Market Parameters
₹
₹
days
%
%
%
Enter spot & strike
Greeks & Option Prices
Call Price
—
Fair value (₹)
Put Price
—
Fair value (₹)
Call Δ Delta
—
₹ per ₹1 spot move
Put Δ Delta
—
₹ per ₹1 spot move
Γ Gamma
—
Δ change per ₹1 spot
Call Θ Theta
—
₹ per day decay
Put Θ Theta
—
₹ per day decay
ν Vega
—
₹ per 1% vol change
Call ρ Rho
—
₹ per 1% rate change
Put ρ Rho
—
₹ per 1% rate change
Put-Call Parity Check
C − P = S · e−qT − K · e−rT
Calculate to verify put-call parity holds for your inputs.
Payoff at Expiry
Net profit/loss for long call and long put at various spot prices on expiration day.
Understanding the Greeks
Δ
Delta
Measures how much the option price changes for every ₹1 move in the underlying. Think of it as the "speed" of the option price.
Call: 0 to +1 · Put: −1 to 0
Γ
Gamma
Rate of change of Delta. Highest for ATM options near expiry. High gamma means your delta exposure can shift rapidly — the "acceleration" of the option.
Always positive for option buyers
Θ
Theta
Time decay per calendar day. Every day that passes, the option loses this much value (all else equal). Option sellers collect theta; buyers pay it.
Almost always negative for buyers
ν
Vega
Change in option price per 1% increase in implied volatility. Identical for calls and puts. Both benefit when India VIX rises (long vega position).
Always positive for option buyers
ρ
Rho
Sensitivity to 1% change in risk-free interest rate. Calls have positive Rho; puts negative. Least impactful for short-dated options.
Call: positive · Put: negative
⚖
Put-Call Parity
Mathematical identity: C − P = S·e−qT − K·e−rT. Ensures no arbitrage. If violated in real markets, traders immediately exploit it.
Must hold in efficient markets
Disclaimer: This calculator is provided for educational and informational purposes only and does not constitute financial advice. Options trading involves substantial risk and is not suitable for all investors. Theoretical prices may differ from actual market prices. The Black-Scholes model assumes European-style options, constant volatility, and continuous trading — assumptions that may not hold in real markets. Investments in securities are subject to market risks; please read all related documents carefully before investing.