---
title: "Greeks Calculator for Nifty Options, Free | RupeeCase"
description: "Free Greeks calculator on dated NSE Nifty chains: delta, gamma, theta, vega and rho per unit and per lot, plus vanna, volga, charm, speed and colour."
source_url: "https://www.rupeecase.com/learn/tools/greeks-calculator"
---

* Model price**Rs 321.65**a unit, Rs 20,907 for 1 lot
* Delta**0.5008**of one unit
* Gamma**0.000485**per point
* Theta**−Rs 8.12**a day, per unit

**Buy 1 lot of 65 units.** Per unit means one unit of Nifty, one index point of premium.

| Greek | Per unit | Your position |
| --- | --- | --- |
| DeltaPremium change for a 1 point rise in the forward. | 0.5008 | Rs 32.55Rs a point |
| GammaChange in delta for a 1 point rise in the forward. | 0.000485 | 0.0315units a point |
| ThetaPremium lost as one calendar day passes, price and volatility held. | −8.12 | −Rs 528Rs a day |
| VegaPremium change for a 1 vol point rise in implied volatility. | 21.64 | Rs 1,407Rs a vol point |
| RhoPremium change for a 1 point rise in the interest rate. | −0.1762 | −Rs 11.46Rs a point of rate |

Expert mode: vanna, volga, charm, speed and colour
| Greek | Per unit | Your position |
| --- | --- | --- |
| VannaChange in delta for a 1 vol point rise in implied volatility. | 0.000784 | 0.0509units a vol point |
| VolgaChange in vega for a 1 vol point rise in implied volatility. | −0.000239 | −Rs 0.02Rs a vol point, per vol point |
| CharmChange in delta as one calendar day passes. | −0.000225 | −0.0147units a day |
| SpeedChange in gamma for a 1 point rise in the forward. | −0.0000000242 | −0.00000157units a point, per point |
| ColourChange in gamma as one calendar day passes. | 0.0000122 | 0.000792units a point, per day |

Settlement price of the example: Rs 321.65 a unit. The model price above is the same number: the volatility was found from that settlement price.

Black 76 prices on the forward, so the Greeks are with respect to the forward and rho only moves the discount factor. Nifty options are European and cash settled.

Model, not market data

Delta is an S curve that steepens as the days run out

Delta of the 23,250 call for the Nifty level on the x axis, one curve for each time left. Inputs: Black 76 on the forward 23,240.10, 23,250 call, 20 days to expiry, rate 5.11%, implied volatility 15.0867 vol points. Source: NSE end of day settlement prices, Black 76 computed by RupeeCase. As of 10 Jun 2026.Model, not market data

Gamma peaks at the strike and sharpens as expiry nears

Gamma of the 23,250 call: the rate at which delta changes, for each time left. Inputs: Black 76 on the forward 23,240.10, 23,250 call, 20 days to expiry, rate 5.11%, implied volatility 15.0867 vol points. Source: NSE end of day settlement prices, Black 76 computed by RupeeCase. As of 10 Jun 2026.

  Example data from NSE end of day files, as of the date of the example you pick. Not live, not a recommendation, and there is no order button: this page cannot trade.

## How to read it

### Start from the example

Each example is an NSE end of day file at least 30 days old, dated on the page. The volatility is the one that reproduces that strike's settlement price, so the model price equals the settlement price until you change an input.

### Read the units, row by row

Delta is rupees of premium for one index point. Theta is rupees lost in one calendar day. Vega is for one vol point of implied volatility. The position column multiplies by your lots and the lot size, and flips every sign for a sold option.

### Change one input at a time

Cut the days to expiry and watch theta and gamma grow at the money. Raise the volatility and watch vega and the price. Move the strike and watch delta run from near 1 to near 0. The curves redraw for the days you set, half that time and one day left.

### Expert mode

Vanna, volga, charm, speed and colour are the second order Greeks: how delta, vega and gamma themselves change. They are taught in [the second order Greeks module](/learn/path-14/module-14-17-second-order-greeks); the first order Greeks are in [the delta module](/learn/path-14/module-14-7-delta), [the gamma module](/learn/path-14/module-14-11-gamma) and [the vega module](/learn/path-14/module-14-12-vega).

## What it leaves out

Greeks are slopes at one price, one volatility and one date, so a big move, a change in volatility or a day passing changes them. The volatility used is the strike's own implied volatility, so the strikes of one expiry carry different volatilities; the market's smile is not modelled beyond that. Prices are end of day settlements, not live quotes, and NSE sets the settlement price of an untraded strike with its own model. The page gives no view on where any index goes.

## Go to the source

1. [NSE, equity derivatives contract specifications: European exercise, cash settlement and lot sizes](https://www.nseindia.com/static/products-services/equity-derivatives-contract-specifications)
2. [FBIL, benchmark T-bill yields behind the rate input](https://www.fbil.org.in/)

Black 76 or Black Scholes Merton?NSE index options are European, and the future for the same expiry is the cleanest forward, so Black 76 needs no separate guess of dividends. Black Scholes Merton prices from spot with a dividend yield; the calculator backs the yield out of the future so both models give the same price. The Greeks differ only in what is held fixed when the index moves.

Is the volatility here India VIX?No. It is the implied volatility of the chosen strike's settlement price. India VIX is one number for the whole smile over the next 30 days.

Why is the rate a T-bill yield?It stands in for the risk free rate over the horizon, taken from FBIL T-bill yields on the example date, and it is not a borrowing rate. Rho shows how little a rate move changes a short dated index option.

LLearn it in depth

[Module 14.7Delta: speed, hedge ratio and the probability shortcutBeginner, Path 14](/learn/path-14/module-14-7-delta)[Module 14.11Gamma: why it grows so fast near expiryIntermediate, Path 14](/learn/path-14/module-14-11-gamma)[Module 14.12Vega: volatility exposure across weekly and monthly expiriesIntermediate, Path 14](/learn/path-14/module-14-12-vega)[Module 14.14Position Greeks for multi leg strategiesIntermediate, Path 14](/learn/path-14/module-14-14-position-greeks)[Module 14.17Second order Greeks: vanna, volga, charm, speed and colourExpert, Path 14](/learn/path-14/module-14-17-second-order-greeks)[ToolPayoff builderLegs from a dated chain](/learn/tools/payoff-builder)[Pillar guideDerivatives and QuantPaths 12 to 19](/learn/derivatives)

    Explore next

## Learn the idea behind the numbers.

* [CalculatorIV solverThe implied volatility behind a dated settlement price.](/learn/tools/iv-solver)
* [QuestionsQuestions on futures and optionsShort answers, each with a dated chart](/learn/questions/)
* [Free module 14.7Delta: speed, hedge ratio and the probability shortcut8 min read](/learn/path-14/module-14-7-delta)
* [Free module 14.11Gamma: why it grows so fast near expiry8 min read](/learn/path-14/module-14-11-gamma)
* [Free module 14.12Vega: volatility exposure across weekly and monthly expiries9 min read](/learn/path-14/module-14-12-vega)
* [ToolOption payoff builderLegs on a dated Nifty chain, breakevens and charges](/learn/tools/payoff-builder)

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Education only, not investment advice, a research report or a recommendation to buy, sell or hold any security. RupeeCase (QC Alpha Technologies Pvt Ltd) is not registered with SEBI as an investment adviser or research analyst. Contracts and prices shown are for illustration only, come from NSE end of day files at least 30 days old, and are not recommendatory. Derivatives trading carries a high risk of loss.