Options Greeks — Delta, Gamma, Theta, Vega, live.
The flagship option-pricing tool. Sensibull charges ₹500/month for this, Opstra ₹2,000/month. Same Black-Scholes math, free here: enter spot, strike, days-to-expiry and IV, get instant Greeks for both Call and Put plus an 11-strike chain strip around ATM. NSE index options are European — Black-Scholes applies exactly.
Option parameters
Indian 10Y G-Sec ~6.5% is the conventional risk-free proxy for NSE derivatives pricing. NIFTY index options are European — Black-Scholes applies exactly.
Greeks at ATM strike 24000
| Price | Δ Delta | Γ Gamma | Θ Theta/day | ν Vega | ρ Rho | |
|---|---|---|---|---|---|---|
| CALL | 214.07 | 0.5281 | 0.000798 | -16.39 | 13.23 | 2.39 |
| PUT | 184.17 | -0.4719 | 0.000798 | -12.12 | 13.23 | -2.21 |
Chain — 11 strikes around ATM
| CALL | STRIKE | PUT | ||||
|---|---|---|---|---|---|---|
| IV price | Δ | Θ/d | Θ/d | Δ | IV price | |
| 368.17 | 0.717 | -15.0 | 23750 | -10.8 | -0.283 | 88.58 |
| 333.59 | 0.682 | -15.6 | 23800 | -11.3 | -0.318 | 103.94 |
| 300.83 | 0.645 | -16.0 | 23850 | -11.7 | -0.355 | 121.12 |
| 269.95 | 0.607 | -16.2 | 23900 | -12.0 | -0.393 | 140.18 |
| 241.02 | 0.568 | -16.4 | 23950 | -12.1 | -0.432 | 161.19 |
| 214.07 | 0.528 | -16.4 | 24000 | -12.1 | -0.472 | 184.17 |
| 189.11 | 0.488 | -16.3 | 24050 | -12.0 | -0.512 | 209.15 |
| 166.14 | 0.448 | -16.0 | 24100 | -11.7 | -0.552 | 236.12 |
| 145.14 | 0.409 | -15.6 | 24150 | -11.3 | -0.591 | 265.05 |
| 126.06 | 0.371 | -15.0 | 24200 | -10.7 | -0.629 | 295.91 |
| 108.84 | 0.334 | -14.4 | 24250 | -10.1 | -0.666 | 328.63 |
Strike highlighted in accent = your chosen strike. Δ tells you how much option price moves per ₹1 in spot; Θ is daily decay.
What each Greek actually tells you
- Delta (Δ)
- How much the option price moves per ₹1 change in spot. ATM call ≈ 0.5, deep ITM ≈ 1.0, far OTM ≈ 0. Puts are negative. Also read as "% probability of finishing ITM" (rough).
- Gamma (Γ)
- How fast Delta changes as spot moves. Peaks at ATM, zero far from strike. High gamma = explosive P&L swings — dangerous for short sellers near expiry.
- Theta (Θ) — per day
- How much the option loses per day to time decay. Always negative for long options, positive for short. Accelerates in the final week before expiry — option sellers' best friend, buyers' enemy.
- Vega (ν)
- Change in option price per 1% change in implied volatility. Long options are long vega (benefit from IV spikes), short options are short vega. Biggest at ATM and for far-dated options.
- Rho (ρ)
- Sensitivity to risk-free rate changes. Mostly ignored for short-dated options but matters for LEAPS and very long-dated contracts.
Practical trader playbook
- • Short option sellers watch Theta/Vega ratio — want high theta, low vega. 1-week OTM strikes are the sweet spot.
- • Directional buyers watch Delta — 0.3-0.5 delta OTM calls offer the best leverage for directional bets without paying too much premium.
- • Before earnings / event — IV rises, Vega positions benefit. After the event, IV crashes — short Vega positions profit from the "IV crush".
- • Expiry week warning — Gamma explodes. Short OTM strikes can flip from 5% profit to 50% loss in one session if the underlying moves toward your strike.
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Want Greeks explained for your actual trade?
Axel can pull live IV from the NSE option chain, compute Greeks for any strike + expiry, and explain what each number means for your position.
Research tool · not investment advice.
Axel Markets is an information + analytics product. We are not a SEBI-registered Research Analyst (RA) or Investment Adviser (IA). Nothing on this page is a buy, sell, or hold recommendation. Past performance is not indicative of future returns. Verify all data against the authoritative source (NSE, BSE, AMFI, SEBI, company RHP / factsheet) before acting. Theoretical Black-Scholes prices may differ from market due to bid-ask spread, supply/demand imbalance, and ex-dividend adjustments. NSE derivatives are European-style — no early exercise. F&O trading carries substantial leverage risk; SEBI FY25 study found 91% of retail traders lost money.