Theoretical Call Price (Black-Scholes)
₹654
d1 = 0.129 | d2 = 0.0717
Delta (Δ)
0.5688
Price change per ₹1 move in underlying
Gamma (Γ)
0.0003
Rate of change of Delta
Theta (Θ)
-9.62
Time decay per day
Vega (ν)
22.69
Sensitivity to 1% IV change
Rho (ρ)
8.81
Sensitivity to 1% rate change
Quick Interpretation
Δ Delta 0.5688: For every ₹1 move in Nifty, this call moves ~₹0.57
Θ Theta -9.62: This option loses ~₹10 per day due to time decay
ν Vega 22.69: A 1% rise in IV increases premium by ~₹23
What are Option Greeks?
Option Greeks measure the sensitivity of an option's price to various factors. Delta measures directional risk, Gamma measures the rate of change of Delta, Theta captures time decay, Vega measures volatility sensitivity, and Rho measures interest rate sensitivity. This calculator uses the Black-Scholes model to compute all five Greeks for both Call and Put options.
How to use this Option Greeks Calculator
- Enter realistic values based on your current plan or trade setup.
- Review the output metrics, not just the headline number.
- Run multiple scenarios to compare best/base/worst cases.
Practical tips
- Use Delta and Gamma together to assess directional sensitivity.
- Track Theta closely near expiry when decay accelerates.
- Stress test Vega impact before major volatility events.
Model assumptions
- Model uses Black-Scholes with continuous assumptions.
- Volatility input is treated as constant for computation.
- Real market frictions and jumps are not modeled.
This calculator is for educational purposes only. Options trading involves significant risk. The Black-Scholes model has known limitations.