Call
Call

Quantity: positive is long, negative is short.

Market

Spot price (S)

Volatility (σ)

Maturity (T)

Rate (r)

Yield (q)

Try this

0 of 3 done

A cheaper bullish bet

Compare the long call preset with the bull call spread preset.

What to look for: The spread costs less and its breakeven is lower, but its profit is capped at the higher strike. You sold the upside to pay for the position.

A straddle needs a move

Load the long straddle, read the breakevens, then raise the volatility.

What to look for: The breakevens sit at the strike plus and minus the total premium. Higher volatility makes the options dearer and pushes the breakevens further apart.

Make it delta-neutral

Build a straddle with one call and one put and read the net delta. Then move both strikes up together until the net delta is close to zero.

What to look for: At the money the call's delta outweighs the put's, so the position is slightly long. Raising the strike lowers the call delta until they cancel.

Net debit

$4.41

Paid to open

Max profit

$5.59

Max loss

-$4.41

Breakeven

$104.41

"Today" marks the position to market with Black-Scholes at each spot with the full time to maturity left, which is what the position would be worth if the spot jumped there right now.

Legs

Leg	Unit price	Value	Delta	Vega	Theta / day
Long 1 call @ 100	$10.45	$10.45	0.6368	0.3752	-0.0176
Short 1 call @ 110	$6.04	-$6.04	-0.4496	-0.3958	0.0162
Net		$4.41	0.1872	-0.0205	-0.0014

Vega per one percentage point of volatility, Theta per calendar day. The underlying has Delta 1 and no other Greeks.

Net Greeks of the whole position

Greeks

Raw values are partial derivatives. The practitioner column rescales them to the units traders quote: per 1 volatility point, per 1% of rate, or per calendar day. Each leg's Greeks times its signed quantity, summed. A delta near zero means the position is hedged against small moves in the spot.

Greek	Definition	Raw	Practitioner	Meaning
Delta Δ	`∂V/∂S`	0.18718	0.18718 per $1 of spot	How much the option price moves for a $1 move in the underlying. Also the number of shares needed to hedge one option.
Gamma Γ	`∂²V/∂S²`	-0.001026	-0.001026 per $1 of spot	How fast Delta changes as the underlying moves. High Gamma means the hedge must be rebalanced often.
Vega ν	`∂V/∂σ`	-2.052	-0.02052 per 1 vol point	Sensitivity to implied volatility. Long options gain value when volatility rises.
Theta Θ	`∂V/∂t`	-0.51019	-0.0013978 per calendar day	Time decay: how much value the option loses as one day passes with everything else unchanged.
Rho ρ	`∂V/∂r`	14.308	0.14308 per 1% of rate	Sensitivity to the risk-free rate. Calls gain and puts lose when rates rise.
Epsilon ε	`∂V/∂q`	-18.718	-0.18718 per 1% of yield	Sensitivity to the dividend yield. Higher expected dividends lower the forward price, hurting calls and helping puts.

Second-order Greeks

Greek	Definition	Raw	Practitioner	Meaning
Vanna	`∂²V/∂S∂σ`	-0.92761	-0.0092761 per 1 vol point	How Delta changes when volatility changes, or equally how Vega changes when spot moves.
Vomma	`∂²V/∂σ²`	1.6726	0.00016726 per 1 vol point²	Convexity in volatility: how Vega itself changes as volatility moves.
Charm	`∂Δ/∂t`	0.097891	0.00026819 per calendar day	Delta decay: how the hedge ratio drifts as one day passes.
Speed	`∂³V/∂S³`	-0.00044328	-0.00044328 per $1 of spot	How Gamma changes as the underlying moves.
Zomma	`∂Γ/∂σ`	0.0059663	5.9663E-05 per 1 vol point	How Gamma changes when volatility changes.
Color	`∂Γ/∂t`	0.0016711	4.5783E-06 per calendar day	Gamma decay: how Gamma changes as one day passes. Explodes for at-the-money options near expiry.