Delta of the at the money call rises with the future and steepens as expiry nears

Delta of the at the money call rises with the future and steepens as expiry nears20 days left: from 0.0738 at 22,078 to 0.915 at 24,402, high 0.915 at 24,402, low 0.0738 at 22,078. 10 days left: from 0.0198 at 22,078 to 0.973 at 24,402, high 0.973 at 24,402, low 0.0198 at 22,078. 2 days left: from 0.00000188 at 22,078 to 1 at 24,402, high 1 at 24,402, low 0.00000188 at 22,078.Delta of the 23250 call20 days left10 days left2 days left0.000.250.500.751.0022,50023,00023,50024,000Level of the futureFuture 23,240Strike 23,250
Delta of the at the money NIFTY call on the 10 Jun 2026 chain for the 30 Jun 2026 expiry, drawn against the level of the future with twenty, ten and two days left. A position Greek is the signed sum of such curves across the legs. Source: NSE end of day data, computed by RupeeCase. As of 10 Jun 2026.

Start with one option. The inputs are the future for the expiry, the strike, the time to expiry in years, the rate and the implied volatility. Feed them into Black 76 and you get the option's price. Each Greek is a slope of that price: delta against the future, gamma against delta, vega against volatility, theta against time and rho against the rate.

For NSE index options, use the future, not the spot. The future already carries the cost of carry to expiry, and the model is written on it. Measure time in calendar days over a year of 365 days, and count to the expiry close at 15:30 IST.

For a multi leg trade, work out each leg's Greeks at its own strike and implied volatility. Then sum them with signs. A bought leg adds, a sold leg subtracts, and each leg is scaled by its lots and the lot size. The sum is the position Greek. Delta is the rupee move for a one point move in the future, gamma is how fast that delta changes, theta is the rupees lost in a day, and vega is the rupees gained or lost for one vol point.

The chart shows the delta of one at the money call on the 10 Jun 2026 chain, with twenty, ten and two days left. The curve steepens as expiry nears. A position of several legs is the sum of curves like this one, which is why a position can look flat on one date and move quickly on the next.

Check two things before you trust a position Greek: each leg's implied volatility should come from its own settle price, and the rate should be the rate on that date.

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