Option Greeks Calculator: Delta, Gamma, Theta, Vega and Rho
Get the Greeks of any call or put, then see what they mean for your actual position: how many rupees you gain or lose for a 1-point move, a day passing, or a 1-point change in IV, for the number of lots you hold, bought or sold.
| Greek | Per option | Your position | What it means for you |
|---|---|---|---|
| Delta | |||
| Gamma | |||
| Theta (per day) | |||
| Vega (per 1 IV point) | |||
| Rho (per 1% rate) |
Greeks are snapshots: they change as the price, time and IV change. Theta here is per calendar day.
The five Greeks in plain words
| Greek | Measures | Rule of thumb |
|---|---|---|
| Delta | Change in premium for a 1-point move in the underlying | Calls 0 to 1, puts 0 to −1. At the money is near 0.5. |
| Gamma | Change in delta for a 1-point move | Highest for at-the-money options close to expiry. |
| Theta | Change in premium as one day passes | Negative for buyers, positive for sellers. Speeds up near expiry. |
| Vega | Change in premium for a 1-point change in IV | Largest for at-the-money options with more time left. |
| Rho | Change in premium for a 1% change in interest rates | Small for short-dated index options. |
From one option to your whole position
The Greeks on an option chain are for one unit of the underlying. Your risk is that number times the lot size times your lots, with the sign flipped if you sold. Two lots of a Nifty call with delta 0.45 give a position delta of 0.45 × 65 × 2 = 58.5, so a 10-point rise adds about ₹585. A short position with theta of +8 per unit earns about 8 × 65 = ₹520 a day per lot if nothing else changes.
Reading the Greeks together
Option buyers have positive gamma and vega and negative theta. They want a big move or a rise in IV, soon.
Option sellers have the opposite: they earn theta but lose when the market moves sharply or IV jumps.
Near expiry gamma and theta grow large for at-the-money strikes, which is why expiry-day positions swing so much.
To see how these change across a full strategy, open any strategy in the option strategies course.
Test what you know: 1,000 F&O questions on premium, Greeks, strategies, MWPL and STT, picked at random, answers hidden until you check.
Take the F&O quick testCommon questions
What is a good delta for buying an option?
There is no single right number. A delta near 0.5 (at the money) balances cost and responsiveness. Lower deltas cost less but need a bigger move, and higher deltas behave more like the underlying.
How do I calculate theta in rupees?
Theta per unit × lot size × lots. A Nifty option with theta of −6 loses about 6 × 65 = ₹390 a day per lot, all else equal.
Why is my theta higher on expiry week?
Time value decays faster as expiry approaches, especially for at-the-money options, so theta grows in the last few days.
What does negative gamma mean?
It means your delta moves against you as the market moves. Option sellers have negative gamma, so a sharp move hurts them faster than a straight line would suggest.
Which model does this calculator use?
Black-Scholes with a continuous dividend yield, the same model used on the CVCrisp option strategies course. Theta is per calendar day and vega is per 1 point of IV.