Options Analysis: 17 Models & 17 Greeks
Last reviewed: by Options Analysis Suite Research.
The analytical core of the platform, providing institutional-grade options pricing using 10+ models with complete Greeks calculation across all 17 sensitivities. Black-Scholes pricing is free. Advanced models and features are available with a Professional subscription. Open the pricing calculator.
- Multi-Model Pricing: Black-Scholes, Heston, Monte Carlo, SABR, Jump Diffusion, Variance Gamma, Local Volatility, Binomial, FFT, and PDE methods.
- Exotic Options: Barrier, Asian, Lookback, Digital, Multi-Asset, Compound, and Chooser options pricing.
- Complete Greeks Suite: All 17 Greeks including Delta, Gamma, Theta, Vega, Rho, and higher-order sensitivities (Vanna, Charm, Vomma, Veta, Zomma, Color, Speed, Ultima).
- Gamma Surface 3D: Interactive 3D surface showing Gamma across strike prices and time to expiration, with analytic and numeric PDE computation modes for each pricing model.
- Time Evolution Charts: Visualize how Greeks decay over time with Price Impact mode ($/day P&L) and Pure Derivatives mode (native units), featuring intraday intervals for 0DTE analysis and GBM spot evolution scenarios.
- Greeks Sensitivity Charts: Interactive charts showing how Greeks change with underlying price.
- Dupire Local Volatility: Calibrated local volatility surface from market prices.
- Monte Carlo Distributions: Histogram visualization of simulated price paths and payoffs.
Why 10+ Models Instead of Just Black-Scholes
Black-Scholes is the right answer for a liquid European vanilla under flat-vol assumptions. It is also the wrong answer for almost everything else: American options with dividends, short-dated contracts on event windows, deep OTM puts in a smiling market, anything path-dependent. The Analysis page lets you price the same contract under multiple models side-by-side and read the disagreement: a Heston/BS gap on OTM puts is the market paying for vol-of-vol risk; a Jump Diffusion/BS gap on a pre-earnings window is event premium; a SABR fit that perfectly matches today's smile but wanders off-surface elsewhere is a calibration issue, not a model failure. The disagreement is often more informative than any single price.
Workflow: From Quote to Decision
Typical session: load a ticker, refresh the chain to pull current quotes, select the contract you are considering, and run all 10 standard models with auto-calibration enabled. The output table shows model price, mid-quote, edge in dollars, and the Greeks bundle under each model. You can then flip to the Greeks Sensitivity panel to see how Delta and Gamma evolve across a plus or minus 10% spot sweep, or open Time Evolution to watch theta decay over a multi-day horizon. If the position has skew exposure, the Gamma Surface 3D view shows how Gamma redistributes across strikes and expirations, useful for visualizing pin risk or wing positions.
What the Free Tier Includes
Black-Scholes pricing and the full 17-Greek bundle are free for any ticker, no account required: Delta, Gamma, Theta, Vega, Rho, plus the 12 higher-order sensitivities (Vanna, Charm, Vomma, Veta, Speed, Zomma, Color, Ultima, DcharmDvol, Lambda, Phi, Epsilon). The 9 advanced models (Heston, SABR, Monte Carlo, Jump Diffusion, Variance Gamma, Local Volatility, Binomial, FFT, PDE), the 7 exotic option types, the 3D surfaces, and the auto-calibration workflows require a Professional subscription. The free tier exists so traders can try the platform before subscribing and so educators can use it without the friction of an account; the paid tier is where the multi-model, calibration, and surface-level workflows live.
Calibration vs Direct Pricing
The Analysis page supports two modes for each advanced model: direct pricing with manually entered parameters, and auto-calibration that fits the model parameters to the live volatility surface before pricing. Direct mode is useful for stress tests ("what does this contract look like under a hypothetical Heston with vol-of-vol at 0.6?"); calibration mode is the default for trade evaluation because the parameters then reflect what the market is actually pricing today. The output table will note when a result came from calibrated parameters vs entered ones, so calibration drift between sessions is visible in the workflow.
Reading Greek Disagreements Across Models
When the same contract returns different Greeks under different models, the source of the disagreement is usually identifiable. Vega differs most across smooth-vol vs jump-tail families because each family attributes spot moves to different generators; gamma differs most when the surface is steeply skewed because models with different skew dynamics imply different convexity around ATM; theta differs most near event windows because jump models price the discrete event premium that smooth diffusion does not. The Greeks Sensitivity panel lets you sweep spot in plus or minus 10% increments and watch the disagreement unfold, which is often more useful than the single-point Greek values.
Common Misreads
Two patterns that come up repeatedly. First, treating a single calibrated model as the "true" price; the value of the multi-model setup is precisely that no model is canonical, and the spread across models is itself a signal. Second, ignoring calibration RMSE; a Heston fit with 0.40% RMSE is a different result than one with 5% RMSE, and the model's prices should be weighted by fit quality before any cross-model conclusion. The output table reports both fit quality and runtime so the user can read the calibration's reliability before reading the price.
This page is part of the Options Analysis Suite features overview. Browse the full documentation.