The Greeks · Lesson 07 of 7 · Tool
Greeks calculator
This calculator prices a European option with Black-Scholes and returns delta, gamma, theta per day and vega per percentage point. It opens on the NIFTY 23,350 contract from 23 September 2026 — spot 23,358, six days to expiry, 11.2% implied volatility — which priced at ₹150.00 in the market.
Black-Scholes, European exercise, 6.5% risk-free rate · lib/learn/greeks.ts
Move it
Black-Scholes, not market data — the premiums elsewhere in this topic were traded, these are what the model returns for the inputs you set.
Black-Scholes, European exercise, 6.5% risk-free rate. These are model outputs, not traded prices.
What it is doing
Black-Scholes with European exercise, which is the correct convention for Indian index options, at a 6.5% risk-free rate. Theta is reported per calendar day and vega per one percentage point of implied volatility, because that is how both are read on a screen rather than in a textbook.
At or past expiry the model stops applying and the calculator returns settlement arithmetic instead — intrinsic value, delta of 1 or 0, and no other Greek. That is not a fallback for an edge case; at expiry there is genuinely no time value left for the Greeks to describe.
What it is not
Every figure here is a model output. The premiums quoted elsewhere in this topic were traded on the exchange and can be checked against our chain capture; these are what Black-Scholes says given the inputs you hand it.
The model assumes constant volatility and a lognormal distribution of prices, neither of which the market obeys exactly. The volatility skew lesson covers one visible consequence: identical maturities at different strikes trade at different implied volatilities, which a single-volatility model cannot produce.
The pricing is checked against published reference values on every change — run lib/learn/greeks.self-check.mjs to see the assertions.
Common questions
What model does this options calculator use?
Black-Scholes with European exercise at a 6.5% risk-free rate, which matches how Indian index options settle. Theta is shown per calendar day and vega per one percentage point of implied volatility.
Why do the calculator and the market price differ?
Black-Scholes assumes a single constant volatility across all strikes, and real chains do not. Feeding the traded premium back through the model gives the implied volatility that reconciles the two at that strike.
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.