Delta of an at the money call steepens around the strike as expiry nears
Take the at the money call on the 30 Jun 2026 Nifty chain, as it stood on 10 Jun 2026. Its price depends on the future, the strike, the time left, the volatility and the interest rate. Each Greek is the slope of the price against one of those inputs, with the others held still.
Delta comes first. It is the change in the premium for a one point move in the future. For a call it runs from zero to one, and for a put from minus one to zero. Near the money a call's delta sits close to one half, and it climbs as the call moves deeper in the money. The chart shows delta for the same strike with 20, 10 and 2 days left. The closer to expiry, the steeper the curve becomes around the strike.
Theta is the value an option loses each calendar day when nothing else changes. Gamma is how fast delta itself changes, and it is largest near the money and close to expiry. Vega is the change for a one point move in implied volatility. Rho is the change for a one percentage point move in interest rates, and it matters least for short expiries.
The Greeks are not forecasts. Delta does not say the index will reach the strike, and theta does not promise a fixed fall in the premium on a given day. They describe how the position reacts, and they change as the index, the time and the volatility change. The Greeks calculator takes a dated chain and shows each one for the strike you pick.
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