Option Premium Calculator (Black-Scholes)
This is a Black-Scholes pricer: give it the spot, strike, days to expiry, implied volatility and interest rate, and it returns the theoretical premium of a call or put along with its Greeks — how the price responds to the underlying (delta, gamma), time (theta) and volatility (vega).
Use it to decompose a market premium into intrinsic and time value, see your breakeven at expiry, and understand what you are actually paying for when you buy an option — mostly time and volatility.
How it works
- Prices a European option under Black-Scholes using the inputs as annualised figures (days ÷ 365, IV as annual σ).
- Delta = probability-like sensitivity to ₹1 of spot move; gamma = how delta itself shifts; theta = value lost per calendar day; vega = value change per 1% IV move.
- Breakeven at expiry = strike + premium (calls) or strike − premium (puts).
Frequently asked questions
Where do I find the implied volatility to enter?
The option chain on NSE or your broker shows IV per strike. Enter that IV here and the theoretical price will land near the market premium — by construction. The more interesting use is the reverse: nudge IV until the model matches the market, and you have read the IV the market is charging.
Why does the theoretical price differ from the market premium?
The market premium IS a Black-Scholes price at some IV — differences mean your IV input differs from the market's, or the option is illiquid with a wide spread, or an event (results, expiry-day flows) is distorting quotes. The model is a translator between price and volatility, not an arbitrage detector.
What does theta per day actually mean?
The rupees the option loses per calendar day if spot and IV stay frozen. A ₹4 theta on a ₹100 premium means holding through a quiet weekend costs about ₹8 per share × lot size. Theta accelerates as expiry approaches — at-the-money options bleed fastest in the final week.
Does Black-Scholes apply to Indian options?
Index options (Nifty, Bank Nifty) are European-style, which is exactly what Black-Scholes prices. Stock options are American-style; without dividends early exercise is rarely optimal, so B-S remains a close approximation — but around ex-dividend dates the true value can deviate.
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This tool is an educational estimate, not investment or tax advice. Rates and rules change — verify current figures and consult a professional before acting.