Options Greeks Calculator
Enter spot, strike, days to expiry, volatility and rate to get theoretical price and all major Greeks.
Executive Summary
Calculate Delta, Gamma, Theta, Vega and Rho for Indian and global options using Black-Scholes. Default for Nifty.
Calculator Inputs
Options Greeks & Payoff Visualizer
Primary Greeks & Pricing Results
Dual-precision Black-Scholes derivative sensitivities computed per contract unit.
Call Option (CE)
Rate of change vs underlying ₹1 move
Delta acceleration per 1-point move
Decay in contract premium per calendar day
Sensitivity per 1.0% shift in IV
Sensitivity per 1% risk-free rate move
Put Option (PE)
Rate of change vs underlying ₹1 move
Delta acceleration per 1-point move
Decay in contract premium per calendar day
Sensitivity per 1.0% shift in IV
Sensitivity per 1% risk-free rate move
Moneyness Sensitivity Table (Call Spectrum)
Distribution of Call option sensitivities across strike prices at current inputs.
| Strike / Classification | Theo. Price | Delta (Δ) | Gamma (Γ) | Theta / Day | Vega (1%) | ITM Prob. |
|---|
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Understanding the Options Greeks
The Options Greeks (Delta, Gamma, Theta, Vega, and Rho) quantify the sensitivity of an option's price to underlying asset movements, time decay, implied volatility shifts, and interest rate changes.
The Core Greeks
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Delta (Δ): Measures the change in the option price for a ₹1 change in the underlying spot price. Calls range from 0 to +1, while puts range from -1 to 0.
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Gamma (Γ): Measures the rate of change of Delta per 1-point move in the underlying asset. Highest for At-the-Money (ATM) options and peaks near expiration.
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Theta (Θ): Measures the daily time decay in contract premium as calendar days pass. Typically negative for both long call and put buyers.
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Vega (ν): Measures the change in option premium for every 1.0% shift in implied volatility (IV).
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Rho (ρ): Measures sensitivity to a 1.0% shift in the risk-free interest rate benchmark.
Black-Scholes-Merton Pricing Formula
Frequently Asked Questions
Why do ATM options have the highest Gamma? ▼
How does Theta decay accelerate as expiration approaches (weekend decay effect)? ▼
What is the difference between Historical Volatility (HV) and Implied Volatility (IV)? ▼
How do higher interest rates affect Call vs Put prices via Rho? ▼
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