BS Call
The theoretical fair value of a European call option derived from the Black-Scholes model.
BS Put
The theoretical fair value of a European put option derived from the Black-Scholes model.
Implied Vol (IV)
The volatility level implied by an option's market price, derived by reverse-solving the Black-Scholes formula.
Intrinsic Value
The immediate exercise value of an option — how much it is in the money.
Delta (Call)
The rate of change in a call option's price for a $1 move in the underlying stock.
Delta (Put)
The rate of change in a put option's price for a $1 move in the underlying stock.
Gamma
The rate of change in an option's delta for a $1 move in the underlying stock.
Rho (Call)
The change in a call option's price for a 1% increase in the risk-free interest rate.
Rho (Put)
The change in a put option's price for a 1% increase in the risk-free interest rate.
Theta (Call)
The daily time decay of a call option's price, holding all other factors constant.
Theta (Put)
The daily time decay of a put option's price, holding all other factors constant.
Time Value
The portion of an option's price beyond its intrinsic value, reflecting the remaining time to expiry.
Vega
The change in an option's price for a 1% increase in implied volatility.
Put-Call Parity
The no-arbitrage relationship between European call and put prices on the same underlying.