What does an option Greeks heatmap show?

It shows how a chosen Greek — Delta, Gamma, Theta or Vega — varies across strikes (columns) and days to expiry (rows), colour-coded by magnitude. It makes patterns obvious: for example, Gamma and Theta concentrating at the at-the-money strike near expiry.

Why do Gamma and Theta spike near expiry in the heatmap?

As days to expiry fall, at-the-money Gamma and Theta rise sharply while out-of-the-money values fade, so the heatmap lights up in a narrow band around the at-the-money strike on the shortest-dated rows.

Option Greeks Heatmap

See at a glance how a Greek changes across strikes and time. Pick a Greek and watch the grid light up — the clearest way to understand why Gamma and Theta concentrate at-the-money near expiry, and why Vega lives in longer-dated options.

How to read it: Columns are strikes around the spot; rows are days to expiry (expiry at the bottom). Each cell is the Greek's value for that strike and expiry, coloured by magnitude — darker means larger. The gold-outlined column is the at-the-money strike.

Greek Option type Spot price (₹) Implied volatility (%) Strike step (₹)

What the heatmap teaches

Switch to Gamma: the grid lights up in a tight band at the at-the-money strike, and that band gets far brighter on the bottom rows — the expiry-day Gamma spike.
Switch to Theta: decay concentrates at-the-money and accelerates toward expiry — why weekly options bleed fastest in their final days.
Switch to Vega: the largest values sit in the longer-dated rows, showing why Vega risk lives in time, not in the last session.
Switch to Delta: values sweep from ~0 (far OTM) to ~1 (deep ITM) across the strikes — the Delta curve as a grid.

Limitations of this heatmap

The heatmap shows Black-Scholes Greek values across strikes and days to expiry to teach shape, not tradable prices. It does not model:

Volatility skew: every cell uses one implied volatility, whereas a real NSE chain has a different IV per strike, so the true grid is less smooth than shown.
Costs: bid-ask spreads, brokerage and STT are excluded — magnitudes are illustrative, not fill prices.
Model assumptions: it assumes European exercise and constant volatility, matching cash-settled index options but not dividend-paying stock options.

Frequently asked questions

Which Greek should I look at first?

Start with Gamma to see the at-the-money concentration near expiry, then Theta to see decay accelerate, then Vega to see volatility risk living in longer-dated options. Together they explain most of what moves an option's price.

Are the values exact market values?

They are theoretical Black-Scholes values at a single implied volatility. Real chains have a volatility skew across strikes, so live values differ — but the patterns the heatmap reveals hold.

Educational tool only — not investment advice. Theoretical Black-Scholes values.

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