Options Pricing Calculator

Black-Scholes-Merton pricing and Greeks for European-style, cash-settled index options, with an implied volatility solver.

Spot Price

Strike Price

Days to Expiry

Volatility

Risk-Free Rate

Dividend Yield

Implied Volatility Solver

Market Price

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Call Price (Black-Scholes-Merton)2.52Intrinsic value: 0.00

Greeks

Delta0.5428per ₹1 in spot

Gamma0.0691delta change per ₹1

Theta-0.0457per calendar day

Vega0.1136per 1 vol point

Rho0.0425per 1% rate move

Illustrative pricing for European-style, cash-settled index options — not a live quote. Risk-free rate and dividend yield default to simulated values (6.8% / 1.2%), not a live feed.