Option Greeks Calculator
Enter the inputs for any Nifty or Bank Nifty option and get its theoretical price and full Greeks ā Delta, Gamma, Theta, Vega and Rho ā instantly, with rupee values per lot. Everything runs in your browser; nothing is sent anywhere.
All-Greeks calculator
BelowDelta, Gamma, Theta, Vega, Rho and price for any single Nifty option, with rupee values per lot.
Portfolio & exposure
ToolBuild a multi-leg position and see its net Greeks in rupees.
Greeks heatmap
ToolA Greek's value across strikes and days to expiry, colour-coded.
Greeks simulator
ToolDrag sliders for spot, time and volatility; watch every Greek move.
How to use it: Set the option type, then enter spot, strike, days to expiry, implied volatility (India VIX is a good starting point) and the risk-free rate. The Greeks update live. Per-lot rupee figures use your lot size and number of lots.
Per-share values
Position values (Ć lot size Ć lots)
Probability calculator (ITM & touch)
Estimate the market-implied probability that a Nifty option finishes in-the-money, and the chance the underlying touches the strike at least once before expiry. Uses the Black-Scholes term dā with zero drift.
"Above/below strike" ā probability a call/put expires in-the-money. Touch probability is a standard approximation (ā 2Ć the OTM finish probability). Selling an option roughly wins with probability 1 ā P(ITM).
Delta-hedge & position exposure
Convert a position's net Delta into rupee exposure and the number of Nifty futures lots needed to hedge to Delta-neutral.
How the calculators work
The calculator implements the Black-Scholes-Merton model. From your inputs it computes the standard terms dā and dā, then derives the theoretical price and each Greek in closed form. Theta is shown per calendar day, Vega per one percentage-point change in implied volatility, and Rho per one percentage-point change in the risk-free rate ā the conventions Indian traders and brokers use. Per-lot rupee values simply scale the per-share Greek by the lot size (75 for Nifty) and the number of lots.
Reading the results
- Delta near Ā±0.50 means an at-the-money option; toward Ā±1 means deep in-the-money; toward 0 means far out-of-the-money. See Delta explained.
- Gamma spikes as you cut days-to-expiry ā try 30 days versus 1 day at the same strike to see the expiry-day effect. See Gamma explained.
- Theta grows more negative as expiry approaches; that is the accelerating time decay of weekly options. See Theta explained.
- Vega is largest for at-the-money options with more time left ā raise IV and watch the price jump, then imagine that reversing as an IV crush. See Vega explained.
Frequently asked questions
What implied volatility should I enter for Nifty?
Why is my calculated price slightly different from the live market price?
Is this calculator free and private?
Educational tool only ā not investment advice. Outputs are theoretical Black-Scholes values.