As of this post:

META $555


5/2/25 555P $21.25

Delta: -.4698
Gamma: .0074
Theta: -3.6763
Vega: .2062
Rho: -.0235
IV: 105.2514

Delta Measures impact of a change in the price of underlying
Gamma Measures the rate of change of delta
Theta Measures impact of a change in time remaining
Vega Measures impact of a change in volatility



My question is primarily around how much of that $21.25 premium is made up of volatility? Obviously very little Theta in an option expiring in 3 days, and only $1 in the money . Is there a way to calculate it based on IV or Vega?

El Chupacabra said:

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As of this post:

META $555


5/2/25 555P $21.25

Delta: -.4698
Gamma: .0074
Theta: -3.6763
Vega: .2062
Rho: -.0235
IV: 105.2514

Delta Measures impact of a change in the price of underlying
Gamma Measures the rate of change of delta
Theta Measures impact of a change in time remaining
Vega Measures impact of a change in volatility



My question is primarily around how much of that $21.25 premium is made up of volatility? Obviously very little Theta in an option expiring in 3 days, and only $1 in the money . Is there a way to calculate it based on IV or Vega?

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I think you are really asking what the extrinsic value is. It's a put and Meta is pretty much at the money of the strike (slightly out). This implies the premium is made up of pretty much no intrinsic value which means pretty much the entire premium is extrinsic value or 'vol'.