Option Greeks Calculator

Before buying or selling an option, it helps to know how it will behave. This option Greeks calculator uses the Black-Scholes model to give the theoretical price of a call and a put, and their delta, gamma, theta, vega and rho — per option and for your whole position. It works for Nifty, Bank Nifty and stock options, and can also back out the implied volatility from an option's market price, so you can see whether options are cheap or expensive right now.

How to use it

Enter the spot price, strike and days left to expiry.
Enter the implied volatility (or find it from a market price) and the risk-free rate.
Read the prices and Greeks; enter your quantity for position-level numbers.

Formulas

d₁ = [ln(S/K) + (r + σ²/2)T] ÷ σ√T · d₂ = d₁ − σ√T

Call = S·N(d₁) − K·e^−rT·N(d₂) · Put = K·e^−rT·N(−d₂) − S·N(−d₁)

Example

With Nifty at 25,000, the 25,100 CE expiring in 7 days at 12% IV and a 6.5% rate is worth about ₹134 in theory, with a delta of about 0.44 — it gains roughly ₹0.44 for every point Nifty rises — and a theta of about −₹13.6 a day. Change the days to 1 and watch theta and gamma jump: that's why expiry-day options move so violently. Plan payoffs with theoption profit calculator.

Disclaimer: Results are estimates for educational purposes only and are not financial, investment or tax advice. Please verify with your bank, broker or a SEBI-registered adviser before acting. Read the full disclaimer.

Frequently asked questions

What are option Greeks?

They measure how an option’s price reacts to changes: delta to the underlying price, gamma to changes in delta, theta to the passing of time, vega to volatility and rho to interest rates. Traders use them to understand and balance the risk of option positions.

What does delta tell me?

How much the option price moves for a ₹1 move in the underlying. A call with delta 0.5 gains about ₹0.50 when Nifty rises 1 point. Delta is also a rough guide to the probability of expiring in the money.

Why does theta matter so much for weekly options?

Time decay speeds up as expiry approaches, especially for at-the-money options. Option buyers lose theta every day; option sellers collect it — in exchange for the risk of a large move.

What is implied volatility (IV)?

The volatility that, put into the Black-Scholes formula, gives the option’s current market price. Enter an option’s market price and the calculator solves for its IV. India VIX reflects the IV of Nifty options.

How accurate is Black-Scholes for Nifty options?

It is the standard model for European options like Nifty and stock options on NSE, but real prices also reflect volatility skew, demand and supply. Treat results as theoretical values, not trade signals.