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bullstocks.in
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Black-Scholes fair value and Greeks for any call or put.
| Greek | Call | Put |
|---|---|---|
| Delta | 0.529 | -0.471 |
| Gamma | 0.00082 | 0.00082 |
| Theta (per day) | -16.09 | -11.65 |
| Vega (per 1% IV) | 13.77 | 13.77 |
| Intrinsic value | 0 | 0 |
| Time value | 209.21 | 178.07 |
The Black-Scholes model prices a European option from the spot price, strike, time to expiry, volatility and the risk-free rate. NSE index and stock options are European-style, so it's a sound fair-value check. Compare the result with the market price to see whether options are rich or cheap.
For education only. Returns are assumptions, not guarantees.
