The Greeks · Lesson 05 of 7 · Case
When the Greeks disagree
Each Greek describes one sensitivity while holding the others still, so a real price move has to be attributed across all of them. On 23 September 2026 the NIFTY 23,350 call moved from ₹150.00 to ₹168.30: delta +₹48.32, gamma +₹4.73, vega −₹34.80, theta −₹3.45, leaving ₹3.50 the four do not explain.
NIFTY 23,350 CE, 23 September 2026 · premiums from MarketCue’s chain capture, Greeks solved with Black-Scholes at the open
The session
NIFTY opened at 23,357.60 on 23 September 2026 and closed at 23,446.80, up 89.20 points, with six days to the 29 September expiry. The at-the-money 23,350 call opened at ₹150.00 and closed at ₹168.30.
A holder looking only at delta would have expected considerably more. Solved from the opening premium, the contract carried delta 0.542, gamma 0.001188, theta −₹13.27 a day and vega ₹11.88 per point, at an implied volatility of 11.15%.
Where the ₹18.30 came from
Delta accounts for 0.542 × 89.20, or +₹48.32. Gamma adds the curvature the opening delta missed as the contract moved into the money: half of 0.001188 times 89.20 squared, or +₹4.73.
Against those, implied volatility fell from 11.15% to 8.22% — 2.93 points at ₹11.88 of vega, or −₹34.80. Theta removed −₹3.45 for the fraction of a day that elapsed between the two prints.
The four sum to +₹14.80 against an actual +₹18.30. The ₹3.50 left over is what a first-order attribution always leaves: the Greeks are measured at the opening point, while the move happened along a path where every one of them was changing.
One session demonstrates that the Greeks decompose a price move. It is not evidence about how often volatility offsets direction, which would need many more expiries than our archive currently holds.
Why the decomposition matters
Read individually, each Greek looks like a prediction and each one looks wrong. Read together they are an accounting identity that very nearly balances, and the residual is small and explainable.
That is the practical use of the Greeks: not to forecast a premium, but to say afterwards which input actually moved it. A position that lost money on a day the index cooperated has an explanation, and it is usually in the volatility column.
Common questions
Can the Greeks explain an option price move exactly?
Not exactly. The Greeks are measured at a point, while a real move travels a path along which they all change. On the worked session here the four main Greeks accounted for ₹14.80 of an ₹18.30 move, leaving ₹3.50 to higher-order effects.
Which Greek matters most?
It depends on what changed. On 23 September 2026 delta pointed to +₹48.32 and vega to −₹34.80 on the same contract in the same session, so the answer that day was volatility.
Written and maintained by MarketCue research
How these figures are produced
Every price on these pages was traded on the exchange and is read from our own option-chain capture, which records the NIFTY and SENSEX chains once a minute through the session. Each page names the session its figures come from.
Figures that a model produced rather than the market — the Greeks, implied volatility — are labelled as model outputs wherever they appear, and never presented beside traded prices without saying which is which. The pricing is checked against published reference values on every change.
Where our own data cannot support a claim, the page says so instead of generalising. MarketCue is not a registered investment adviser, research analyst or broker under SEBI regulations.