Investments
Options Greeks Calculator
Black-Scholes pricing for European options. Find theoretical premium plus all 5 Greeks (Δ Γ Θ ν ρ) — essential for any serious options trader on Nifty / BankNifty.
Inputs
Black-Scholes price + Greeks
Greeks cheatsheet
- • Delta: Direction risk. ATM call ≈ 0.5; deep ITM ≈ 1; deep OTM ≈ 0
- • Gamma: Highest near ATM, near expiry — accelerates Delta change
- • Theta: Time decay. Negative for buyers (you lose), positive for sellers
- • Vega: Volatility sensitivity. Highest for ATM options far from expiry
- • Rho: Interest rate sensitivity. Usually negligible for short-dated options
Black-Scholes assumes log-normal price, constant volatility, no dividends, European exercise. Indian options are mostly European-style index options (Nifty, BankNifty) — model fits well.
FAQs
What is Black-Scholes?
A 1973 mathematical model for pricing European options. Inputs: spot price, strike, time to expiry, volatility, risk-free rate. Outputs: theoretical price + Greeks (Delta, Gamma, Theta, Vega, Rho).
What is Delta in options?
Delta measures price sensitivity — ₹ change in option premium per ₹1 spot move. ATM call ≈ 0.5, deep ITM ≈ 1, deep OTM ≈ 0. Put deltas are negative (-1 to 0).
What is Theta decay?
Theta is daily time decay — how much premium you lose each day if everything else stays constant. Negative for buyers (you lose), positive for sellers (you gain). Accelerates as expiry nears.
What is implied volatility (IV)?
The market's expected volatility, reverse-engineered from current option prices. High IV = expensive options, low IV = cheap. Vega tells you how much premium changes per 1% IV move.
Does Black-Scholes work for Indian options?
Most Indian index options (Nifty, BankNifty, FinNifty) are European-style — model fits well. Stock options are American-style which can have small premium for early exercise but BS is still close.