Engine-computed reference · 8×6 grid · 48 cells

Options Greeks Delta Reference Grid

The Black–Scholes call delta for every combination of strike and implied volatility across this grid, on a fixed $100 spot. Each cell is a live run of the Options Greeks Explorer engine; no value on this page was entered by hand.

Delta is the rate of change of an option's price with respect to the underlying, and for a call it runs from 0.000 (deep out-of-the-money — the strike is far above spot) to 1.000 (deep in-the-money). Across this grid, 10 of the 48 cells sit below 0.050 delta and 7 sit above 0.950; the at-the-money strikes cluster near 0.500. Gamma — how fast delta itself moves — peaks at 0.1119 for the 100 strike at 10% volatility, where the option is most sensitive to small underlying moves. For how delta and gamma feed an LLM-driven position decision, see options greeks for LLM-driven trading. Education only — not investment advice.

Call delta by strike × implied volatility

Rows = strike price (spot fixed at $100). Columns = implied volatility (%). Each value is the engine's delta output.

Black–Scholes call delta for each strike and implied volatility.
strike \ vol %	10	15	20	30	40	60
80	1.000	1.000	1.000	0.987	0.955	0.883
90	0.999	0.984	0.947	0.866	0.805	0.736
95	0.949	0.866	0.801	0.723	0.683	0.646
100	0.570	0.552	0.545	0.542	0.544	0.552
105	0.112	0.213	0.281	0.360	0.406	0.460
110	0.006	0.047	0.107	0.212	0.285	0.374
120	0.000	0.000	0.007	0.052	0.117	0.232
130	0.000	0.000	0.000	0.009	0.039	0.133

Headline metric: call delta. The CSV download below also carries the gamma, theta-per-day, vega-per-1%-vol, and call price for each cell.

Download CSV (48 rows)

Provenance

Engine: Options Greeks Explorer (options-greeks-explorer) — computed live from /engines/options-greeks-explorer.js
Grid: strike ∈ {80, 90, 95, 100, 105, 110, 120, 130} × vol % ∈ {10, 15, 20, 30, 40, 60} = 48 cells
Fixed inputs: spot=100, days_to_exp=45, rf_pct=4.5, div_pct=0
Computed: 2026-05-23, recomputed in CI on every build

The engine is deterministic: Black–Scholes pricing and the analytic greeks are closed-form, so the same input always returns the same output. The full method — the pricing formula, the greek derivatives, and the day-count convention — is documented at the Options Greeks Explorer methodology page. For a worked single-contract example, see a 30-DTE OTM call greeks walkthrough.

Reference grids are planning aids, not financial, tax, or investment advice. No cell is a recommendation to trade any contract.