GammaWins Calculator

We currently use end-of-day (EOD) data because live options data comes with a significant cost, and we're focused on building the core product first.

Live data is planned for early 2026, along with new features that make the most of real-time information. Sign up for our newsletter to get notified when it’s live.

Not yet. GammaWins currently supports equity and index options listed on US equity options exchanges. We plan to add more markets and asset classes over time. Sign up for our newsletter to get updates as we expand.

We use a mix of models to balance speed and accuracy across different option types:

• European options → Black-Scholes
• American calls without dividends → Black-Scholes
• American puts without dividends → Bjerksund-Stensland
• American options with dividends → Finite difference method

This approach gives you accurate results without sacrificing performance. Most other platforms use only the Black-Scholes model, which can misprice American-style puts and options on dividend-paying stocks.

We use ex-dividend dates and adjust the underlying price on the ex-div date just like in the real world. Most other websites use the simpler Black-Scholes model, which assumes a constant daily dividend rate. That misses the impact of specific payout dates.

We estimate future dividends by projecting the most recent 12 months (or multiple years) of dividend payments forward, assuming similar payout policies.

We use production-grade libraries that are widely used by trading firms including HFTs and market makers. These models are fast, stable, and proven in real-world conditions.

You can expect pricing and Greeks to be very close to fair value under typical market conditions.

You might see sharp changes in Greeks for American puts or options on dividend-paying stocks. This happens when early exercise becomes optimal — for example, near ex-dividend dates or deep in the money close to expiry.

In those regions, the option’s value can shift quickly, and Greeks like delta or theta reflect that with sudden changes. It’s not a bug — it’s how early exercise works.

Not yet. Traditional heatmaps for options can be hard to read and interpret. We're working on a better way to visualize prices by date and underlying price, something more intuitive and easier to use.

Sign up for our newsletter to get updates when it's available.

It sets the price at which the charts display how your strategy’s value and greeks change over time. The underlying price stays fixed in the chart while the time axis moves.

It sets the date for which the chart displays your strategy’s value and greeks across different underlying prices. The price axis varies, while the date stays fixed.

Yes — click the Share button above the option legs to generate a link you can revisit later. Shared links stay active for at least 90 days after their last use.

Shared links remain available for at least 90 days after they were last opened.

You're viewing a shared strategy that was created with older data. Since that historical data is no longer available in the app, we disable edits to ensure the results remain consistent with what was originally saved.

We're working on adding support for calculations based on historical data, which would allow full editing even for older links. Sign up for our newsletter to get updates when this is ready.

Please send us an email with a screenshot and, if possible, a share link from the app (you can create one using the Share button above the option legs).

Thanks for helping us make GammaWins better!