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Option price & Greeks

The theoretical (Black-Scholes) price of a call or put, and the Greeks that explain how it moves. For learning only.

For index options, India VIX is a guide.

Index options are European (exact here); stock options are American, so treat this as a close approximation.

Theoretical option price
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How to use this calculator

Enter the option's details — type, spot, strike, time to expiry, volatility and rates — and it returns the theoretical price plus the five Greeks. The Greeks tell you how that price will move as things change.

What the Greeks mean

  • Delta — how much the option price moves for a ₹1 move in the stock (0 to 1 for calls, 0 to −1 for puts).
  • Gamma — how fast Delta itself changes; highest near the strike.
  • Theta — time decay: how much value the option loses per day, all else equal.
  • Vega — sensitivity to a 1% change in volatility.
  • Rho — sensitivity to a 1% change in interest rates (usually the smallest).

The model, in brief

This uses the Black-Scholes formula, which prices an option from the odds of it finishing in the money, discounted to today. Two drivers dominate: how far the strike is from the spot, and how much time and volatility remain — more of either means a higher option price.

How to read it

Notice how Theta quietly eats an option's value every day — time is the option buyer's enemy. And how Vega means a volatility spike (a VIX jump) can lift option prices even if the stock barely moves. Options are powerful but unforgiving; SEBI data shows most individual F&O traders lose money.

Read: What decides an option's price →
Read: Option Greeks in plain words →

Educational tool only, not investment advice. Derivatives carry significant risk; most individual F&O traders lose money.