🧮 Options Greeks & IV Calculator

Black-Scholes fair value and all five greeks from spot, strike, expiry and IV — or work backwards and solve the implied volatility from a market price.

Mode

Option type

Spot price (₹)

Strike (₹)

Days to expiry

IV (%) — greeks mode

Market premium (₹) — IV mode

Risk-free rate (%)

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What the greeks tell you

Delta — rupee change in option price per ₹1 move in the underlying; also a rough probability of expiring in-the-money.
Gamma — how fast delta itself changes; highest at-the-money near expiry, which is why ATM weeklies behave explosively.
Theta — daily decay. A theta of −₹8 means the option sheds about ₹8 of value per day, all else equal.
Vega — sensitivity to a 1-point change in IV. Long options are long vega; IV crush after events hits them hardest.
Rho — rate sensitivity; minor for short-dated Indian options.

The model is Black-Scholes for European options — a very good approximation for NSE index options. IV mode inverts the model by bisection: the volatility that makes fair value equal the market premium.

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Frequently asked questions

Why is the market premium different from the Black-Scholes fair value?

The market prices options by supply and demand; the difference is expressed through implied volatility. If the market premium exceeds fair value at your IV estimate, the market's IV is higher than yours — use IV mode to see exactly what the market implies.

What is IV crush and how do the greeks show it?

Before events (budget, results, elections) IV inflates; after the event it collapses. Vega quantifies the damage: a vega of ₹12 and a 5-point IV drop costs ₹60 per unit even if the underlying goes your way. Buying options pre-event fights this headwind.

Are NSE options European or American?

All NSE index and stock options are European-style (exercisable only at expiry) since 2011 — which is exactly what Black-Scholes assumes, making this calculator a good fit for Indian F&O.