The Greeks in plain words
| Greek | What it tells you |
|---|---|
| Delta | How much the option’s price moves when the share or index moves by ₹1. A delta of 0.52 means about 52 paise for every ₹1. Calls have delta between 0 and 1; puts between −1 and 0. |
| Gamma | How fast delta itself changes. High gamma means the option’s price can swing quickly, which is common near the strike and close to expiry. |
| Theta | How much value the option loses each day just from time passing. It works against buyers and for sellers, and it speeds up near expiry. |
| Vega | How much the option’s price changes when volatility (IV) moves by 1 point. Options get pricier when the market expects bigger moves, for example before results or budgets. |
| Rho | How much the price changes when interest rates move by 1%. It matters little for short-term options. |
A worked example
Nifty is at 23,000. A 23,000 call with 7 days to expiry, at 15% volatility and a 5.5% interest rate, has a fair price of about ₹202.87. Its delta is 0.52, so a 100-point rise adds about ₹56.57. Its theta is about ₹15.38 a day: with nothing else changing, it would be worth about ₹140.89 with three and a half days left. On one lot of 65 units, each day costs a buyer about ₹999.
The matching 23,000 put is worth about ₹178.62, with a delta of -0.48.
How the price is worked out
We use the Black-Scholes model, the standard way to price options that can only be exercised on expiry day. NSE’s index and stock options work that way, so the model fits them. Our results are tested against the textbook examples in John Hull’s Options, Futures and Other Derivatives.
Theta here is per calendar day, vega is per 1 point of volatility, and rho is per 1% change in interest rates.
Implied volatility
If you know the option’s market price, tick “I know the option’s market price”. The calculator finds the volatility that gives exactly that price. A 23,000 call trading at ₹160 with 7 days left implies a volatility of about 11.6%. Comparing implied volatility with how much the index usually moves helps you see whether options look cheap or expensive.
What the model can’t see
Black-Scholes assumes volatility stays steady and prices don’t jump. Real markets gap on news, results and elections, and options with very few trades can sit far from their fair price. Treat the numbers as a guide to how an option behaves, not as a promise of what it will be worth.
Frequently asked questions
What is delta in options?
Delta is how much an option’s price changes when the share or index moves by ₹1. A call with delta 0.5 gains about 50 paise for each ₹1 rise. Delta also gives a rough sense of how likely the option is to finish in the money.
Why does my option lose value every day?
Part of an option’s price is time value: the chance that the price moves your way before expiry. As days pass, that chance shrinks, so time value melts away. Theta shows how much a day costs, and it speeds up in the last week.
What IV should I use?
Use the implied volatility your broker’s option chain shows for that strike and expiry. Or tick “I know the option’s market price” and the calculator works it out from the price.
Does this work for Bank Nifty, Sensex and stock options?
Yes. Enter the price, strike, days to expiry and volatility for any call or put, and set the lot size under “More options”.
Why is my broker’s price different?
Brokers and exchanges may use a different interest rate, dividend, volatility or time to expiry, and market prices also reflect demand. Small differences are normal.
Is this a trading tip?
No. It works out numbers from what you enter. Trading options is risky: SEBI’s own study found about 9 in 10 individual F&O traders lost money in 2024–25.