Inputs & Parameters
Options & DerivativesCurrent market price of the underlying asset
₹
Exercise price of the option contract
₹
Remaining days until contract expiration
Days
Annualized expected volatility of the stock price
%
Risk-free rate (e.g. government bond yield)
%
Continuous dividend yield of the underlying
%
Call Option (CE)
Theoretical Premium
₹103.18
Put Option (PE)
Theoretical Premium
₹201.11
Option Greeks Breakdown
Theoretical values| Greek Metric | Call Value | Put Value |
|---|---|---|
| Delta (Δ) | 0.398 | -0.602 |
| Gamma (Γ) | 0.001049 | 0.001049 |
| Theta (Θ) | -11.291 | -6.619 |
| Vega (𝒱) | 13.422 | 13.422 |
| Rho (ρ) | 1.964 | -3.042 |
Understanding Option Greeks
Delta (Δ) — Directional SensitivityMeasures the expected change in option price per ₹1 move in the underlying stock. A call delta of 0.39 means the call premium is expected to rise by ₹0.39 if the spot price rises by ₹1.
Gamma (Γ) — Delta's AccelerationMeasures the rate of change of Delta per ₹1 move in the underlying asset. High Gamma values mean the option's Delta is highly sensitive to stock price changes (often near-the-money options close to expiration).
Theta (Θ) — Time Decay (Daily)Measures the rate of decay in the option premium per day as it approaches expiration. Options lose value over time, so Theta is represented as a negative value for option buyers.
Vega (𝒱) — Volatility SensitivityMeasures the change in option price per 1% change in Implied Volatility (IV). Rising IV increases the value of both calls and puts, while dropping IV erodes premiums.
Rho (ρ) — Interest Rate SensitivityMeasures the change in option price per 1% change in the annualized risk-free interest rate. Higher rates generally increase Call premiums and decrease Put premiums.