Sources & references

Where our facts, formulas and market conventions come from.

Primary references

NSE India — contract specifications, lot sizes, expiry calendar and India VIX.
Zerodha Varsity — Option Theory — India-focused options education.
SEBI — regulatory framework for the Indian derivatives market.

Foundational theory

The Greeks derive from the Black-Scholes-Merton option-pricing framework (Black & Scholes, 1973; Merton, 1973), the standard basis for European index-option pricing. Our formulas and their conventions follow this literature; see the formula reference and methodology.

Last updated 7 July 2026.