A one percent rise can leave a bought call flat if volatility falls three points
| Index move | Gain or loss, rupees | |
|---|---|---|
| IV −3 | IV same | |
| −1% | −15,180 | −12,515 |
| 0% | −9,180 | −6,192 |
| +1% | −235 | +2,509 |
| +2% | +11,318 | +13,394 |
Green is profit and red is loss; deeper colour means a larger amount. The outlined cell is the starting point.
The chart works through one call bought at the money on the 30 Jun 2026 chain, on 10 Jun 2026. It shows the profit or loss on that call after 10 days, for index moves from minus one to plus two percent, with volatility unchanged and with it down three points. Read the no move row first. With no index move and no volatility change, the call still loses value as time passes.
Now read the row for a one percent rise. With volatility unchanged the call gains. With volatility down three points the gain is largely gone, and the value is close to flat. A rise in the index does not ensure a rise in the premium, because volatility is part of the same price.
Three inputs do most of the work. Delta is the share of the index move that reaches the premium. Theta is the value lost each day as expiry nears. Vega is the sensitivity to implied volatility, and a fall in volatility can cancel a rise in the index. The Greeks calculator takes the same chain and shows each piece.
Check the expiry date, the strike and the implied volatility on the same chain before you judge a premium. Then the number is one you can explain, rather than a surprise. The question on Greeks covers each input in turn.
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