Nifty call option calculator. Using the Black and Scholes option pricing model, this calculator generates theoretical values and option greeks for European call and put options.

Nifty call option calculator

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Nifty call option calculator. The first field in the output field is the theoretical option price (also called the fair value) of the call and put option. The calculator is suggesting the fair value of call option should be and the fair value of put option is However, the call option value as seen on the NSE option chain is.

Nifty call option calculator

Option Greeks are option sensitivity measures. Option price is a function of many variables such as time to maturity, underlying volatility, spot price of underlying asset, strike price and interest rate, option trader needs to know how the changes in these variables affect the option price or option premium. Here we explain Option Greeks in simple terms to measure the sensitivity of option price to changes in these variables. To understand the impact of change in any factor it is as always important to keep other factors constant so we can understand the impact of change of that particular factor.

Option delta represents the sensitivity of option price to small movements in the price of underlying asset. For instance, if a call option has a delta of 0. Similarly, when we say a put option has a delta of say Likewise, as an out-of-the-money option nears expiry its delta approaches 0.

Delta is the most important of all the option greeks. Delta is usually expressed in percentage or decimal number. The legitimate values of delta are as follows:. Therefore put option delta is always negative while call options have positive delta.

At-the-money options have a delta of about 0. Gamma measures the sensitivity of option delta with respect to changes in the underlying prices. It is first level derivative of Delta.

Option traders need to know this because option delta does not remain constant in reality and it changes as the underlying price changes. Therefore option traders need to worry about delta sensitivity and accordingly measure gamma in order to understand and estimate the risk they are exposed to while trading options.

Deep in-the-money options and deep out-of-the-money options have relatively lower gamma. However, at-the-money options have higher gamma and trades need to be watchful when dealing with these options. Vega also known as kappa or zeta measures the option price sensitivity to the changes in the underlying volatility.

For example, if vega of an option is 1. Again Vega is not constant and it changes when there are large price movements in the underlying.

Also, Vega decreases as the option gets closer to expiration date. Theta measures the change in the option value relative to the change in the time to maturity of the option. All other option parameters remaining constant, the option value will constantly erode with every passing day since the time value of the option diminishes as it approaches option expiration. This is also called as the time decay of option.

Theta is always negative since if other things remaining same, option value declines as it gets closer to expiration due to diminishing time value. To understand option Theta with illustration, if an option has Theta value of This is positive for call options since higher the interests, the higher the call option premium and negative for put options since higher the interest the lower the put option premium.

For example, if Rho of a call option is 0. Similarly, if Rho of a put option is Deep ITM options have higher Rho since these options are most likely to be exercised and therefore the value will move in line with changes in the forward prices of the underlying asset.

However, relatively speaking, when compared with other option Greeks, the impact of Rho on option price is least significant. The team at NiftyTrader.

Please Enter Confirm Password Password does not match. Back To Email ID. Can't read the image? Option Greeks Option Greeks are option sensitivity measures. The legitimate values of delta are as follows:


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