Options calculator
Black-Scholes pricing for European options such as NIFTY and stock options on NSE.
Leave a premium blank to use the model's price at your volatility. Enter the actual premium you paid or received for a real trade.
Chance of profit assumes prices follow a lognormal path at your volatility. Real markets move in bigger jumps more often than that. Selling options needs margin, so check with your broker.
About this calculator
What the model does
The pricing here uses Black-Scholes, which is the standard model for European options such as those on NIFTY and Indian stocks, where the contract can only be exercised at expiry. Given the spot price, strike, time left, volatility and interest rate, it returns the theoretical premium and the Greeks.
Entering a market premium instead gives the implied volatility: the volatility the market is currently pricing in. Comparing that with what the underlying has actually been doing is how traders judge whether an option looks expensive or cheap.
Reading the Greeks
Delta is how much the premium moves for a one-rupee move in the underlying, and roughly approximates the chance of finishing in the money. Gamma is how fast delta itself changes. Theta is the premium lost to each passing day, which is why buyers feel time working against them. Vega is the sensitivity to a one-point change in volatility, and it is often the reason a position loses money even when the direction was right.
The strategy builder
The second tab combines several legs, including futures, and draws the payoff at expiry and as of today. It gives breakevens, maximum profit and loss, the chance of profit and the net position Greeks, with presets for the common structures from spreads to iron condors.
The probabilities assume prices follow a lognormal path at the volatility you enter. Real markets gap more often than that model allows, and selling options requires margin, so treat these figures as a guide rather than a guarantee.
Common questions
What is implied volatility?
The volatility figure that makes the model's price match the option's market price. It reflects what the market expects the underlying to do, and it rises before events such as results or policy announcements.
Why did my option lose value when the stock moved my way?
Usually theta or vega. Time decay removes premium every day, and a fall in implied volatility after an event can cost more than a small favourable move in the underlying gains.
Is Black-Scholes accurate for Indian index options?
It is the standard model for European-style contracts such as NIFTY options and is widely used, but it assumes constant volatility and smooth price movement. Real markets show a volatility skew and gap through levels, so treat the output as a reference.
How risky is options trading?
SEBI's own studies have found that the large majority of individual traders in equity derivatives lose money, with losses concentrated among the most active. Selling options carries theoretically unlimited risk and requires margin.