On Wednesday 10 Jun 2026, with the 30 Jun monthly expiry 20 days away and the future at 23,240.10, consider four options bought and sold together: a bought 22,750 put at Rs 146.85, a sold 22,950 put at Rs 202.95, a sold 23,550 call at Rs 186.65 and a bought 23,750 call at Rs 124.05. That is an iron condor, and it brought in Rs 118.70 a unit, or Rs 7,716 a lot. Each leg has its own Greeks and none of them describes the trade. Add them with their signs and four numbers come out: a delta of −0.58 units, a gamma of −0.0072, a theta of Rs 99.6 a day and a vega of −Rs 294.5 for each volatility point, all for one lot. Below: how to get from the legs to those four numbers, and what they say about the trade.

3By the end you can

  1. Add leg Greeks with side and units to get position Greeks.
  2. Read the sign pattern of a bull call spread and an iron condor.
  3. Explain why a delta neutral position does not stay neutral.
The RupeeCase terminal on sample data: Position sizes: what do Herfindahl and effective holdings say?
Watch in the terminal: what do Herfindahl and effective holdings say? A short tutorial on sample data.

The idea, plainly

A position Greek is the sum of the Greeks of its legs. The NSE option chain does not publish Greeks, so the rule has three steps, and the Greeks calculator linked below does them for you.

Position Greek = sum of
side * units * leg Greek

  1. Take each leg's Greek per unit from Black 76 at the strike's own implied volatility (modules F21 and I09 show the formulas).
  2. Multiply by the side, plus one for a bought leg and minus one for a sold leg, and by the units, which is the lots times the lot size of 65.
  3. Add each column. A future has a delta of one and no other Greek.

What the sum means

The sum is a snapshot at one price, one volatility and one date. It tells you how the position reacts to the next small step, and nothing about a large one. Check your broker's position screen against this arithmetic once: the signs and the lot size are where mistakes live. Three slips are common. One is mixing per unit and per lot numbers. One is forgetting that a sold leg flips every sign. The third is adding vega across different expiries as if it were one number: delta and gamma add cleanly, but implied volatility does not move in step across expiries (module I10), so vega of a calendar position needs more care.

Read one more paragraph, 63 words

Units matter on the screen. Delta is in units of the future, which is also rupees per index point. Gamma is units of delta per point. Theta is rupees a day. Vega is rupees for each volatility point. A position delta of −0.58 units, for example, changes the value of the lot by about that many rupees for each point the index rises.

The RupeeCase terminal on sample data: Alpha: which of the two alphas is this?
Watch in the terminal: which of the two alphas is this? A short tutorial on sample data.

Two legs: a bull call spread

Start small. A bought 23,250 call and a sold 23,450 call is a bull call spread (module F26). The table is per unit, with the side already applied.

LegDeltaGammaTheta a dayVega
Bought 23,250 call0.5010.00048−8.1221.64
Sold 23,450 call−0.403−0.000487.71−21.01
Position, one lot6.380.0002−Rs 26.6Rs 41.0

The legs nearly cancel. Delta is the only large number left, about 6.38 units for a lot, so a bull call spread is mostly a bet on direction with a small theta and vega. A spread trades most of the Greeks away for a smaller premium.

A bull call spread has an S shaped payoff, and almost no gamma, theta or vega

Profit and loss of one lot of a Nifty bull call spread, bought 23,250 call and sold 23,450 call, at expiry and with 10 days left: a smooth S between a capped loss and a capped gainPayoff of the position at expiry and before expiry. Breakeven at 23,345. Maximum profit in the range ₹6,825, maximum loss ₹6,175. Spot 23,215.Profit or loss, ₹ for the whole positionAt expiry10 days to expiry−₹7,500−₹5,000−₹2,500₹0₹2,500₹5,000₹7,50022,50023,00023,50024,000Nifty at expirySpot 23,215BE 23,345Max profit ₹6,825Max loss ₹6,175
The bought 23,250 call and the sold 23,450 call on the 10 Jun 2026 chain of the 30 Jun expiry. The curve for 10 days left sits close to the line at expiry between the strikes, because the two legs' time and volatility effects nearly cancel. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

Worked example: the iron condor, 10 Jun 2026

Four legs on the chain of the 30 Jun expiry, 20 days left. The legs are the preset iron condor of the payoff builder: wings 200 points wide on each side. Each row is per unit with the side applied, so a sold leg flips the sign of its Greek.

LegDeltaGammaTheta a dayVega
Bought 22,750 put−0.2740.00039−7.0818.10
Sold 22,950 put0.355−0.000457.67−20.21
Sold 23,550 call−0.354−0.000477.34−20.20
Bought 23,750 call0.2650.00042−6.3917.79
Position, one lot−0.58−0.0072Rs 99.6−Rs 294.5

Reading the signs

Read the signs. Delta nets to about nothing: the sold put adds positive delta, the sold call adds negative delta, and the two offset. Gamma is negative: the sold legs, which sit closer to the money, have more gamma than the bought wings, so the position is short gamma (module I09). Theta is positive, since the options sold decay faster than the options bought. Vega is negative, so a rise in implied volatility hurts. The four signs together are what short volatility looks like. I describe them to show how a position reads, not to suggest it.

Two terms to hold on to from 14.14

Two terms to hold on to from 14.14Two terms to hold on to from 14.14. Position Greeks: The Greeks of a whole position: the sum over its legs of side times units times the leg Greek, with side plus one for bought and minus one for sold. Delta neutral: A position whose position delta is about zero at the current price. It stays neutral only for small moves, because gamma changes the delta.Position GreeksThe Greeks of a whole position: the sum overits legs of side times units times the legGreek, with side plus one for bought and...Delta neutralA position whose position delta is about zeroat the current price. It stays neutral onlyfor small moves, because gamma changes...
From the module glossary. Source: Module 14.14, Position Greeks for multi leg strategies.

Time, vega and the wings

Two more readings are useful. A rise of one volatility point costs about 3.0 days of theta, because the position's vega of −Rs 294.5 is 3.0 times its theta of Rs 99.6. And the wings matter. Without them, the two sold options alone, a short strangle, would carry a vega of −Rs 2,627 a lot and a gamma of −0.0596, about 9 times the condor's vega. The bought wings give back most of the exposure, and they are what cap the loss. A position with no wings has no cap, and the Greeks show it before the margin does.

The condor earns its credit between the sold strikes, and the loss stops at the wings

Profit and loss of one lot of a Nifty iron condor at expiry and with 10 days left: a flat top between the two sold strikes, losses beyond them that stop at the bought strikesPayoff of the position at expiry and before expiry. Breakevens at 22,831 and 23,669. Maximum profit in the range ₹7,716, maximum loss ₹5,285. Spot 23,215.Profit or loss, ₹ for the whole positionAt expiry10 days to expiry−₹5,000−₹2,500₹0₹2,500₹5,000₹7,50022,00023,00024,000Nifty at expirySpot 23,215BE 22,831BE 23,669Max profit ₹7,716Max loss ₹5,285
One lot of the iron condor on the 10 Jun 2026 chain of the 30 Jun expiry. The credit is Rs 7,716. Beyond the bought strikes the loss stops at Rs 5,285 a lot. The curve for 10 days left shows the position still carrying time value. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

In rupees

The scenario grid shows what the four numbers do in rupees. Delta is near zero, so neither direction is favoured. Gamma is short, so the big moves in the top and bottom rows both lose. Vega is short, so the right column is lower than the left. Theta is the day that passes, the small gain in the centre cell.

After a day, big moves and a rise in volatility cost the condor, and time pays it a little

Change in the value of one lot of a Nifty iron condor after one day, for index moves of minus 3 to plus 3 percent and implied volatility shifts of minus 3, 0 and plus 3 points
Index moveAfter one day, rupees per lot
IV −3IV sameIV +3
−3%−1,116−1,215−1,464
−1.5%+637−166−807
0%+1,181+96−671
+1.5%+163−533−1,087
+3%−1,727−1,741−1,895

Green is profit and red is loss; deeper colour means a larger amount. The outlined cell is the starting point.

The condor repriced with Black 76 one day later, 19 days left, on the 10 Jun 2026 chain. Index moves are shares of the future. The centre cell is one day of theta, about Rs 99.6. The columns apply a change in implied volatility. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

Delta neutral, and what a hedge needs

A position is delta neutral when its position delta is about zero. The condor is, from the start, with −0.58 units. A single option is not. One lot of the 23,250 call has a delta of 0.501, so it behaves like 32.6 units of the future. To cancel that with futures you would sell 32.6 units, but a future trades in whole lots of 65 units, so one lot of the call cannot be hedged exactly. Two lots of the call are about 65.1 units, close to one lot of the future. That rounding is why hedges are never exact. Delta also drifts. Gamma is the speed of that drift: with a gamma of −0.0072 a lot, a rise of 100 points changes the condor's delta by about −0.72 units, and a fall of 100 points by as much the other way. A delta hedge has to be redone as the index moves, and each redo costs a transaction charge (module F06). Module A01 follows a hedged position through time and shows what the hedger earns or pays, and A02 covers gamma scalping. Both come after this one.

Where this section sits in module 14.14

Where this section sits in module 14.14Where this section sits in module 14.14. 1. The idea, plainly 2. Worked example: the iron condor, 10 Jun 2026 3. The common mistake 4. Key takeaways01The idea, plainly02Worked example: the iron condor,10 Jun 202603The common mistake04Key takeaways
Sections 1 to 4 of 4; the highlighted one is next. Source: Module 14.14, Position Greeks for multi leg strategies.

The common mistake

The claim: The condor is delta neutral, so the direction of the market cannot hurt it. Delta neutral is true for this instant only. The gamma is negative, so as the index runs the delta turns against the position. At expiry, beyond the bought strikes, the position loses its maximum, Rs 5,285 a lot, whichever side the index ends. The negative vega of −Rs 294.5 a point means a rise of 3 points in implied volatility costs about Rs 884 a lot before the index has moved at all. The loss is limited by construction, and it is still a loss. Four Greeks in the sign pattern above describe a position that is paid for calm and charged for movement. Two short answers have their own pages: What is delta neutral? and How to calculate Greeks.

Key takeaways

  • A position Greek is the sum of each leg's Greek times side times units.
  • A future adds delta only: one per unit.
  • A bull call spread leaves mostly delta, as its other Greeks cancel.
  • The condor reads short gamma, long theta and short vega.
  • Delta neutral is a snapshot, and gamma moves the delta as the index moves.
  • A delta hedge is rounded to whole lots and has to be redone.

The term this section turns on: Iron condor

The term this section turns on: Iron condorThe term this section turns on: Iron condor. Iron condor: A bought put, a sold put, a sold call and a bought call, with the sold strikes between the bought ones. Its loss and its gain are both limited.Iron condorA bought put, a sold put, a sold call and abought call, with the sold strikes between thebought ones. Its loss and its gain are...
From the module glossary; every term is in the Learn glossary too. Source: Module 14.14, Position Greeks for multi leg strategies.

Before you trade. Derivatives trading carries a high risk of loss. SEBI's study "Profitability of Individual Traders in the Equity Derivatives Segment (FY25 to FY26)" (August 2026) found that 87.7% of individual traders in equity F&O made net losses in FY26, with aggregate net losses of Rs 91,685 crore. Read the SEBI study