Calculate Delta, Gamma, Theta, Vega, and Rho for any option using the Black-Scholes model. Understand exactly how your option will behave before you trade.
Option Type
HOW IT WORKS
Input spot price, strike price, days to expiry, implied volatility, and risk-free rate.
Choose Call (CE) or Put (PE) option type.
Instantly see Delta, Gamma, Theta, Vega, and Rho with the theoretical price.
FAQ
Delta measures how much the option price changes for a ₹1 move in the underlying. A Delta of 0.5 means the option gains ₹0.50 for every ₹1 rise in the stock.
Time decay works against option buyers. Every day that passes, the option loses some value. Theta represents this daily loss — which is why selling options is often called "collecting time premium."
IV is the market's expectation of future price movement embedded in option premiums. Higher IV means higher premiums. You can find current IV on NSE's option chain.
Use the current RBI repo rate or 91-day T-bill yield — typically between 6% and 7% for India.
Yes for European-style options (Nifty, BankNifty index options). American-style stock options have early exercise value not captured by Black-Scholes.
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