What does the option value calculator show?

The Black-Scholes value of a European call and put, with delta, gamma, theta (per day), vega and rho (per percentage point).

Why does it differ from the traded premium?

The model uses the volatility you enter and assumes constant rates and no dividends. The market price reflects the volatility traders are actually paying for, plus supply and demand.

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Option Value Calculator

The Black-Scholes model value of a call and a put, and the Greeks, from the inputs you give it. A model value, not a market quote.

Underlying price (₹)

Strike price (₹)

Days to expiry

1 day365 days

Volatility (% a year)

1%100%

Use the option's implied volatility from the option chain.

Risk-free rate (% a year)

0%15%

Roughly the 91-day Treasury bill yield.

Model value and Greeks, per unit
Measure	Call	Put
Value (₹)	469.35	336.14
DeltaChange in value for a ₹1 move in the underlying	0.5609	−0.4391
GammaChange in delta for a ₹1 move	0.000393	0.000393
ThetaChange in value per calendar day	−9.01	−4.58
VegaChange in value per 1 point of volatility	28.26	28.26
RhoChange in value per 1 point of interest rate	11.14	−9.30

Intrinsic value: call 0.00, put 0.00. The rest of each value is time value, which theta wears away as expiry nears.