How to read it
Two grids
The first grid moves the index across the columns and implied volatility down the rows, at the number of days you choose. The second moves the index across the columns and lets time pass down the rows, with volatility unchanged. The last row of the second grid is the payoff at the nearest expiry.
Full reprice
Each cell prices every leg again with Black 76 at the shocked forward, the shocked volatility and the days left, then subtracts what the position cost. The premium comes from the settlement price, so the cell with no change today is close to zero.
What the Greeks miss
The estimate is delta times the move, plus half gamma times the move squared, plus vega times the volatility change, plus theta times the days. The difference to the full reprice is curvature the first order numbers cannot see: vanna, volga, charm and the rest.
Reading a grid
Look first for the corner cells, then for the row where the position does best as time passes. The P&L attribution module splits a result into its Greeks and the option book risk module takes the same idea to a whole book.
What it leaves out
Every shock is a parallel move of the whole volatility surface, and the index and volatility are shocked independently. In practice they move together: volatility tends to rise when the index falls, and the smile tilts. Each leg uses its own implied volatility from the settlement file. Charges, margin, bid ask spreads and the early close of a leg are not in the cells. The grid shows scenarios the arithmetic allows, not scenarios that are likely.
Go to the source
- NSE, equity derivatives contract specifications: European exercise, cash settlement and lot sizes
- SEBI, Profitability of Individual Traders in the Equity Derivatives Segment, FY25 to FY26 (August 2026)
- Hull, Options, Futures, and Other Derivatives, Pearson book