---
title: "Option Scenario Grid: P&L over Spot, IV and Days | RupeeCase"
description: "Free option scenario grid on dated NSE Nifty chains: P&L and Greeks of a position over index, implied volatility and time shocks, with what the Greeks miss."
source_url: "https://www.rupeecase.com/learn/tools/scenario-grid"
---

* Premium paid**Rs 6,175**1 lot, Nifty bull call spread
* Delta**6.38 units**Rs 6.38 a point
* Gamma**0.000192**units a point
* Theta, Vega**−Rs 27 a day**Rs 41 a vol point

**Bull call spread on the Nifty chain of 10 Jun 2026, 30 Jun 2026 expiry.** Each cell re-prices every leg with Black 76 at the shocked index level, volatility and day, so nothing here is a straight line. The Greeks are a straight line (and a curve for gamma) from today's point; the cells where they disagree with the full reprice are where the position has curvature the first order numbers do not see.

Model, not market data

P&L, full reprice, today: −Rs 6,098 to Rs 6,600 across the grid

| Volatility | Index change |
| --- | --- |
| −6% | −3% | 0% | +3% | +6% |
| −4 vol | −6,098 | −4,904 | −224 | +4,900 | +6,600 |
| −2 vol | −5,955 | −4,371 | −88 | +4,414 | +6,378 |
| 0 vol | −5,740 | −3,895 | +8 | +4,009 | +6,102 |
| +2 vol | −5,478 | −3,484 | +79 | +3,671 | +5,804 |
| +4 vol | −5,193 | −3,132 | +133 | +3,388 | +5,505 |

Rows are changes in implied volatility in vol points, columns changes in the index from 23,240. The outlined cell is no change.

Columns are the index at −6% 21,846, −3% 22,543, 0% 23,240, +3% 23,937, +6% 24,635. Inputs: Bull call spread, 1 lot, forward 23,240, each leg at its own implied volatility, rate 5.11%. Source: NSE end of day settlement prices, scenarios computed by RupeeCase. As of 10 Jun 2026.Model, not market data

Waiting, volatility unchanged: P&L, full reprice runs from −Rs 6,175 to Rs 6,825

| Time passed | Index change |
| --- | --- |
| −6% | −3% | 0% | +3% | +6% |
| Today | −5,740 | −3,895 | +8 | +4,009 | +6,102 |
| 1 day | −5,787 | −3,987 | −19 | +4,071 | +6,154 |
| 3 days | −5,877 | −4,184 | −79 | +4,211 | +6,262 |
| 5 days | −5,961 | −4,402 | −148 | +4,373 | +6,372 |
| 10 days | −6,120 | −5,057 | −387 | +4,927 | +6,636 |
| Expiry (20d) | −6,175 | −6,175 | −6,175 | +6,825 | +6,825 |

Rows are days passed with implied volatility unchanged; the last row is the nearest expiry. The outlined cell is no change today.

The same index shocks with time passing and no change in implied volatility. The last row is the payoff at the nearest expiry. Inputs: Bull call spread, 1 lot, forward 23,240, each leg at its own implied volatility. Source: NSE end of day settlement prices, scenarios computed by RupeeCase. As of 10 Jun 2026.
Method: every leg is priced at the premium of the settlement file on the example date and re-priced with Black 76 at its own implied volatility plus the row shock, the forward times the column shock, and the days passed. A leg that has expired is worth its intrinsic value. "From the Greeks" is delta × move + ½ gamma × move² + vega × volatility change + theta × days, taken at today's point; "what the Greeks miss" is the full reprice less that. The shocks move the whole surface in parallel; in practice the smile tilts as the index moves. Charges, margin and the spread between bid and ask are not in these numbers. This page cannot trade.

  Premiums are NSE end of day settlement prices of the example date; the shocks are scenarios, not forecasts. Charges and margin are not included, and this page cannot trade.

## 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](/learn/path-17/module-17-18-pnl-attribution-by-greeks) splits a result into its Greeks and [the option book risk module](/learn/path-17/module-17-23-option-book-risk) 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

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. [SEBI, Profitability of Individual Traders in the Equity Derivatives Segment, FY25 to FY26 (August 2026)](https://www.sebi.gov.in/reports-and-statistics/research/aug-2026/study-profitability-of-individual-traders-in-the-equity-derivatives-segment-fy25-fy26-_103835.html)
3. Hull, Options, Futures, and Other Derivatives, Pearson book

Why not just use the Greeks?They are exact only for a very small move. For a large move in the index or in volatility, or after days have passed, the position has changed shape, and only a full reprice shows it.

What does the outlined cell mean?It is the no change cell for the grid: no move in the index or volatility and, in the first grid, the days you picked. The other cells are changes from it.

Are these scenarios forecasts?No. They are evenly spaced shocks chosen to show the shape of the position. Which of them is likely is a separate question the page does not answer.

LLearn it in depth

[Module 17.18P&L attribution by GreeksAdvanced, Path 17](/learn/path-17/module-17-18-pnl-attribution-by-greeks)[Module 17.23Risk for option books: scenarios, stress, VaR, ES and margin shocksExpert, Path 17](/learn/path-17/module-17-23-option-book-risk)[Module 14.14Position Greeks for multi leg strategiesIntermediate, Path 14](/learn/path-14/module-14-14-position-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.

* [Free module 17.21Hedging an option selling book: wings, vega, gaps and margin stress11 min read](/learn/path-17/module-17-21-hedging-an-option-selling-book)
* [CalculatorGreeks calculatorDelta to rho, and vanna to colour in expert mode, from one Black 76 engine.](/learn/tools/greeks-calculator)
* [QuestionsQuestions on futures and optionsShort answers, each with a dated chart](/learn/questions/)

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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.