At 0 days to expiration there is no time value: the price is pure intrinsic value and the Greeks are not defined.
| Greek | Call | Put |
|---|---|---|
| Delta / $1 | — | — |
| Prob. ITM / N(d₂) | — | — |
| Gamma / $1 | — | same |
| Theta / day | — | — |
| Vega / 1% IV | — | same |
| Rho / 1% rate | — | — |
A theoretical mid-price under the model's assumptions — not a live quote. Real prices move with dividends, the volatility smile and the bid-ask spread.
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