Options Theta Decay Calculator

Our US options data is sourced from OPRA through our data provider. US stock prices come from the same provider, which aggregates exchange-reported prices.

For Nordic markets, both option and stock prices are based on MiFID II delayed exchange data.

Index levels are estimated internally using option prices together with our own dividend estimates.

We currently support US, Swedish, Danish and Norwegian equity and equity index options.

We're continuously evaluating additional markets based on user demand. If there's another market you'd like to see supported, feel free to reach out.

We use Black-Scholes for European options and call options on stocks, and Bjerksund-Stensland for American put options.

Most other websites only use the Black-Scholes model, which can misprice American-style puts.

All volatility measures are calculated on a 30-day basis.

The 30-day ATM IV is interpolated from the option strikes immediately below and above the current underlying price, using the two option chains closest to 30 days to expiration.

Model-free IV is calculated using the same methodology as the VIX and represents the market's forward-looking 30-day implied volatility.

Realized Volatility (RV) is backward-looking and measures the annualized standard deviation of the underlying's logarithmic returns over the previous 30 days. For index options, the underlying price used in these calculations is our own estimate based on option prices and expected dividends.

The rank and percentile values are calculated using the previous one year of historical data.

Model-free IV is a measure of 30-day implied volatility calculated using the entire option chain rather than just at-the-money options.

Unlike traditional implied volatility, it is derived directly from option prices without fitting them to an option pricing model such as Black-Scholes, hence the name model-free.

Because the calculation relies heavily on out-of-the-money options, it works best in liquid markets with tight bid/ask spreads. Illiquid options or wide spreads can reduce its accuracy.

Option prices update continuously throughout the trading day. Although GammaWins uses exchange-sourced market data, small price differences can occur because of differences in data delivery latency between your broker and our data provider.

Differences in implied volatility and the Greeks are often more noticeable and usually caused by differences in modeling. Your broker may use different pricing models or assumptions, resulting in different implied volatilities and Greeks for the same contract.

Keep in mind that implied volatility and the Greeks are model outputs rather than directly observable market values. Different models and assumptions can therefore produce different results for the same option.

American options can be exercised early. Sometimes exercising ITM options early is optimal as it unlocks capital locked in dynamic hedging. Therefore, calls and puts can take different paths and be priced differently by models.

Implied volatility is calculated using the option's mid price.

When bid/ask spreads become wide, or when individual quotes are unusually far from fair value, the calculated implied volatility may become irregular. This can result in volatility lines that appear noisy rather than perfectly smooth.

We calculate a volatility surface for each trading day over the preceding 365 calendar days. For every point on the skew and term structure charts, we interpolate the implied volatility across those historical surfaces to determine the ranges.

If you have a GammaWins account, your scenarios are stored securely on our servers and synchronized across your devices.

If you don't have an account, they're stored locally in your browser instead. If you create an account later, your existing local scenarios will automatically be migrated into your account.

Yes. The Share button in the results section generates a short link that preserves the market prices and chart settings used in your analysis.

Anyone opening the link will see the exact charts, metrics and assumptions you shared. Since only the prices of the selected option contracts are stored, the option legs themselves cannot be edited until the prices have been refreshed using current market data.

Shared scenarios preserve the prices of the selected option contracts so that anyone opening the link sees exactly the same results.

Because the shared scenario only saves the specific option legs and their prices and not the full option chain, you can’t edit them until you refresh the scenario with current market data.

Open Settings using the button in the top-right corner on desktop, or from the three-line menu on mobile. From there you can choose whether new option legs use Bid/Ask or Mid prices by default.

Open Settings using the button in the top-right corner on desktop, or from the three-line menu on mobile. The Chart settings section lets you configure the default chart and table behavior used for new strategies.

The Value chart shows the total value of your option contracts together with any underlying shares in the strategy at a given date and underlying price.

% Entry is calculated by dividing the strategy's profit or loss by its entry debit or credit, whereas % Risk uses the strategy's max loss as the denominator.

Profit Probability assumes a log-normal distribution of price returns using the average implied volatility of the selected option legs, including any volatility adjustments you make.

It then calculates the implied probability that the underlying finishes at a price where the strategy results in a profit.

Yes, but this is only available when the selected strategy is a Covered Call (CC) or Cash-Secured Put (CSP). Click the pencil icon at the top of the results section and enable the premium yield metrics.

Not yet.

At the moment, historical snapshots let you explore previous market conditions. We plan to add actual return charts in a future update.

You may notice sudden changes in the Greeks for American puts or options on dividend-paying stocks.

This happens when early exercise becomes optimal, for example near ex-dividend dates or when an option becomes deep in the money close to expiration.

This is expected behavior and reflects the characteristics of American-style options rather than a calculation error.

You can click the Share button to generate a link, then post it to our subreddit r/GammaWins. We'll do our best to reply, and others in the community may jump in as well.

Please send us an email at support@gammawins.com with a screenshot and, if possible, a share link from the app.

Thanks for helping us make GammaWins better!