Methodology

The pricing model

All prices and Greeks on GreeksGyan use the Black-Scholes-Merton model for European options, which is the standard framework for index options like Nifty and Bank Nifty. The standard-normal CDF is approximated with the Abramowitz & Stegun 7.1.26 formula, accurate to within about 7.5×10⁻⁸.

The base scenario

Unless a page states otherwise, worked examples use a Nifty spot of 24500, a lot size of 75, a risk-free rate around 6.5% and an implied volatility in the low-to-mid teens, reflecting typical Nifty conditions. These are illustrative round numbers chosen for clarity, not live quotes.

The diagrams

Greek curves are generated from a numeric Black-Scholes engine at build time and rendered as inline SVG. Shapes are quantitatively accurate; y-axes are shown on a relative scale because the qualitative shape — where a Greek peaks, changes sign or decays — is what matters for learning.

Conventions

• Theta is quoted per calendar day.
• Vega is quoted per one percentage-point change in implied volatility.
• Rho is quoted per one percentage-point change in the risk-free rate.
• Rupee figures scale the per-share Greek by lot size and number of lots and exclude brokerage, STT, exchange and statutory charges.

Limitations

Black-Scholes assumes constant volatility and no early exercise, so model prices differ from live prices because of the volatility smile/skew, dividends, spreads and demand. Treat all figures as educational approximations. See our Sources.

Last updated 7 July 2026.